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Full Description
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Contents
Preface ix
Acknowledgments xxv
About the Author xxvii
Part One Derivative Markets 1
Chapter 1 Derivative Contracts and Markets 3
Part Two Fundamentals of Valuation 49
Chapter 2 Assumptions and Interest Rate Mechanics 51
Chapter 3 Relation between Return and Risk 89
Part Three Forwards/Futures/Swap Valuation 119
Chapter 4 No-Arbitrage Price Relations: Forwards, Futures, Swaps 121
Chapter 5 Risk Management Strategies: Futures 143
Part Four Option Valuation 173
Chapter 6 No-Arbitrage Price Relations: Options 175
Chapter 7 Valuing Standard Options Analytically 201
Chapter 8 Valuing Nonstandard Options Analytically 261
Chapter 9 Valuing Options Numerically 303
Chapter 10 Risk Management Strategies: Options 347
Part Five Stock Derivatives 381
Chapter 11 Stock Products 383
Chapter 12 Corporate Securities 419
Chapter 13 Compensation Agreements 451
Part Six Stock Index Derivatives 467
Chapter 14 Stock Index Products: Futures and Options 469
Chapter 15 Stock Index Products: Strategy Based 517
Part Seven Currency Derivatives 563
Chapter 16 Currency Products 565
Part Eight Interest Rate Derivatives 601
Chapter 17 Interest Rate Products: Futures and Options 603
Chapter 18 Interest Rate Products: Swaps 637
Chapter 19 Credit Products 679
Chapter 20 Valuing Interest Rate Products Numerically 705
Part Nine Commodity Derivatives 729
Chapter 21 Commodity Products 731
Part Ten Lessons Learned 771
Chapter 22 Key Lessons 773
Appendices
A. Elementary Statistics 779
B. Regression Analysis 821
C. Statistical Tables 861
D. Glossary 869
