Financial Derivatives: Pricing and Risk ManagementISBN: 978-0-470-49910-8
Hardcover
624 pages
November 2009
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Introduction xxii
Acknowledgments xxiv
PART I Overview of Financial Derivatives 1
1 Derivative Instruments: Forwards, Futures, Options, Swaps, and
Structured Products 3
G. D. Koppenhaver
2 The Derivatives Marketplace: Exchanges and the
Over-the-Counter Market 21
Sharon Brown-Hruska
3 Speculation and Hedging 43
Greg Kuserk
4 The Social Functions of Financial Derivatives 57
Christopher L. Culp
PART II Types of Financial Derivatives 73
5 Agricultural and Metallurgical Derivatives: Pricing 77
Joan C. Junkus
6 Agricultural and Metallurgical Derivatives: Speculation and
Hedging 89
Joan C. Junkus
7 Equity Derivatives 103
Jeffrey H. Harris and L. Mick Swartz
8 Foreign Exchange Derivatives 115
Robert W. Kolb
9 Energy Derivatives 125
Craig Pirrong
10 Interest Rate Derivatives 135
Ian Lang
11 Exotic Options 143
Robert W. Kolb
12 Event Derivatives 157
Justin Wolfers and Eric Zitzewitz
13 Credit Default Swaps 177
Steven Todd
14 Structured Credit Products 199
Steven Todd
15 Executive Stock Options 211
Robert W. Kolb
16 Emerging Derivative Instruments 221
Steve Swidler
PART III The Structure of Derivatives Markets and Institutions 231
17 The Development and Current State of Derivatives Markets
233
Michael A. Penick
18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools,
and Funds 249
James L. Carley
19 Clearing and Settlement 263
James T. Moser and David Reiffen
20 Counterparty Credit Risk 283
James Overdahl
21 The Regulation of U.S. Commodity Futures and Options
295
Walter L. Lukken
22 Accounting for Financial Derivatives 305
Ira G. Kawaller
23 Derivative Scandals and Disasters 313
John E. Marthinsen
PART IV Pricing of Derivatives: Essential Concepts 333
24 No-Arbitrage Pricing 335
Robert A. Strong
25 The Pricing of Forward and Futures Contracts 351
David Dubofsky
26 The Black-Scholes Option Pricing Model 371
A. G. Malliaris
27 The Black-Scholes Legacy: Closed-Form Option PricingModels
387
António Câmara
28 The Pricing and Valuation of Swaps 405
Gerald Gay and Anand Venkateswaran
PART V Advanced Pricing Techniques 423
29 Monte Carlo Techniques in Pricing and Using Derivatives
425
Cara M. Marshall
30 Valuing Derivatives Using Finite Difference Methods 441
Craig Pirrong
31 Stochastic Processes and Models 455
George Chalamandaris and A. G. Malliaris
32 Measuring and Hedging Option Price Sensitivities 477
R. Brian Balyeat
PART VI Using Financial Derivatives 501
33 Option Strategies 503
Stewart Mayhew
34 The Use of Derivatives in Financial Engineering: Hedge Fund
Applications 525
John F. Marshall and Cara M. Marshall
35 Hedge Funds and Financial Derivatives 541
Tom Nohel
36 Real Options and Applications in Corporate Finance 559
Betty Simkins and Kris Kemper
37 Using Derivatives to Manage Interest Rate Risk 575
Steven L. Byers
Index 591