Options, futures, and other derivative securities
著者
書誌事項
Options, futures, and other derivative securities
Prentice-Hall, c1993
2nd ed
- :
- : pbk
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注記
"Prentice Hall International editions" -- Cover
Includes bibliographical references and indexes
内容説明・目次
- 巻冊次
-
: pbk ISBN 9780130165770
内容説明
This text aims to cover all aspects of the valuation of options, futures and other derivative securities. It is structured so that it may be used with or without a knowledge of calculus, and to provide a clear, non-technical explanation of the Cox, Ingersoll and Ross equilibrium models. Other features include an explanation of the Heath, Jarrow and Morton work and a full discussion of yield-curve-based model. There is also expanded coverage of futures markets, hedging and duration. The book is designed for undergraduate and post-graduate courses in options and futures, derivative securities or speculative markets.
目次
- Futures markets and the use of futures for trading forward and futures prices
- interest rate futures
- swaps
- options markets
- properties of stock option prices
- trading strategies involving options
- a model of the behaviour of stock prices
- the Black-Scholes analysis
- options in stock indices
- a general approach to pricing
- hedging positions in options and other derivative securities
- numerical procedures
- interest rate derivative securities
- exotic options
- alternatives to Black-Scholes for option pricing credit risks
- review of key concepts.
- 巻冊次
-
: ISBN 9780136390145
内容説明
Provides a logical, unifying approach to the valuation and hedging of all derivative securities, not just financial futures and stock options.
目次
1. Introduction. 2. Futures Markets. 3. Forward and Futures Prices. 4. Interest Rate Futures. 5. Swaps. 6. Options Markets. 7. Properties of Stock Option Prices. 8. Trading Strategies Involving Options. 9. A Model of the Behavior of Stock Prices. 10. The Black-Scholes Analysis. 11. Options on Stock Indices, Currencies and Futures Contracts. 12. A General Approach to Pricing Derivative Securities. 13. Hedging Positions in Options and Other Derivative Securities. 14. Numerical Procedures. 15. Interest Rate Derivative Securities. 16. Alternatives to Black-Scholes for Option Pricing. 17. Credit Risk. 18. Exotic Options. 19. Review of Key Concepts.
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