Risk Management and Financial Derivatives: A Guide to the Mathematics - Rilegato

Das, Satyajit

Rilegato

ISBN 10: 0333713974 ISBN 13: 9780333713976

Casa editrice: Palgrave Macmillan, 1998

Riassunto

Modern financial management entails an appreciation of a number of key mathematical concepts. This is particularly relevant to risk and risk management products, such as derivatives. The central role played by these products in capital markets is forcing an ever broader range of personnel to be aware of and utilise these concepts either from a supervisory perspective or in their day-to-day activities. This book explains the mathematical basis of risk and derivatives in a non-technical manner to allow non (maths) specialists to gain an appreciation of the concepts that are utilised. Each chapter is written by a leading market practitioner. The book looks at the basic mathematics underlying risk and risk management products and the applications of these techniques to a number of common settings. This should allow understanding to be gained about concepts actually used.

Su questo libro

L'autore:

SATYAJIT DAS is a leading international specialist in the area of financial derivatives and treasury management. He has presented seminars on financial derivatives and treasury management/corporate finance in Europe, North America, Asia and Australia. He acts as a consultant to financial institutions and corporations on derivative instruments, risk management and treasury/financial management issues.

Contenuti:

Preface
About the Authors
Selected Bibliography
PART 1: INTRODUCTION
Risk-Reward Relationships - Foundations of Derivatives; L.Smith
PART 2: INTEREST RATES AND YIELD CURVES
Interest Rates, Bond Pricing, Duration and Convexity; R.Cohen
Interest Rate and Yield Curve Modelling; S.Das (with a contribution from R.Cohen
PART 3: DERIVATIVE PRICING
Pricing Forwards and Futures Contracts; J.Martin
Pricing Options; S.Das
Interest Rate Option Pricing Models; J.Rowlands
Pricing Models for Complex/Exotic Options; Dr G.deJager
Estimating Volatility; S.Das
Estimating Volatility and Correlation using ARCH/GARCH Models; C.Alexander
Measuring Option Price Sensitivity - The "Greek Alphabet" of Risk; S.Das
Option Replication Utilising Delta Hedging; S.Das
PART 4: INVESTMENT MANAGEMENT
Portfolio Optimisation; G.Brianton
Risk Management for Bond Portfolios; R.Cohen
Portfolio Insurance; S.Roe
Indexation of Portfolios; F.Cowell
PART 5: RISK MANAGEMENT
Value at Risk Models; S.Das & J.Martin
Portfolio Simulation: Stress Testing Techniques; L.Smith
Credit Risk Measurement; A.Bustany
PART 6: MATHEMATICAL TECHNIQUES
Mathematical Techniques; T.R.Gillespie
Index

Su questa edizione

• Editore: Palgrave Macmillan
• Data di pubblicazione: 1998
• ISBN 10: 0333713974
• ISBN 13: 9780333713976
• Rilegatura: Copertina rigida
• Numero di pagine: 832