Swaps/financial derivatives : products, pricing, applications and risk management

著者

• Das, Satyajit

書誌事項

Swaps/financial derivatives : products, pricing, applications and risk management

Satyajit Das

（Wiley finance series）

Wiley, 2004

3rd ed

• : set
• v. 1
• v. 2
• v. 3
• v. 4

注記

Vols. 1-2 have CD-ROMs

Includes bibliographical references and indexes

内容説明・目次

内容説明

Swaps/ Financial Derivatives - Third Edition is a unique, authoritative and comprehensive reference work for practitioners on derivatives. It brings together all aspects of derivative instruments within a cohesive and integrated framework covering: * Derivative instruments including exchange-traded markets and over-the-counter markets * Pricing, valuation and trading/hedging of derivatives. * Management of market, credit and other risk associated with derivatives trading. * Documentation, accounting, taxation and regulatory aspects of derivatives. * Applications of derivatives. * Derivative structures including synthetic asset structures using derivatives, exotic options, interest rate/ currency, equity, commodity (energy, metals and agricultural), credit and new derivative markets (insurance, weather, inflation/ macro-economic indicators, property and emissions) Key Features of Swaps/ Financial Derivatives include: * Unparalleled up-to-date coverage of derivative markets in all asset classes. * Written by experienced practitioner. * Practical approach using actual transactions that are analysed to illustrate the structure, application, pricing, hedging and risk management of individual instruments. * Four volumes; 4,500 pages; * Hundreds of Exhibits and diagrams * Detailed Index and extensive references

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.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA65876686
• ISBN:
  • 0470821094
• 出版国コード: si
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Singapore
• ページ数/冊数: 4 v. (xxi, 4489 p.)
• 大きさ: 24 cm.
• 付属資料: 2 CD-ROMs (4 3/4 in.)
• 分類:
  • DC21 : 332.645
• 件名:
  • LCSH : Swaps (Finance)
  • LCSH : Derivative securities
• 親書誌ID:
  • BA5197584X