Futures, options, and swaps

著者

書誌事項

Futures, options, and swaps

Robert W. Kolb

Blackwell Publishers, 1997

2nd ed

  • : text
  • : compuater disk

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注記

First ed.: Kolb Publishing, 1994

Includes bibliographical references and index

内容説明・目次

内容説明

This work brings together in one text a comprehensive treatment of the three most important types of financial derivatives. These three types of derivatives are linked by a common pricing framework. Readers should be able to understand, in a non-mathematical format, the relationship between these derivatives and how the markets are affected by fluctuations in their pricing. The text also emphasizes the use of futures, options and swaps in risk management, and provides ample examples describing how these instruments can be implemented. There are also many examples showing the relationship between each instrument. Each copy of the text is accompanied by an IBM-PC compatible diskette, including the program "OPTION!" which can compute virtually every option value discussed in the book. The exercises in the book can also be solved by using the "OPTION!" software.

目次

  • Part 1 Futures markets: futures prices
  • using futures markets
  • interest rate futures - introduction
  • interest rate futures - refinements. Part 2 Stock index futures: stock index futures - refinements
  • foreign currency futures
  • the options market
  • option payoffs and option strategies
  • bounds on option pricing
  • European option pricing
  • option sensitivities and option hedging
  • American option pricing
  • options on stock indexes, foreign currency and futures
  • the options approach to corporate securities
  • exotic options. Part 3 The swaps market: the swaps market - refinements. "OPTION!": installation and quick start
  • exercises for "OPTION!"
  • futures data guide.

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