73323076-0-Contents

73323076-0-Contents - CONTENTS IN BRIEF List of Business...

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CONTENTS IN BRIEF List of Business Snapshots xvi List of Technical Notes xvii Preface xix VI. Introduction 1 v 2. Mechanics of futures markets 21 v 3. Hedging, strategies using futures .47 v 4. Interest rates 75 v' 5. Determination of forward and futures prices 99 v 6. Interest rate futures 129 v' 7. Swaps 149 V 8._Mechanics of options markets 181 v 9. Properties of stock options 205 v 10. Trading strategies involving options 223 v 11. Binomial trees 241 v 12. Wiener processes and Ito's lemma 263 .; 13. The Black-Scholes-Merton model 281 v 14. Options on stock indices, currencies, and futures 313 II 15. The Greek letters · 341 v 16. VoIatility smiles - 375 17. Basic numerical procedures 391 II 18. Value at risk 435 19. Estimating volatilities and correlations 461 20. Credit risk 481 21. Credit derivatives 507 22. Exotic options 529 23. Weather, energy, and insurance derivatives 551 24. More on models and numerical procedures 561 25. Martingales and measures 589 26. Interest rate derivatives: the standard market models 611 27. Convexity, timing, and quanto adjustments ,.. 635 28. Interest rate derivatives: models of the short rate 649 29. Interest rate derivatives: HJM and LMM 679 30. Swaps revisited 697 31. Real options 713 -/ 32. Derivatives mishaps and what we can learn from them 729 Glossary of terms 741 DerivaGem software 761 Major exchanges trading futures and options 767 Tables for N(x) 768 Author index : 771 Subject index
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Contents List of Business Snapshots xvi List of Technical Notes xvii Preface xix Chapter 1 Introduction 1 1.1 Exchange-traded markets I 1.2 Over-the-counter markets 2 1.3 Forward contracts 3 1.4 Futures contracts 6 1.5 Options 6 1.6 Types of traders 8 1.7 Hedgers 9 1.8 Speculators II 1.9 Arbitrageurs 14 1.10 Dangers IS Summary IS Further reading 16 Questions and problems 16 Assignment questions 18 Chapter 2 Mechanics of futures markets 21 2.1 Background 21 2.2 Specification of a futures contract. . 23 2.3 Convergence of futures price to spot price 26 2.4 Daily settlement and margins 26 2.5 Newspaper quotes 31 2.6 Delivery 35 2.7 Types of traders and types of orders 36 2.8 Regulation 37 2.9 Accounting and tax 39 2.10 Forward vs. futures cOl1tracts 40 Summary 41 Further reading 42 Questions and problems 43 Assignment questions 44 Chapter 3 Hedging strategies using futures 47 3.1 Basic principles 47 3.2 Arguments for and against hedging 50 3.3 Basis risk 53 3.4 Cross hedging 56 3.5 Stock index futures : 60 vii
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viii 3.6 Contents Rolling the hedge forward 67 Summary 68 Further reading 69 Questions and problems 70 Assignment questions 71 Appendix: Proof of the minimum variance hedge ratio formula 73 Chapter 4 Interest rates 75 4.1 Types of rates · · 75 4.2 Measuring interest rates 77 4.3 Zero rates 80 4.4 Bond pricing ; 80 4.5 Determining Treasury zero rates 82 4.6 Forward rates 84 4.7 Forward rate agreements 87 4.8 Duration 89 4.9 Convexity 92 4.10 Theories of the term structure of interest rates 93 Summary 94 Further reading 95 Questions and problems 95 Assignnlent questions 97 Chapter 5 Determination of forward and futures prices 99 5. r Investment assets vs. consumption assets 99 5.2 Short selling 99 5.3 Assumptions and notatioh 101 5.4 Forward price for an investment asset 101 5.5 Known income 104 5.6 Known yield
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73323076-0-Contents - CONTENTS IN BRIEF List of Business...

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