Financial Derivatives [Hardback]Pricing and Risk Managementby Robert Kolb (Editor) and James A. Overdahl (Editor)
Usually ships within 2 to 4 working days Description of Financial DerivativesThe Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance, and contains contributed chapters from both respected academics and experienced financial professionals.As part of the Robert W. Kolb Series in Finance, Financial Derivatives aims to provide a comprehensive understanding of financial derivatives and how you can prudently use them within the context of your underlying business activities. For the public at large, financial derivatives have long been the most mysterious and least understood of all financial instruments. Through in-depth insights gleaned from years of financial experience, the contributors in this collection clearly explain what derivatives are without getting bogged down by the mathematics surrounding their pricing and valuation. Financial Derivatives offers a broad overview of the different types of derivatives - futures, options, swaps, and structured products - while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with in-depth analysis and examples, Financial Derivatives offers readers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Title Information
Write a review of this book About Robert Kolb (Editor) and James A. Overdahl (Editor)Robert W. Kolb is the Frank W. Considine Chair of Applied Ethics and Professor of Finance at Loyola University Chicago. Before this, he was the assistant dean, Business and Society, and director, Center for Business and Society, at the University of Colorado at Boulder, and department chairman at the University of Miami. Kolb has authored over twenty books on finance, derivatives, and futures, as well as numerous articles in leading finance journals.James A. Overdahl, a specialist in financial derivatives, is the Chief Economist of the United States Securities and Exchange Commission. He had previously served as chief economist of the Commodity Futures Trading Commission and has nearly two decades of experience in senior positions at various federal financial regulatory agencies. He has taught economics and finance at the University of Texas at Dallas, Georgetown University, Johns Hopkins University, and George Washington University. Overdahl earned his PhD in economics from Iowa State University. Contents of Financial DerivativesPart I: Overview of Financial Derivatives1: Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products - Introduction - A Generalist's Approach to Derivative Contracts - Structured Products and an Application to Derivative Contracts - Conclusion - Endnotes - References - About the Author 2: The Derivatives Marketplace: Exchanges and the Over-the-Counter Market - Introduction - Standardization vs. Customized Products: Differences in Structure and Approach - Competition and Consolidation: Impetus for Change - Moving from Bilateral to Multilateral Risk Management - Transparency and Information in the Exchange and OTC Marketplaces - Conclusion - Endnotes - References - About the Author 3: Speculation and Hedging - Hedging Transactions - Speculation - From Hedging to Speculation - The Interaction between Hedgers and Speculators - Conclusion - Endnotes - References - About the Author 4: The Social Functions of Financial Derivatives - Hedging and Risk Transfer - Price Discovery - Intertemporal Resource Allocation - Asset Finance - Synthetic Asset Allocation - Endnotes - References - About the Author Part II: Types of Financial Derivatives 5: Agricultural and Metallurgical Derivatives: Pricing - Introduction - Commodities - Seasonality in Spot and Futures Prices - Futures Pricing - Conclusion - References - Suggested Further Reading - About the Author 6: Agricultural and Metallurgical Derivatives: Speculation and Hedging - Introduction - Commodities - Derivatives Commodity Investment Strategies Hedging Spreads Conclusion Reference Suggested Further Reading About the Author 7: Equity Derivatives Introduction Stock Options Equity Futures Equity Swaps The Future of Equity Derivatives References About the Authors 8: Foreign Exchange Derivatives Basic Pricing Principles Foreign Exchange Forward and Futures Contracts Foreign Exchange Options FX Option Pricing Plain Vanilla Foreign Exchange Swaps Flavored Currency Swaps Conclusion Endnotes References About the Author 9: Energy Derivatives Introduction Products: An Overview History Petroleum Derivatives: Details Natural Gas Derivatives: Details Electricity Derivatives: Details Pricing Clearing Recent Developments References About the Author 10: Interest Rate Derivatives Exchange Traded (Listed) Derivatives Over the Counter Derivatives Further Reading About the Author 11: Exotic Options Overview Forward-Start Options Compound Options Chooser Options Barrier Options Binary Options Lookback Options Asian or Average Price Options Exchange Options Rainbow Options Conclusion Endnotes References About the Author 12: Event Derivatives Types of Prediction Markets Applications and Evidence Accuracy of Prediction Markets Possibilities for Arbitrage Can Event Markets Be Easily Manipulated? Market Design Making Inferences from Prediction Markets Innovative Future Applications? Acknowledgements Endnotes References About the Author 13: Credit Default Swaps Credit Default Swaps on Corporate Debt Credit Default Swaps on Asset-Backed Securities Credit Default Swaps on Collateralized Debt Obligations The Basis CDS Indices Tranches of CDS Indices Trading strategies using indexes and tranches Market Dynamics: CDS and CDOs Synthetic CDOs and Bespokes Correlation Conclusion Endnotes References About the Author 14: Structured Credit Products ABS CDOs CMBS Endnotes References About the Author 15: Executive Stock Options Introduction Basic Features of Executive Stock Options (ESOs) Conclusion Endnotes References About the Author 16: Emerging Derivative Instruments Economic Derivatives Real Estate Derivatives The Next Frontier Endnotes References Suggested Further Reading About the Author Part III: The Structure of Derivatives Markets and Institutions 17: The Development and Current State of Derivatives Markets Introduction: The Situation in the 1960s Financial Futures and Options Foreign Markets OTC Markets Energy Derivatives The Rise of Electronic Trading Current Conditions: Consolidation and Crisis Endnotes References About the Author 18: Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds Intermediaries for Exchange-traded Derivatives Intermediaries for OTC Derivatives Endnotes References About the Author 19: Clearing and Settlement Introduction The Functions of Clearinghouses Clearing and Liquidity Competition Between Exchanges Conclusion Endnotes References About the Authors 20: Counterparty Credit Risk Measuring Counterparty Credit Risk Exposure Managing Counterparty Credit Risk Infrastructure Improvements Aimed at Mitigating Counterparty Credit Risk Conclusion Endnotes References About the Author 21: The Regulation of U.S. Commodity Futures and Options Tiered Regulatory Design Statutory Exclusions for Certain OTC Derivatives Security Futures Products (SFPs) Retail Foreign Currency Fraud Exempt Commercial Markets CFTC Reauthorization Act of 2008 Future Legislative Reforms Endnotes About the Author 22: Accounting for Financial Derivatives Alternative Accounting Categories Conclusion References About the Author 23: Derivative Scandals and Disasters Introduction Anatomy of Derivative-Related Failures Investment Strategies and Exogenous Shocks behind Our Five Derivative Fiascos Lessons Learned from Derivative Scandals and Disasters Broader Implications of Derivative Scandals and Disasters Conclusion Acknowledgements Endnotes References Suggested Further Reading About the Author Part IV: Pricing of Derivatives: Essential Concepts 24: No-Arbitrage Pricing Free Lunches The Theory of Put/Call Parity The Binomial Option Pricing Model Put Pricing in the Presence of Call Options: Further Study Binomial Put Pricing Binomial Pricing with Asymmetric Branches The Effect of Time The Effect of Volatility Intuition Into Black-Scholes Endnotes References Further Reading About the Author 25: The Pricing of Forward and Futures Contracts The cost of carry model The Carry Return Commodity Futures The Convenience Yield Delivery Options Interest rate futures and forwards: Eurodollar futures and Forward Rate Agreements Interest rate futures and forwards: Treasury Bond and Treasury Note futures Should futures and forward prices be the same? The Expectations Model: An alternative theory for the pricing of forwards and futures Electricity Forwards and Futures Conclusion Endnotes References About the Author 26: The Black-Scholes Option Pricing Model Introduction Brief history The Black-Scholes Formula Assumptions of the Black-Scholes Model Discussion of Assumptions Itô Process An Example An Excel Application Simple Derivation of Black-Scholes A Numerical Example The Greeks Risk-neutral Pricing Conclusion References About the Author 27: The Black-Scholes Legacy: Closed-Form Option Pricing Models Introduction The Black-Scholes Model First Generation of Models (One lognormal underlying) Second Generation of Models (Two lognormal underlyings) Third Generation of Models (One non-longnormal underlying) Fourth Generatino of Models Conclusion References About the Author 28: The Pricing and Valuation of Swaps Introduction A framework for pricing and valuation Steps for swap pricing Other swaps Endnotes References About the Authors Part V: Advanced Pricing Techniques 29: Monte Carlo Techniques in Pricing and Using Derivatives Monte Carlo Simulation in the Pricing of Derivatives Pricing a Classic Black-Scholes Option Pricing a Rainbow Option Endnotes References About the Author 30: Valuing Derivatives Using Finite Difference Models Introduction An Overview Basic Models Higher Dimension Problems The Pros and Cons of Finite Difference Models Suggested Further Reading References About the Author 31: Stochastic Processes and Models Introduction Stochastic Processes Basic Element - of Stochastic Calculus Binomial Tree - Another Way of Visualizing a Stochastic Process Conclusion References Appendix: Heuristic Derivation of Ito's Formula About the Authors 32: Measuring and Hedging Option Price Sensitivities Delta Gamma Theta Vega Rho and Other Option Sensitivities Hedging Delta, Gamma, and Vega Conclusion References About the Author Part VI: Using Financial Derivatives 33: Option Strategies Building Blocks Covered Calls and Protective Puts Synthetic Positions Bull and Bear Spreads Cylinders Straddles, Strangles, Strips, and Straps Ratio Spreads Box Spreads Butterflies, Condors, and Seagulls Time Strategies Multi-Asset Strategies References About the Author 34: The Use of Derivatives in Financial Engineering: Hedge Fund Applications Queens College The Use of Derivatives in Financial Engineering: Hedge Fund Applications Convertible Bond Arbitrage Capital Structure Arbitrage Endnotes References About the Authors 35: Hedge Funds and Financial Derivatives Introduction A Survey of Derivative Use by Hedge Funds Modeling Hedge Fund Risks Description of Some Popular Hedge Fund Strategies Some Unusual Derivatives Trades Made by Hedge Funds Conclusion Endnotes References About the Author 36: Real Options and Applications in Corporate Finance Introduction A Brief History of Real Options Distinction Between Financial Options and Real Options Types of Real Options and Examples in the Energy Industry Valuing Real Options Conclusion Endnotes References About the Authors 37: Using Derivatives to Manage Interest Rate Risk Introduction Forward-Based Instruments Option-Based Instruments Conclusion Suggested Further Reading About the Author |
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