Financial engineering : derivatives and risk management

著者

書誌事項

Financial engineering : derivatives and risk management

Keith Cuthbertson and Dirk Nitzsche

Wiley, c2001

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注記

Includes bibliographical references (p. 765-768) and indexes

内容説明・目次

内容説明

This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors. The authors adopt a real-world emphasis throughout, and include features such as: * topic boxes, worked examples and learning objectives * Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases * supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software

目次

Preface xvii Part 1: Derivatives: An Overview Part 2: Forwards and Futures Part 3: Options and Swaps Part 4: Advanced Derivatives and Stochastic Processes Part 5: Risk and Regulation Glossary 735 List of Symbols 753 List of 'Topic Boxes' 759 Internet Sites 761 References 765 Author Index 769 Subject Index 771

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