Rangarajan Sundaram,
Sanjiv Das,
Sanj Das
Derivatives
Gebonden Engels 2015 2e druk 9780078034732Levertijd ongeveer 11 werkdagen
Gratis verzonden
Samenvatting
Derivatives makes a special effort throughout the text to explain what lies behind the formal mathematics of pricing and hedging. Questions ranging from ‘how are forward prices determined?’ to ‘why does the Black-Scholes formula have the form it does?’ are answered throughout the text. The authors use verbal and pictorial expositions, and sometimes simple mathematical models, to explain underlying principles before proceeding to formal analysis. Extensive uses of numerical examples for illustrative purposes are used throughout to supplement the intuitive and formal presentations.
Specificaties
Lezersrecensies
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Inhoudsopgave
<h3>Chapter 1: Introduction<h2>Part 1: Futures and Forwards<h3>Chapter 2: Futures Markets<h3>Chapter 3: Pricing Forwards and Futures I: The Basic Theory<h3>Chapter 4: Pricing Forwards and Futures II<h3>Chapter 5: Hedging with Futures & Forwards<h3>Chapter 6: Interest-Rate Forwards & Futures<h2>Part II: Equity Derivatives<h3>Chapter 7: Options Markets<h3>Chapter 8: Options: Payoffs & Trading Strategies<h3>Chapter 9: No-Arbitrage Restrictions on Option Prices<h3>Chapter 10: Early Exercise and Put-Call Parity<h3>Chapter 11: Option Pricing: An Introduction<h3>Chapter 12: Binomial Option Pricing<h3>Chapter 13: Implementing the Binomial Model<h3>Chapter 14: The Black-Scholes Model<h3>Chapter 15: The Mathematics of Black-Scholes<h3>Chapter 16: Options Modeling: Beyond Black-Scholes<h3>Chapter 17: Sensitivity Analysis: The Option “Greeks”<h3>Chapter 18: Exotic Options I: Path-Independent Options<h3>Chapter 19: Exotic Options II: Path-Dependent Options<h3>Chapter 20: Value-at-Risk<h3>Chapter 21: Convertible Bonds<h3>Chapter 22: Real Options<h2>Part III: Swaps<h3>Chapter 23: Interest-Rate Swaps and Floating Rate Products<h3>Chapter 24: Equity Swaps<h3>Chapter 25: Currency Swaps<h2>Part IV: Interest Rate Modeling<h3>Chapter 26: The Term Structure of Interest Rates: Concepts<h3>Chapter 27: Estimating the Yield Curve<h3>Chapter 28: Modeling Term Structure Movements<h3>Chapter 29: Factor Models of the Term Structure<h3>Chapter 30: The Heath-Jarrow-Morton and Libor Market Models<h2>Part V: Credit Derivative Products<h3>Chapter 31: Credit Derivative Products<h3>Chapter 32: Structural Models of Default Risk<h3>Chapter 33: Reduced Form Models of Default Risk<h3>Chapter 34: Modeling Correlated Default<h2>Part VI: Computation<h3>Chapter 35: Derivative Pricing with Finite Differencing<h3>Chapter 36: Derivative Pricing with Monte Carol Simulation<h3>Chapter 37: Using Octave
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