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Designed to bridge the gap between theory and practice, Options, Futures, and Other Derivatives is the top seller among both the academic audience and derivative practitioners around the world. Building on this standard of excellence with examples and data from India, this edition offers a fresh perspective on derivatives.
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Features
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- NEW - Details about the Indian derivatives market, including the latest data from the National Stock Exchange of India
- NEW - Business Snapshots that discuss issues such as regulations, risk-management tools, and interest-rate regimes
- NEW - A detailed analysis of the credit crisis of 2008
- Additional material on credit derivatives and volatility trading
- Detailed explanations of new concepts Additional end-of-chapter problems and numerical examples
- An accompanying CD that contains easy-to-use software with which users can value options and create their own applications
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Contents
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- Introduction
- Mechanics of futures markets
- Hedging strategies using futures
- Interest rates
- Determination of forward and futures prices
- Interest rate futures
- Swaps
- Mechanics of options markets
- Properties of stock options
- Trading strategies involving options
- Binomial trees
- Wiener processes and Itô’s lemma
- The Black–Scholes–Merton model
- Derivatives markets in developing countries
- Options on stock indices and currencies
- Futures options
- The Greek letters
- Volatility smiles
- Basic numerical procedures
- Value at risk
- Estimating volatilities and correlations
- Credit risk
- Credit derivatives
- Exotic options
- Weather, energy, and insurance derivatives
- More on models and numerical procedures
- Martingales and measures
- Interest rate derivatives: the standard market models
- Convexity, timing, and quanto adjustments
- Interest rate derivatives: models of the short rate
- Interest rate derivatives: HJM and LMM
- Swaps revisited
- Real options
- Derivatives mishaps and what we can learn from them
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Book Details
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Author(s):
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ISBN
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9788131723586
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Pages
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864
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Imprint
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Pearson Education
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Binding
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Paperback
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With
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CD
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© Year
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2009
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Weight
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1.5 Kg
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