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 their use of futures, option contracts, and other derivative securities. Derivatives: Markets, Strategies, and Applications provides a thorough explanation of derivatives from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and pricing models. Including more than 300 end-of-chapter problems and web exercises at the end of most chapters, Derivatives isideal for advanced undergraduate, MBA, and MS courses in finance, and serves as an excellent reference for professionals in equity and debt management. INDICE: List of Exhibits. List of Figures. List of Tables. Preface. PART I: OPTION STRATEGIES AND MARKETS. 1: Option Concepts and Fundamental Strategies. 2: The Option Market. 3: Option Strategies. PART II: OPTION PRICING. 4: Fundamental Option Price Relations. 5: The Binomial Option Pricing Model. 6: The Binomial Pricing of Options on Dividend-Paying Stocks and Stock Indices. 7: TheBinomial Pricing of Options on Currencies and Bonds. 8: The Black Scholes Option Pricing Model. 9: Applications of the Option Pricing Model, The Greeks, and Exotic Options. PART III: FUTURES AND FUTURES OPTION CONTRACTS. 10: Futures and Forward Contracts. 11: Pricing Futures and Forward Contracts. 12: Options on Futures Contracts. PART IV: MANAGING EQUITY, CURRENCY, AND DEBT POSITIONS WITH DERIVATIVES. 13: Managing Equity Positions with Stock Index Derivatives. 14: Managing Foreign Currency Positions with Derivatives. 15: Managing Fixed-Income Positions with Interest-Rate Derivatives. 16: Managing Fixed-Income Positions with OTC Derivatives. PART IV: SWAPS. 17: Interest Rate Swaps. 18: Swap Derivatives: Forward Swaps and Swaptions. 19: Swap Valuation. 20: Currency and Credit Swaps. PART V: EMBEDDED OPTIONS AND ASSET-BACKED SECURITIES. 21: Embedded Options. 22: Mortgage and Asset-Backed Securities and Their Derivatives. APPENDIX A: Exponents and Logarithms. APPENDIX B: Statistical Concepts. APPENDIXC: Bond Fundamentals. APPENDIX D: Guide to Derivative Excel Programs. APPENDIX E: Guide to Bloomberg's Derivative Information and Programs. ANSWERS TO SELECTED END-OF-THE- PROBLEMS. GLOSSERY OF TERMS. Index
- ISBN: 978-0-19-530165-6
- Editorial: Oxford University
- Encuadernacion: Cartoné
- Páginas: 816
- Fecha Publicación: 01/08/2008
- Nº Volúmenes: 1
- Idioma: Inglés