Derivatives: principles and practice
"It has been the authors' experience that the overwhelming majority of students in MBA derivatives courses go on to careers where a deep conceptual, rather than solely mathematical, understanding of products and models is required. The first edition of Derivatives looks to create precisely such a blended approach, one that is formal and rigorous, yet intuitive and accessible. The main body of this book is divided into six parts. Parts 1-3 cover, respectively, futures and forwards; options; and …
Read More ↓Title Statements
- Full title :Derivatives : principles and practice / Rangarajan K. Sundaram, Sanjiv R. Das.
Summary
"It has been the authors' experience that the overwhelming majority of students in MBA derivatives courses go on to careers where a deep conceptual, rather than solely mathematical, understanding of products and models is required. The first edition of Derivatives looks to create precisely such a blended approach, one that is formal and rigorous, yet intuitive and accessible. The main body of this book is divided into six parts. Parts 1-3 cover, respectively, futures and forwards; options; and swaps. Part 4 examines term-structure modeling and the pricing of interest-rate derivatives, while Part 5 is concerned with credit derivatives and the modeling of credit risk. Part 6 discusses computational issues."--Publisher's website.
Read More ↓Edition Statements
- Publication Date:©2011.
Publication Statements
- Publisher(s):McGraw-Hill Irwin
- Place of Publication:New York
- Language:eng
- Publication Date:©2011.
The Physical Object
- Description:xxii, 900, [25] pages : : illustrations ; : 26 cm
Edition Identifiers
- ISBN:9780072949315, 0072949317, 9780071244800, 0071244808
- oclc:ocn500185427
- LC Classification:HG6024.A3
- Dewey Decimal:332.64/57
Table of Contents
Introduction -- Future markets -- Pricing forwards and futures I: the basic theory -- Pricing forwards and futures II: building on the foundations -- Hedging with futures and forwards -- Interest-rate forwards and futures -- Option markets -- Options: payoffs and trading strategies -- No-arbitrage restrictions on option prices -- Early exercise and put-call parity -- Option pricing: an introduction -- Binomial option pricing -- Implementing the binomial model -- The Black-Scholes model -- Options modeling: beyond Black-Scholes -- Sensitivity analysis: the option "Greeks" -- Exotics options I: path-independent options -- Exotic options II: path-dependent options -- Value-at-risk -- Convertible bonds -- Real options -- Interest rate swaps and floating-rate products -- Equity swaps -- Currency and commodity swaps -- The term structure of interest rates: concepts -- Estimating the yield curve -- Modeling term-structure movements -- Factor models of the term structure -- The Heath-Jarrow-Morton and Libor market models -- Credit derivative products -- Structural models of default risk -- reduced-form models of default risk -- Modeling correlated default -- Derivative pricing with finite…
Read More ↓Subjects
Writers
More from this Series
No reviews yet. Be the first to rate this work.
Related Works
more →
Derivatives and the wealth of societies
Derivatives and the wealth of societies
Rate & Review