Derivatives - Rilegato

Sundaram, Rangarajan; Das, Sanjiv

Rilegato

ISBN 10: 0072949317 ISBN 13: 9780072949315

Casa editrice: McGraw-Hill Education, 2010

Riassunto

It has been the authors' experience that the overwhelming majority of students in MBA derivatives courses go on to careers where a deep conceptual, rather than solely mathematical, understanding of products and models is required. The first edition of Derivatives looks to create precisely such a blended approach, one that is formal and rigorous, yet intuitive and accessible.

The main body of this book is divided into six parts. Parts 1-3 cover, respectively, futures and forwards; options; and swaps. Part 4 examines term-structure modeling and the pricing of interest-rate derivatives, while Part 5 is concerned with credit derivatives and the modeling of credit risk. Part 6 discusses computational issues.

Su questo libro

Contenuti:

Chapter 1: Introduction

Part 1: Futures and Forwards

Chapter 2: Futures Markets

Chapter 3: Pricing Forwards and Futures I: The Basic Theory

Chapter 4: Pricing Forwards and Futures II

Chapter 5: Hedging with Futures & Forwards

Chapter 6: Interest-Rate Forwards & Futures

Part II: Equity Derivatives

Chapter 7: Options Markets

Chapter 8: Options: Payoffs & Trading Strategies

Chapter 9: No-Arbitrage Restrictions on Option Prices

Chapter 10: Early Exercise and Put-Call Parity

Chapter 11: Option Pricing: An Introduction

Chapter 12: Binomial Option Pricing

Chapter 13: Implementing the Binomial Model

Chapter 14: The Black-Scholes Model

Chapter 15: The Mathematics of Black-Scholes

Chapter 16: Options Modeling: Beyond Black-Scholes

Chapter 17: Sensitivity Analysis: The Option “Greeks”

Chapter 18: Exotic Options I: Path-Independent Options

Chapter 19: Exotic Options II: Path-Dependent Options

Chapter 20: Value-at-Risk

Chapter 21: Convertible Bonds

Chapter 22: Real Options

Part III: Swaps

Chapter 23: Interest-Rate Swaps and Floating Rate Products

Chapter 24: Equity Swaps

Chapter 25: Currency Swaps

Part IV: Interest Rate Modeling

Chapter 26: The Term Structure of Interest Rates: Concepts

Chapter 27: Estimating the Yield Curve

Chapter 28: Modeling Term Structure Movements

Chapter 29: Factor Models of the Term Structure

Chapter 30: The Heath-Jarrow-Morton and Libor Market Models

Part V: Credit Derivative Products

Chapter 31: Credit Derivative Products

Chapter 32: Structural Models of Default Risk

Chapter 33: Reduced Form Models of Default Risk

Chapter 34: Modeling Correlated Default

Part VI: Computation

Chapter 35: Derivative Pricing with Finite Differencing

Chapter 36: Derivative Pricing with Monte Carol Simulation

Chapter 37: Using Octave

Product Description:

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Su questa edizione

• Editore: McGraw-Hill Education
• Data di pubblicazione: 2010
• ISBN 10: 0072949317
• ISBN 13: 9780072949315
• Rilegatura: Copertina rigida
• Numero di pagine: 900