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| 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 | |
| Executive Stock Options | |
| 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 | |
| Clearing and Settlement | |
| 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 | |
| The Regulation of U.S. Commodity Futures and Options | |
| 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 | |
| Stochastic Processes and Models | |
| 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 | |
| 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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