Options and financial futures : valuation and uses

書誌事項

Options and financial futures : valuation and uses

David A. Dubofsky

(McGraw-Hill series in finance)

McGraw-Hill, c1992

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この図書・雑誌をさがす

注記

Includes bibliographical references (p. 659-683) and index

内容説明・目次

内容説明

This text concentrates on how the prices of options and financial futures are determined. The material is evenly split between options and financial futures. Students are shown how to think and analyze, not just remember formulas. This text is designed for both the graduate and undergraduate courses in futures and options, speculative markets, derivative securities or advanced risk management. The book demonstrates one underlying theme to the valuation principles of options and futures arbitrage. One consistent model is used to determine prices for T-bills and T-Bonds, stock index and foreign currency futures. The book also shows how to use options and financial futures in order to reduce risk (examples exist throughout the text). An instructor's manual and software are available.

目次

  • Introduction to options
  • profit diagrams
  • arbitrage restrictions on option prices
  • put-call parity
  • binomial option pricing model
  • the Black-Scholes option pricing model
  • the importance of delta
  • stock index options
  • other options and applications
  • introduction to financial futures
  • financial futures pricing theory - the cost of carry model
  • hedging with futures contracts
  • stock index futures
  • debt instruments - prices, yields and risk
  • short term interest rate futures treasury bill and eurodollar futures
  • foreign exchange futures
  • futures options, debt options, foreign exchange options and swaps.

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詳細情報

  • NII書誌ID(NCID)
    BA1716064X
  • ISBN
    • 0070178879
  • LCCN
    91037801
  • 出版国コード
    us
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    New York
  • ページ数/冊数
    xx, 699 p.
  • 大きさ
    25 cm
  • 分類
  • 件名
  • 親書誌ID
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