Swaps/financial derivatives : products, pricing, applications and risk management
著者
書誌事項
Swaps/financial derivatives : products, pricing, applications and risk management
(Wiley finance series)
Wiley, 2004
3rd ed
- : set
- v. 1
- v. 2
- v. 3
- v. 4
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注記
Vols. 1-2 have CD-ROMs
Includes bibliographical references and indexes
内容説明・目次
内容説明
目次
- Introduction
- Volume 1
- ROLE AND FUNCTION OF DERIVATIVES
- 1. Financial Derivatives Building Blocks - Forward & Option Contracts
- DERIVATIVE INSTRUMENTS
- 2. Exchange-Traded Products - Futures & Options On Futures Contracts
- 3. Over-The-Counter Products - FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options
- PRICING & VALUING DERIVATIVE INSTRUMENTS
- 4. Derivatives Pricing Framework
- 5. Interest Rates & Yield Curves
- 6. Pricing Forward & Futures Contracts
- 7. Option Pricing
- 8. Interest Rate Options Pricing
- 9. Estimating Volatility & Correlation
- 10. Pricing Interest Rate & Currency Swaps
- 11. Swap Spreads
- DERIVATIVE TRADING & PORTFOLIO MANAGEMENT
- 12. Derivatives Trading & Portfolio Management
- 13. Hedging Interest Rate Risk - Individual Instruments
- 14. Hedging Interest Rate Risk - Portfolios
- 15. Measuring Option Price Sensitivities - The Greek Alphabet of Risk
- 16. Delta Hedging/Management of Option Portfolios
- Volume 2
- RISK MANAGEMENT PRINCIPLES
- 17. Framework For Risk Management
- MARKET RISK
- 18. Market Risk Measurement
- 19. Stress Testing
- 20. Portfolio Valuation/Mark-To-Market
- CREDIT RISK
- 21. Derivative Credit Risk: Measurement
- 22. Derivative Credit Exposure: Management & Credit Enhancement
- 23. Derivative Product Companies
- OTHER RISKS
- 24. Liquidity Risk
- 25. Model Risk
- 26. Operational Risk
- ORGANISATION OF RISK MANAGEMENT
- 27. Risk Management Function
- 28. Risk Adjusted Performance Management
- OPERATIONAL ASPECTS
- 29. Operational, Systems & Technology Issues
- 30. Legal Issues and Documentation
- 31. Accounting for Swaps and Financial Derivatives
- 32. Taxation Aspects of Swaps and nFinancial Derivatives
- REGULATORY ASPECTS OF DERIVATIVES
- 33. Credit Risk: Regulatory Framework
- Appendix: Basle II
- 34. Market Risk: Regulatory Framework
- Appendix: Basle 1996
- Volume 3
- DERIVATIVE APPLICATIONS
- 35. Applications of Derivative Products
- 36. Applications of Futures, Swaps & Options
- 37. New Issues Arbitrage
- SYNTHETIC ASSETS
- 38. Synthetic Assest - Asset Swaps, Structured Notes, Repackaging and Structured Investment Vehicles
- EXOTIC OPTIONS
- 39. Exotic Options
- 40. Packaged Forwards & Options
- 41. Path Dependent Exotic Options
- 42. Time Dependent Exotic Options
- 43. Limit Dependent Exotic Options
- 44. Pay-off Modified Exotic Options
- 45. MultiFactor Exotic Options
- 46. Volatility Products
- INTEREST RATE & FX STRUCTURES
- 47. Non Generic Swaps
- 48. Basis Swaps
- 49. Option On Swaps/Swaptions
- 50. Callable Bonds
- 51. Constant Maturity Products
- 52. Index Amortising Products
- 53. Interest Rate Linked Notes
- 54. Currency Linked Notes
- Volume 4
- EQUITY LINKED STRUCTURES
- 55. Equity Derivatives - Equity Index Futures
- Equity Options/Warrants
- Equity Swaps
- 56. Convertible Securities
- 57. Structured Convertible Securities
- 58. Equity Linked Notes
- 59. Equity Derivatives - Investor Applications
- 60. Equity Capital Management - Corporate Financial Applications of Equity Derivatives
- COMMODITY LINKED STRUCTURES
- 61. Commodity Derivatives - Commodity Futures & Options/Commodity Swaps/Commodity Linked Notes
- 62. Commodity Derivatives - Energy (Oil, Natural Gas and Electricity) Markets
- 63. Commodity Derivatives - Metal Markets
- 64. Commodity Derivatives - Agricultural and Other Markets
- CREDIT DERVIATIVES
- 65. Credit Derivative Products
- 66. Credit Linked Notes/Collateralised Debt Obligations
- 67. Credit Derivatives/Default Risk - Pricing and Modelling
- 68. Credit Derivatives - Applications/Markets
- NEW MARKETS
- 69. Inflation Indexed Notes and Derivatives
- 70. Alternative Risk Transfer/Insurance Derivatives
- 71. Weather Derivatives
- 72. New Markets - Property
- Bandwidth
- Macro-Economic & Environmental Derivatives
- 73. Tax and Structured Derivatives Transaction
- EVOLUTION OF DERIVATIVES MARKETS
- 74. Electronic Markets and Derivatives Trading
- 75. Financial Derivativers - Evolution and Prospects.
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