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Derivatives, Risk Management And Value.

This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It...

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Detalles Bibliográficos
Clasificación:	Libro Electrónico
Formato:	Electrónico eBook
Idioma:	Inglés
Publicado:	World Scientific 2009.
Temas:	Derivative securities. Financial risk management. Value. Instruments dérivés (Finances) Finances > Gestion du risque. Valeur. value (economic concept) Derivative securities Financial risk management Value Electronic resource.
Acceso en línea:	Texto completo

Tabla de Contenidos:

Cover13;
CONTENTS
Dedication
Foreword by Edward C. Prescott
Foreword by Harry M. Markowitz
Foreword by James J. Heckman
Foreword by George M. Constantinides
About the Author
PART I. FINANCIAL MARKETS AND FINANCIAL INSTRUMENTS: BASIC CONCEPTS AND STRATEGIES
CHAPTER 1. FINANCIAL MARKETS, FINANCIAL INSTRUMENTS, AND FINANCIAL CRISIS
Chapter Outline
Introduction
Summary
Questions
Exercises
Appendix
References
CHAPTER 2. RISK MANAGEMENT, DERIVATIVES MARKETS AND TRADING STRATEGIES
Chapter Outline
Introduction
Summary
Questions
Case Study: Comparisons Between put and Call Options
References
CHAPTER 3. TRADING OPTIONS AND THEIR UNDERLYING ASSET: RISK MANAGEMENT IN DISCRETE TIME
Chapter Outline
Introduction
Case Studies
Exercises
Questions
References
PART II. PRICING DERIVATIVES AND THEIR UNDERLYING ASSETS IN A DISCRETE-TIME SETTING
CHAPTER 4. OPTION PRICING: THE DISCRETETIME APPROACH FOR STOCK OPTIONS
Chapter Outline
Introduction
Summary
Questions
Appendix: The Lattice Approach
References
CHAPTER 5. CREDIT RISKS, PRICING BONDS, INTEREST RATE INSTRUMENTS, AND THE TERM STRUCTURE OF INTEREST RATES
Chapter Outline
Introduction
Summary
Questions
References
CHAPTER 6. EXTENSIONS OF SIMPLE BINOMIAL OPTION PRICINGMODELS TO INTEREST RATES AND CREDIT RISK
Chapter Outline
Introduction
Summary
Questions
Appendix A: Ho and Lee model and binomial dynamics of bond prices
References
CHAPTER 7. DERIVATIVES AND PATH-DEPENDENT DERIVATIVES: EXTENSIONS AND GENERALIZATIONS OF THE LATTICE APPROACH BY ACCOUNTING FOR INFORMATION COSTS AND ILLIQUIDITY
Chapter Outline
Introduction
Summary
Questions
References
PART III. OPTION PRICING IN A CONTINUOUS-TIME SETTING: BASIC MODELS, EXTENSIONS AND APPLICATIONS
CHAPTER 8. EUROPEAN OPTION PRICING MODELS: THE PRECURSORS OF THE BLACK8211; SCHOLES8211;MERTON THEORY AND HOLES DURING MARKET TURBULENCE
Chapter Outline
Introduction
Summary
Questions
Appendix A. The Cumulative Normal Distribution Function
Appendix B. The Bivariate Normal Density Function
References
CHAPTER 9. SIMPLE EXTENSIONS AND APPLICATIONS OF THE BLACK8211;SCHOLES TYPE MODELS IN VALUATION AND RISK MANAGEMENT
Chapter Outline
Introduction
Summary
Questions
Appendix
References
CHAPTER 10. APPLICATIONS OF OPTION PRICING MODELS TO THE MONITORING AND THE MANAGEMENT OF PORTFOLIOS OF DERIVATIVES IN THE REAL WORLD
Chapter Outline
Introduction
Summary
Appendix A: Greek-Letter Risk Measures in Analytical Models
Appendix B: The Relationship Between Hedging Parameters
Appendix C: The Generalized Relationship Between the Hedging Parameters
Appendix D: A Detailed Derivation of the Greek Letters
Questions
References
PART IV. MATHEMATICAL FOUNDATIONS OF OPTION PRICING MODELS IN A CONTINUOUS-TIME SETTING: BASIC CONCEPTS AND EXTENSIONS
CHAPTER 11. THE DYNAMICS OF ASSET PRICES AND THE ROLE OF INFORMATION: ANALYSIS AND APPLICATIONS IN ASSET AND RISK MANAGEMENT
Chapter Outline
Introduction
Summary
Questions
Appendix A: Introduction to Di.usion Processes
Appendix B: The Conditio.

Derivatives, Risk Management And Value.

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