Derivatives Markets, Valuation, and Risk Management

by Whaley, Robert E.

• ISBN13: 9780471786320
• ISBN10: 0471786322
• Edition: 1st
• Format: Hardcover
• Copyright: 2006-10-02
• Publisher: Wiley

Summary

Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Author Biography

Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaley's research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific-Basin Finance Journal, and Advances in Futures and Options Research.

Table of Contents

Preface	ix
Acknowledgments	xxv
About the Author	xxvii
PART ONE Derivative Markets	1	(48)
Derivative Contracts and Markets	3	(46)
PART TWO Fundamentals of Valuation	49	(70)
Assumptions and Interest Rate Mechanics	51	(38)
Relation between Return and Risk	89	(30)
PART THREE Forwards/Futures/Swap Valuation	119	(54)
No-Arbitrage Price Relations: Forwards, Futures, Swaps	121	(22)
Risk Management Strategies: Futures	143	(30)
PART FOUR Option Valuation	173	(208)
No-Arbitrage Price Relations: Options	175	(26)
Valuing Standard Options Analytically	201	(60)
Valuing Nonstandard Options Analytically	261	(42)
Valuing Options Numerically	303	(44)
Risk Management Strategies: Options	347	(34)
PART FIVE Stock Derivatives	381	(86)
Stock Products	383	(36)
Corporate Securities	419	(32)
Compensation Agreements	451	(16)
PART SIX Stock Index Derivatives	467	(96)
Stock Index Products: Futures and Options	469	(48)
Stock Index Products: Strategy Based	517	(46)
PART SEVEN Currency Derivatives	563	(38)
Currency Products	565	(36)
PART EIGHT Interest Rate Derivatives	601	(128)
Interest Rate Products: Futures and Options	603	(34)
Interest Rate Products: Swaps	637	(42)
Credit Products	679	(26)
Valuing Interest Rate Products Numerically	705	(24)
PART NINE Commodity Derivatives	729	(42)
Commodity Products	731	(40)
PART TEN Lessons Learned	771	(122)
Key Lessons	773	(120)
APPENDICES
Elementary Statistics	779	(42)
Regression Analysis	821	(40)
Statistical Tables	861	(8)
Glossary	869	(24)
About the CD-ROM	893	(4)
Index	897