Derivative Products and Pricing The Das Swaps and Financial Derivatives Library

by Das, Satyajit

• ISBN13: 9780470821640
• ISBN10: 0470821647
• Edition: 1st
• Format: Hardcover
• Copyright: 2005-10-06
• Publisher: WILEY

Summary

Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.

Author Biography

Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Since 1994, he has been a consultant to financial institutions and corporations on derivatives and financial products and risk management issues. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia.
Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets specializing in capital markets and risk management / derivative products.
Das holds Bachelors’ degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters Degree in Business Administration from the Australian Graduate School of Management.

Table of Contents

Introduction	xi
ROLE AND FUNCTION OF DERIVATIVES
Financial Derivatives Building Blocks -- Forward & Option Contracts	3	(30)
DERIVATIVE INSTRUMENTS
Exchange-Traded Products -- Futures & Options on Futures Contracts	33	(48)
Over-the-Counter Products -- FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options	81	(62)
PRICING & VALUING DERIVATIVE INSTRUMENTS
Derivatives Pricing Framework	143	(20)
Interest Rates & Yield Curves	163	(76)
Pricing Forward & Futures Contracts	239	(88)
Option Pricing	327	(82)
Interest Rate Options Pricing	409	(36)
Estimating Volatility & Correlation	445	(46)
Pricing Interest Rate & Currency Swaps	491	(86)
Swap Spreads	577	(76)
DERIVATIVES TRADING & PORTFOLIO MANAGEMENT
Derivatives Trading & Portfolio Management	653	(42)
Hedging Interest Rate Risk -- Individual Instruments	695	(34)
Hedging Interest Rate Risk -- Portfolios	729	(36)
Measuring Option Price Sensitivities -- The Greek Alphabet of Risk	765	(30)
Delta Hedging/Management of Option Portfolios	795	(48)
Index	843