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Unformatted text preview: Problems and Solutions Manual to accompany Derivatives: Principles & Practice Rangarajan K. Sundaram Sanjiv R. Das April 2, 2010 Sundaram & Das: Derivatives  Problems and Solutions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Contents Chapter 1. Futures & Options  Overview 3 Chapter 2. Futures Markets 8 Chapter 3. Pricing Forwards & Futures I 21 Chapter 4. Pricing Forwards & Futures II 40 Chapter 5. Hedging with Futures & Forwards 50 Chapter 6. Interest Rate Forwards & Futures 69 Chapter 7. Options Markets 88 Chapter 8. Option Payos & Trading Strategies 96 Chapter 9. NoAbitrage Restrictions on Option Prices 108 Chapter 10. EarlyExercise & PutCall Parity 122 Chapter 11. Option Pricing: An Introduction 134 Chapter 12. Binomial Option Pricing 154 Chapter 13. Implementing the Binomial Model 180 Chapter 14. Black & Scholes Model 192 Chapter 15. The Mathematics behind BlackScholes 206 Chapter 16. Options Modeling: Beyond BlackScholes 222 Chapter 17. Sensitivity Analysis: Greeks 239 Chapter 18. Exotic Options I: PathIndependent Options 257 Chapter 19. Exotic Options II: PathDependent Options 279 Chapter 20. Value at Risk 303 Chapter 21. Convertible Bonds 323 Chapter 22. Real Options 337 Sundaram & Das: Derivatives  Problems and Solutions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Chapter 23. Swaps and Floating Rate Products 346 Chapter 24. Equity Swaps 361 Chapter 25. Currency and Commodity Swaps 371 Chapter 26. Term Structure of Interest Rates: Concepts 383 Chapter 27. Estimating the Yield Curve 397 Chapter 28. Modeling Term Structure Movements 420 Chapter 29. Factor Models of the Term Structure 433 Chapter 30. The HeathJarrowMorton and Libor Market Models 449 Chapter 31. Credit Derivative Products 467 Chapter 32. Structural Models of Default Risk 475 Chapter 33. Reducedform Models of Default Risk 486 Chapter 34. Modeling Correlated Default 501 Chapter 35. Derivative Pricing with FiniteDierencing 514 Chapter 36. Derivative Pricing with Monte Carlo Simulation 519 Appendix: Using Octave 531 Sundaram & Das: Derivatives  Problems and Solutions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Chapter 1. Futures & Options  Overview 1. What is a derivative security? Answer: A derivative security is a nancial security whose value depends on (or derives from) other, more fundamental, underlying variables such as the price of a stock, a commodity price, an interest rate, an exchange rate, or an index level. The underlying may also be a derivative security itself there are many derivatives that are written on other derivatives. 2. Give an example of a security that is not a derivative....
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This note was uploaded on 01/19/2012 for the course FIN 4550 taught by Professor Young during the Spring '11 term at UCM.
 Spring '11
 young
 Derivatives

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