Futures, options, and swaps
Author(s)
Bibliographic Information
Futures, options, and swaps
Kolb Publishing, c1994
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Note
System requirements for computer disk: IBM-compatible PC; DOS; graphics capability and hard disk recommended
Includes bibliographical references and index
Description and Table of Contents
Description
This text a comprehensive treatment of the three most important types of financial derivatives which are linked by a common pricing framework, the proposition that rational prices preclude arbitrage profits. This guiding principle is introduced in the first chapter and pursued throughout the text. Additionally, the text emphasizes the use of futures, options, and swaps in risk management. While the author features ample examples of speculative strategies that can be implemented with these instruments, the discussion emphasizes the relationship among futures, options, and swaps, for example, various parity conditions are derived and illustrated. The treatment in this text emphasizes financial derivatives, but it does not neglect traditional commodity futures. Each copy of the text is accompanied by OPTION!, an IBM PC-compatible software program, which computes the option values discussed in the book, and can be used to solve the more than 50 exercises designed to enhance the understanding of option pricing principles and applications. An instructor's manual and futures data diskette with settlement prices on a wide variety of futures contacts is available to adopters.
Table of Contents
- Futures markets
- futures prices
- using futures markets
- interest rate futures - introduction
- interest rate futures - refinements
- stock index futures - introduction
- stock index futures - refinements
- foreign currency options
- the options market
- option payoffs and option strategies
- bounds on options prices
- 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
- the swaps market - refinements
- OPTION!
- exercises for OPTION!
- futures data.
by "Nielsen BookData"