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9780631215905

Applied Derivatives : Options, Futures, and Swaps

by
  • ISBN13:

    9780631215905

  • ISBN10:

    0631215905

  • Edition: 1st
  • Format: Paperback
  • Copyright: 2002-02-26
  • Publisher: Wiley-Blackwell

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Summary

Applied Derivatives provides a detailed, yet relatively non-technical, treatment of the conceptual foundations of derivative securities markets' pricing and investment principles. This book draws from the most fundamental concepts of pricing for options, futures, and swaps to provide insight into the potential risks and returns from conventional option investing.Applied Derivatives is supported by the website www.rendleman.com/book which contains course software referenced in the text and additional questions and problems as they become available.

Author Biography


Richard J. Rendleman, Jr. is Professor of Finance at the University of North Carolina at Chapel Hill. He is considered one of the premier researchers in the field of option pricing. He helped develop implied volatility and the binomial option pricing model, both of which are two of the most widely used tools for evaluating option prices today.

Table of Contents

List of Figures
vi
List of Tables
viii
Preface xiii
An Introduction to Option Markets
1(29)
Put-Call Parity and Other Pricing Restrictions
30(20)
An Introduction to the Binomial Option Pricing Model
50(31)
Advanced Binomial Option Pricing
81(18)
Practical Issues Associated with Binomial and Black-Scholes-based Option Replication
99(18)
The Black-Scholes Model: Using and Interpreting the ``Greeks''
117(21)
Option Arbitrage
138(33)
Option Investing from a Risk-Return Perspective
171(20)
Advanced Option Replication: Creating the Most Cost-effective Replicating Portfolio
191(20)
The Use of Exchange-traded Options in Asset Allocation
211(29)
Pricing Interest Rate-dependent Financial Claims with Option Features
240(24)
Introduction to Futures, Forward, and Swap Markets
264(22)
Futures Pricing
286(20)
Hedging with Futures
306(13)
Interest Rate Futures
319(33)
Swap Markets
352(25)
Index 377

Supplemental Materials

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