CiNii 図書 - Derivatives : valuation and risk management

This new project will draw heavily on the author's previous work on derivative securities (published by McGraw-Hill): Options and Financial Futures. Because of increasing interest in the use (and misuse) of derivative securities in portfolio management, new courses have emerged that are called "risk management," but are primarily based on valuation and application of derivatives. Derivatives: Valuation and Risk Management will be reorganized in three parts: 1) Introduction to the securities and their use, 2) pricing of futures, swaps (new) and options, 3) using derivative securities to manage risk. It will be used in courses called "future and options" or "derivative securities" but will expand primarily into courses called "risk management" for which there is only one book, Smithson/Smith/Wilford: Managing Financial Risk (Irwin 1996). The author will prepare an Instructor's Manual (CRC) and a diskette on risk management. While we expect professional sales for the book, its primary market is for college courses, at the high end of the undergraduate and in MBA programs.

1. An Overview of Derivative Contracts
2. Risk and Risk Management
3. Introduction to Forward Contracts
4. Using Forward Contracts to Manage Risk
5. Determining Forward Prices and Futures Prices
6. Introduction to Futures
7. Risk Management with Futures Contracts
8. Stock Index Futures
9. Treasury Bond and Treasury Note Futures
10. Treasury Bill and Eurodollar Features
11. An Introduction to Swaps
12. Using Swaps to Manage Risk
13. Pricing and Valuing Swaps
14. Introduction to Options
16. Arbitrage Restrictions on Option Prices
17. The Binomial Option Pricing Model
18. Continuous Time Option Pricing Models
19. Risk Management for Using Options
20. Current Topics in Risk Management

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Derivatives : valuation and risk management

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