Introduction to Derivatives Options, Futures, and Swaps

by Johnson, R. Stafford

• ISBN13: 9780195301656
• ISBN10: 019530165X
• Edition: CD
• Format: Hardcover
• Copyright: 2008-06-23
• Publisher: Oxford University Press

Summary

Since the 1970s, the U.S. economy has experienced relatively sharp swings in stock prices, interest rates, and exchange rates, which has increased the exposure of many debt, equity, and currency positions to market risk. Faced with this risk, many institutional investors have increased theiruse of futures, option contracts, and other derivative securities. Understanding this dynamic investment environment requires that one grasp the markets and uses for this increasing number of derivatives. The purpose of this book is to provide finance students and professionals with an exposition ofderivatives that will take them from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and pricing models. This synthesis of fundamental and advanced topics should provide students of finance with better methods of understanding thecomplexities involved in the evaluation and selection of derivatives and derivative positions with detailed structures. Derivatives should appeal to MBA, MS, and advanced undergraduate finance students, and professionals in equity and debt management.

Author Biography

R. Stafford Johnson is Professor of Finance in the William College of Business at Xavier University.

Table of Contents

List of Exhibits

List of Figures

List of Tables

Preface

Option Strategies and Markets

Option Concepts and Fundamental Strategies

The Option Market

Option Strategies

Option Pricing

Fundamental Option Price Relations

The Binomial Option Pricing Model

The Binomial Pricing of Options on Dividend-Paying Stocks and Stock Indices

The Binomial Pricing of Options on Currencies and Bonds

The Black Scholes Option Pricing Model

Applications of the Option Pricing Model, The Greeks, and Exotic Options

Futures and Futures Option Contracts

Futures and Forward Contracts

Pricing Futures and Forward Contracts

Options on Futures Contracts

Managing Equity, Currency, and Debt Positions with Derivatives

Managing Equity Positions with Stock Index Derivatives

Managing Foreign Currency Positions with Derivatives

Managing Fixed-Income Positions with Interest-Rate Derivatives

Managing Fixed-Income Positions with OTC Derivatives

SWAPS

Interest Rate Swaps

Swap Derivatives: Forward Swaps and Swaptions

Swap Valuation

Currency and Credit Swaps

Embedded Options and Asset-Backed Securities

Embedded Options

Mortgage and Asset-Backed Securities and Their Derivatives

Exponents and Logarithms

Statistical Concepts

Bond Fundamentals

Guide to Derivative Excel Programs

Guide to Bloomberg's Derivative Information and Programs

Answers to Selected End-of-the- Problems

Glossery of Terms

Index

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