Derivative markets : theory, strategy, and applications
著者
書誌事項
Derivative markets : theory, strategy, and applications
HarperCollins College Publishers, c1996
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
This text explains how to manage portfolios using options in financial markets. Covering all products traded in the derivative markets (options, futures, futures on options), the text shows how to use contracts as risk-transferring devices and how to value options in financial markets.Int eresting applications include how to value treasury and corporate bonds, convertibles, warrants and operating leases. Ritchken also acknowledges the need to ease readers into the mathematical expressions through more practical inclinations in the business world and also from the students perspective. The author uses a consistent five-step method of introducing new concepts. Much like a geometry textbook, this book builds upon properties, followed by proofs of the property, sometimes with possible trading strategies, tabular or graphical exhibits and applied examples. This accessible presentation provides students with practical examples, presents the underlying corporate institution and overviews derivatives engineering processes. Coverage of the various pricing relationship is backed by arbitrage proofs where needed and all the models are carefully derived, and easy to follow.
目次
- Part 1 Forward and futures markets: forward and futures markets
- forward and futures prices
- hedging and forwards and futures. Part 2 Option markets: Option contracts
- option strategies
- option pricing relationships. Part 3 Pricing derivatives: the stochastic process for stock prices
- binomial models for option pricing
- the black scholes model
- risk management with options. Part 4 The wide variety of derivative contracts: the wide variety of derivative contracts
- options on forwards, futures, and consumption commodities
- stock index derivatives
- foreign exchange derivatives
- pricing options on futures, stock indices and foreign currencies
- exotics
- corporate securities. Part 5 Interest rate derivatives: spot and forward markets for debt instruments
- simple models for interest rate risk management
- organized exchange traded interest rate derivatives
- swaps and over the counter interest rate derivatives. Part 6 Advanced topics in interest rate derivatives: pricing relationships and the theory of the term structure
- single factor models for pricing interest rate claims
- term structure constrained models.
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