Risk Transfer: Derivatives in Theory and Practice

Introduction and Structure of the Book.

Mathematical Notation.

PART ONE: The Economics of Risk Transfer.

CHAPTER 1: The Determinants of Financial Innovation.

CHAPTER 2: Risk, Uncertainty, and Profit.

CHAPTER 3: Methods of Controlling Risk and Uncertainty.

CHAPTER 4: Risk Transfer and Contracting Structures.

CHAPTER 5: The Evolution of Derivatives Activity.

CHAPTER 6: Derivatives Trading, Clearance, and Settlement.

PART TWO: Derivatives Valuation and Asset Lending.

CHAPTER 7: Principles of Derivatives Valuation.

CHAPTER 8: Own Rates of Interest and the Cost of Carry Model.

CHAPTER 9: The Supply of Storage and the Term Structure of Forward Prices.

CHAPTER 10: The Term Structure of Interest Rates.

CHAPTER 11: Basis Relations and Spreads.

PART THREE: Speculation and Hedging.

CHAPTER 12: Speculation and the Speculative Risk Premium.

CHAPTER 13: Hedging Objectives.

CHAPTER 14: Hedge Ratios.

CHAPTER 15: Quality Basis Risk.

CHAPTER 16: Calendar Basis Risk.

PART FOUR: Appendixes.

APPENDIX 1: Economic Theory and Equilibrium.

APPENDIX 2: Derivation of the Fundamental Value Equation.

APPENDIX 3: Relation between the Cost of Carry Model and the Fundamental Value Equation.

References.

Index.