2010Apr02_ProblemsAndSolutions(2)

2010Apr02_ProblemsAndSolutions(2) - Problems and Solutions...

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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. No-Abitrage Restrictions on Option Prices 108 Chapter 10. Early-Exercise & Put-Call 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 Black-Scholes 206 Chapter 16. Options Modeling: Beyond Black-Scholes 222 Chapter 17. Sensitivity Analysis: Greeks 239 Chapter 18. Exotic Options I: Path-Independent Options 257 Chapter 19. Exotic Options II: Path-Dependent 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 Heath-Jarrow-Morton and Libor Market Models 449 Chapter 31. Credit Derivative Products 467 Chapter 32. Structural Models of Default Risk 475 Chapter 33. Reduced-form Models of Default Risk 486 Chapter 34. Modeling Correlated Default 501 Chapter 35. Derivative Pricing with Finite-Dierencing 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.

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2010Apr02_ProblemsAndSolutions(2) - Problems and Solutions...

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