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Looking to rent a book? Rent Financial Derivatives Pricing and Risk Management [ISBN: 9780470499108] for the semester, quarter, and short term or search our site for other textbooks by Quail, Rob; Overdahl, James A.. Renting a textbook can save you up to 90% from the cost of buying.
Robert W. Kolb is the Frank W. Considine Chair of Applied Ethics and Professor of Finance at Loyola University Chicago. Before this, he was the assistant dean, Business and Society, and director, Center for Business and Society, at the University of Colorado at Boulder, and department chairman at the University of Miami. Kolb has authored over twenty books on finance, derivatives, and futures, as well as numerous articles in leading finance journals.
James A. Overdahl, a specialist in financial derivatives, is the Chief Economist of the United States Securities and Exchange Commission. He had previously served as chief economist of the Commodity Futures Trading Commission and has nearly two decades of experience in senior positions at various federal financial regulatory agencies. He has taught economics and finance at the University of Texas at Dallas, Georgetown University, Johns Hopkins University, and George Washington University. Overdahl earned his PhD in economics from Iowa State University.
| Overview of Financial Derivatives | |
| Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products | |
| Introduction | |
| A Generalist's Approach to Derivative Contracts | |
| Structured Products and an Application to Derivative Contracts | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| The Derivatives Marketplace: Exchanges and the Over-the-Counter Market | |
| Introduction | |
| Standardization vs. Customized Products: Differences in Structure and Approach | |
| Competition and Consolidation: Impetus for Change | |
| Moving from Bilateral to Multilateral Risk Management | |
| Transparency and Information in the Exchange and OTC Marketplaces | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| Speculation and Hedging | |
| Hedging Transactions | |
| Speculation | |
| From Hedging to Speculation | |
| The Interaction between Hedgers and Speculators | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| The Social Functions of Financial Derivatives | |
| Hedging and Risk Transfer | |
| Price Discovery | |
| Intertemporal Resource Allocation | |
| Asset Finance | |
| Synthetic Asset Allocation | |
| Endnotes | |
| References | |
| About the Author | |
| Types of Financial Derivatives | |
| Agricultural and Metallurgical Derivatives: Pricing | |
| Introduction | |
| Commodities | |
| Seasonality in Spot and Futures Prices | |
| Futures Pricing | |
| Conclusion | |
| References | |
| Suggested Further Reading | |
| About the Author | |
| Agricultural and Metallurgical Derivatives: Speculation and Hedging | |
| Introduction | |
| Commodities | |
| Derivatives | |
| Commodity Investment Strategies | |
| Hedging | |
| Spreads | |
| Conclusion | |
| References | |
| Suggested Further Reading | |
| About the Author | |
| Equity Derivatives | |
| Introduction | |
| Stock Options | |
| Equity Futures | |
| Equity Swaps | |
| The Future of Equity Derivatives | |
| References | |
| About the Authors | |
| Foreign Exchange Derivatives | |
| Basic Pricing Principles | |
| Foreign Exchange Forward and Futures Contracts | |
| Foreign Exchange Options | |
| FX Option Pricing | |
| Plain Vanilla Foreign Exchange Swaps | |
| Flavored Currency Swaps | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| Energy Derivatives | |
| Introduction | |
| Products: An Overview | |
| History | |
| Petroleum Derivatives: Details | |
| Natural Gas Derivatives: Details | |
| Electricity Derivatives: Details | |
| Pricing | |
| Clearing | |
| Recent Developments | |
| References | |
| About the Author | |
| Interest Rate Derivatives | |
| Exchange Traded (Listed) Derivatives | |
| Over the Counter Derivatives | |
| Further Reading | |
| About the Author | |
| Exotic Options | |
| Overview | |
| Forward-Start Options | |
| Compound Options | |
| Chooser Options | |
| Barrier Options | |
| Binary Options | |
| Lookback Options | |
| Asian or Average Price Options | |
| Exchange Options | |
| Rainbow Options | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| Event Derivatives | |
| Types of Prediction Markets | |
| Applications and Evidence | |
| Accuracy of Prediction Markets | |
| Possibilities for Arbitrage | |
| Can Event Markets Be Easily Manipulated? | |
| Market Design | |
| Making Inferences from Prediction Markets | |
| Innovative Future Applications? | |
| Acknowledgements | |
| Endnotes | |
| References | |
| About the Author | |
| Credit Default Swaps | |
| Credit Default Swaps on Corporate Debt | |
| Credit Default Swaps on Asset-Backed Securities | |
| Credit Default Swaps on Collateralized Debt Obligations | |
| The Basis | |
| CDS Indices | |
| Tranches of CDS Indices | |
| Trading strategies using indexes and tranches | |
| Market Dynamics: CDS and CDOs | |
| Synthetic CDOs and Bespokes | |
| Correlation | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| Structured Credit Products | |
| ABS | |
| CDOs | |
| CMBS | |
| Endnotes | |
| References | |
| About the Author | |
| Chapter 15 | |
| Introduction | |
| Basic Features of Executive Stock Options (ESOs) | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| Emerging Derivative Instruments | |
| Economic Derivatives | |
| Real Estate Derivatives | |
| The Next Frontier | |
| Endnotes | |
| References | |
| Suggested Further Reading | |
| About the Author | |
| The Structure of Derivatives Markets and Institutions | |
| The Development and Current State of Derivatives Markets | |
| Introduction: The Situation in the 1960s | |
| Financial Futures and Options | |
| Foreign Markets | |
| OTC Markets | |
| Energy Derivatives | |
| The Rise of Electronic Trading | |
| Current Conditions: Consolidation and Crisis | |
| Endnotes | |
| References | |
| About the Author | |
| Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds | |
| Intermediaries for Exchange-traded Derivatives | |
| Intermediaries for OTC Derivatives | |
| Endnotes | |
| References | |
| About the Author | |
| Chapter 19 | |
| Introduction | |
| The Functions of Clearinghouses | |
| Clearing and Liquidity | |
| Competition Between Exchanges | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Authors | |
| Counterparty Credit Risk | |
| Measuring Counterparty Credit Risk Exposure | |
| Managing Counterparty Credit Risk | |
| Infrastructure Improvements Aimed at Mitigating Counterparty Credit Risk | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| Chapter 21 | |
| Tiered Regulatory Design | |
| Statutory Exclusions for Certain OTC Derivatives | |
| Security Futures Products (SFPs) | |
| Retail Foreign Currency Fraud | |
| Exempt Commercial Markets | |
| CFTC Reauthorization Act of 2008 | |
| Future Legislative Reforms | |
| Endnotes | |
| About the Author | |
| Accounting for Financial Derivatives | |
| Alternative Accounting Categories | |
| Conclusion | |
| References | |
| About the Author | |
| Derivative Scandals and Disasters | |
| Introduction | |
| Anatomy of Derivative-Related Failures | |
| Investment Strategies and Exogenous Shocks behind Our Five Derivative Fiascos | |
| Lessons Learned from Derivative Scandals and Disasters | |
| Broader Implications of Derivative Scandals and Disasters | |
| Conclusion | |
| Acknowledgements | |
| Endnotes | |
| References | |
| Suggested Further Reading | |
| About the Author | |
| Pricing of Derivatives: Essential Concepts | |
| No-Arbitrage Pricing | |
| Free Lunches | |
| The Theory of Put/Call Parity | |
| The Binomial Option Pricing Model | |
| Put Pricing in the Presence of Call Options: Further Study | |
| Binomial Put Pricing | |
| Binomial Pricing with Asymmetric Branches | |
| The Effect of Time | |
| The Effect of Volatility | |
| Intuition Into Black-Scholes | |
| Endnotes | |
| References | |
| Further Reading | |
| About the Author | |
| The Pricing of Forward and Futures Contracts | |
| The cost of carry model | |
| The Carry Return | |
| Commodity Futures | |
| The Convenience Yield | |
| Delivery Options | |
| Interest rate futures and forwards: Eurodollar futures and Forward Rate Agreements | |
| Interest rate futures and forwards: Treasury Bond and Treasury Note futures | |
| Should futures and forward prices be the same? | |
| The Expectations Model: An alternative theory for the pricing of forwards and futures | |
| Electricity Forwards and Futures | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| The Black-Scholes Option Pricing Model | |
| Introduction | |
| Brief history | |
| The Black-Scholes Formula | |
| Assumptions of the Black-Scholes Model | |
| Discussion of Assumptions | |
| Itô Process | |
| An Example | |
| An Excel Application | |
| Simple Derivation of Black-Scholes | |
| A Numerical Example | |
| The Greeks | |
| Risk-neutral Pricing | |
| Conclusion | |
| References | |
| About the Author | |
| The Black-Scholes Legacy: Closed-Form Option Pricing Models | |
| Introduction | |
| The Black-Scholes Model | |
| First Generation of Models (One lognormal underlying) | |
| Second Generation of Models (Two lognormal underlyings) | |
| Third Generation of Models (One non-longnormal underlying) | |
| Fourth Generatino of Models | |
| Conclusion | |
| References | |
| About the Author | |
| The Pricing and Valuation of Swaps | |
| Introduction | |
| A framework for pricing and valuation | |
| Steps for swap pricing | |
| Other swaps | |
| Endnotes | |
| References | |
| About the Authors | |
| Advanced Pricing Techniques | |
| Monte Carlo Techniques in Pricing and Using Derivatives | |
| Monte Carlo Simulation in the Pricing of Derivatives | |
| Pricing a Classic Black-Scholes Option | |
| Pricing a Rainbow Option | |
| Endnotes | |
| References | |
| About the Author | |
| Valuing Derivatives Using Finite Difference Models | |
| Introduction | |
| An Overview | |
| Basic Models | |
| Higher Dimension Problems | |
| The Pros and Cons of Finite Difference Models | |
| Suggested Further Reading | |
| References | |
| About the Author | |
| Chapter 21 | |
| Introduction | |
| Stochastic Processes | |
| Basic Elements of Stochastic Calculus | |
| Binomial Tree - Another Way of Visualizing a Stochastic Process | |
| Conclusion | |
| References | |
| Appendix: Heuristic Derivation of Ito's Formula | |
| About the Authors | |
| Chapter Thirty Two: Measuring and Hedging Option Price Sensitivities | |
| Delta | |
| Gamma | |
| Theta | |
| Vega | |
| Rho and Other Option Sensitivities | |
| Hedging Delta, Gamma, and Vega | |
| Conclusion | |
| References | |
| About the Author | |
| Using Financial Derivatives | |
| Option Strategies | |
| Building Blocks | |
| Covered Calls and Protective Puts | |
| Synthetic Positions | |
| Bull and Bear Spreads | |
| Cylinders | |
| Straddles, Strangles, Strips, and Straps | |
| Ratio Spreads | |
| Box Spreads | |
| Butterflies, Condors, and Seagulls | |
| Time Strategies | |
| Multi-Asset Strategies | |
| References | |
| About the Author | |
| The Use of Derivatives in Financial Engineering: Hedge Fund Applications | |
| Queens College The Use of Derivatives in Financial Engineering: Hedge Fund Applications | |
| Convertible Bond Arbitrage | |
| Capital Structure Arbitrage | |
| Endnotes | |
| References | |
| About the Authors | |
| Hedge Funds and Financial Derivatives | |
| Introduction | |
| A Survey of Derivative Use by Hedge Funds | |
| Modeling Hedge Fund Risks | |
| Description of Some Popular Hedge Fund Strategies | |
| Some Unusual Derivatives Trades Made by Hedge Funds | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Author | |
| Real Options and Applications in Corporate Finance | |
| Introduction | |
| A Brief History of Real Options | |
| Distinction Between Financial Options and Real Options | |
| Types of Real Options and Examples in the Energy Industry | |
| Valuing Real Options | |
| Conclusion | |
| Endnotes | |
| References | |
| About the Authors | |
| Using Derivatives to Manage Interest Rate Risk | |
| Introduction | |
| Forward-Based Instruments | |
| Option-Based Instruments | |
| Conclusion | |
| Suggested Further Reading | |
| About the Author | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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