{"product_id":"derivatives-essentials-9781119163497","title":"Derivatives Essentials","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eA clear, practical guide to working effectively with derivative securities products    Derivatives Essentials is an accessible, yet detailed guide to derivative securities.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAcknowledgements xvii\u003c\/p\u003e \u003cp\u003eAbout the Author xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Introduction to Forwards, Futures, and Options\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Forwards and Futures 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Forward contract characteristics 3\u003c\/p\u003e \u003cp\u003e1.2 Long forward payoff 6\u003c\/p\u003e \u003cp\u003e1.3 Long forward P\u0026amp;L 8\u003c\/p\u003e \u003cp\u003e1.4 Short forward payoff 9\u003c\/p\u003e \u003cp\u003e1.5 Short forward P\u0026amp;L 10\u003c\/p\u003e \u003cp\u003e1.6 Long forward P\u0026amp;L diagram 12\u003c\/p\u003e \u003cp\u003e1.7 Short forward P\u0026amp;L diagram 13\u003c\/p\u003e \u003cp\u003e1.8 Forwards are zero-sum games 15\u003c\/p\u003e \u003cp\u003e1.9 Counterparty credit risk 17\u003c\/p\u003e \u003cp\u003e1.10 Futures contracts 19\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Call Options 22\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Call option characteristics 22\u003c\/p\u003e \u003cp\u003e2.2 Long call payoff 25\u003c\/p\u003e \u003cp\u003e2.3 Long call P\u0026amp;L 27\u003c\/p\u003e \u003cp\u003e2.4 Short call payoff 29\u003c\/p\u003e \u003cp\u003e2.5 Short call P\u0026amp;L 30\u003c\/p\u003e \u003cp\u003e2.6 Long call P\u0026amp;L diagram 32\u003c\/p\u003e \u003cp\u003e2.7 Short call P\u0026amp;L diagram 33\u003c\/p\u003e \u003cp\u003e2.8 Call options are zero-sum games 35\u003c\/p\u003e \u003cp\u003e2.9 Call option moneyness 37\u003c\/p\u003e \u003cp\u003e2.10 Exercising a call option early 38\u003c\/p\u003e \u003cp\u003e2.11 Comparison of call options and forwards\/futures 40\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Put Options 44\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Put option characteristics 44\u003c\/p\u003e \u003cp\u003e3.2 Long put payoff 47\u003c\/p\u003e \u003cp\u003e3.3 Long put P\u0026amp;L 49\u003c\/p\u003e \u003cp\u003e3.4 Short put payoff 50\u003c\/p\u003e \u003cp\u003e3.5 Short put P\u0026amp;L 52\u003c\/p\u003e \u003cp\u003e3.6 Long put P\u0026amp;L diagram 53\u003c\/p\u003e \u003cp\u003e3.7 Short put P\u0026amp;L diagram 55\u003c\/p\u003e \u003cp\u003e3.8 Put options are zero-sum games 57\u003c\/p\u003e \u003cp\u003e3.9 Put option moneyness 58\u003c\/p\u003e \u003cp\u003e3.10 Exercising a put option early 59\u003c\/p\u003e \u003cp\u003e3.11 Comparison of put options, call options, and forwards\/futures 60\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Pricing and Valuation\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Useful Quantitative Concepts 65\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Compounding conventions 66\u003c\/p\u003e \u003cp\u003e4.2 Calculating future value and present value 68\u003c\/p\u003e \u003cp\u003e4.3 Identifying continuously compounded interest rates 71\u003c\/p\u003e \u003cp\u003e4.4 Volatility and historical standard deviation 72\u003c\/p\u003e \u003cp\u003e4.5 Interpretation of standard deviation 77\u003c\/p\u003e \u003cp\u003e4.6 Annualized standard deviation 80\u003c\/p\u003e \u003cp\u003e4.7 The standard normal cumulative distribution function 81\u003c\/p\u003e \u003cp\u003e4.8 The z-score 83\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Introduction to Pricing and Valuation 86\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 The concepts of price and value of a forward contract 87\u003c\/p\u003e \u003cp\u003e5.2 The concepts of price and value of an option 88\u003c\/p\u003e \u003cp\u003e5.3 Comparison of price and value concepts for forwards and options 90\u003c\/p\u003e \u003cp\u003e5.4 Forward value 91\u003c\/p\u003e \u003cp\u003e5.5 Forward price 92\u003c\/p\u003e \u003cp\u003e5.6 Option value: The Black-Scholes model 94\u003c\/p\u003e \u003cp\u003e5.7 Calculating the Black-Scholes model 96\u003c\/p\u003e \u003cp\u003e5.8 Black-Scholes model assumptions 98\u003c\/p\u003e \u003cp\u003e5.9 Implied volatility 99\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Understanding Pricing and Valuation 105\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Review of payoff, price, and value equations 106\u003c\/p\u003e \u003cp\u003e6.2 Value as the present value of expected payoff 108\u003c\/p\u003e \u003cp\u003e6.3 Risk-neutral valuation 109\u003c\/p\u003e \u003cp\u003e6.4 Probability and expected value concepts 112\u003c\/p\u003e \u003cp\u003e6.5 Understanding the Black-Scholes equation for call value 117\u003c\/p\u003e \u003cp\u003e6.6 Understanding the Black-Scholes equation for put value 120\u003c\/p\u003e \u003cp\u003e6.7 Understanding the equation for forward value 122\u003c\/p\u003e \u003cp\u003e6.8 Understanding the equation for forward price 123\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 The Binomial Option Pricing Model 126\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Modeling discrete points in time 126\u003c\/p\u003e \u003cp\u003e7.2 Introduction to the one-period binomial option pricing model 127\u003c\/p\u003e \u003cp\u003e7.3 Option valuation, one-period binomial option pricing model 131\u003c\/p\u003e \u003cp\u003e7.4 Two-period binomial option pricing model, European-style option 135\u003c\/p\u003e \u003cp\u003e7.5 Two-period binomial model, American-style option 138\u003c\/p\u003e \u003cp\u003e7.6 Multi-period binomial option pricing models 140\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three The Greeks\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Introduction to the Greeks 145\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Definitions of the Greeks 146\u003c\/p\u003e \u003cp\u003e8.2 Characteristics of the Greeks 146\u003c\/p\u003e \u003cp\u003e8.3 Equations for the Greeks 149\u003c\/p\u003e \u003cp\u003e8.4 Calculating the Greeks 151\u003c\/p\u003e \u003cp\u003e8.5 Interpreting the Greeks 153\u003c\/p\u003e \u003cp\u003e8.6 The accuracy of the Greeks 156\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Understanding Delta and Gamma 158\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Describing sensitivity using Delta and Gamma 158\u003c\/p\u003e \u003cp\u003e9.2 Understanding Delta 161\u003c\/p\u003e \u003cp\u003e9.3 Delta across the underlying asset price 162\u003c\/p\u003e \u003cp\u003e9.4 Understanding Gamma 166\u003c\/p\u003e \u003cp\u003e9.5 Gamma across the underlying asset price 167\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Understanding Vega, Rho, and Theta 171\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Describing sensitivity using Vega, Rho, and Theta 171\u003c\/p\u003e \u003cp\u003e10.2 Understanding Vega 174\u003c\/p\u003e \u003cp\u003e10.3 Understanding Rho 177\u003c\/p\u003e \u003cp\u003e10.4 Understanding Theta 178\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Trading Strategies\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Price and Volatility Trading Strategies 189\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Price and volatility views 189\u003c\/p\u003e \u003cp\u003e11.2 Relating price and volatility views to Delta and Vega 191\u003c\/p\u003e \u003cp\u003e11.3 Using forwards, calls, and puts to monetize views 193\u003c\/p\u003e \u003cp\u003e11.4 Introduction to straddles 194\u003c\/p\u003e \u003cp\u003e11.5 Delta and Vega characteristics of long and short straddles 195\u003c\/p\u003e \u003cp\u003e11.6 The ATM DNS strike price 196\u003c\/p\u003e \u003cp\u003e11.7 Straddle: numerical example 197\u003c\/p\u003e \u003cp\u003e11.8 P\u0026amp;L diagrams for long and short straddles 199\u003c\/p\u003e \u003cp\u003e11.9 Breakeven points for long and short straddles 199\u003c\/p\u003e \u003cp\u003e11.10 Introduction to strangles 201\u003c\/p\u003e \u003cp\u003e11.11 P\u0026amp;L diagrams for long and short strangles 202\u003c\/p\u003e \u003cp\u003e11.12 Breakeven points for long and short strangles 202\u003c\/p\u003e \u003cp\u003e11.13 Summary of simple price and volatility trading strategies 204\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Synthetic, Protective, and Yield-Enhancing Trading Strategies 206\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction to put-call parity and synthetic positions 207\u003c\/p\u003e \u003cp\u003e12.2 P\u0026amp;L diagrams of synthetic positions 208\u003c\/p\u003e \u003cp\u003e12.3 Synthetic positions premiums and ATMF 212\u003c\/p\u003e \u003cp\u003e12.4 The Greeks of synthetic positions 214\u003c\/p\u003e \u003cp\u003e12.5 Option arbitrage 215\u003c\/p\u003e \u003cp\u003e12.6 Protective puts 217\u003c\/p\u003e \u003cp\u003e12.7 Covered calls 218\u003c\/p\u003e \u003cp\u003e12.8 Collars 219\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Spread Trading Strategies 223\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Bull and bear spreads using calls 223\u003c\/p\u003e \u003cp\u003e13.2 Bull and bear spreads using puts 226\u003c\/p\u003e \u003cp\u003e13.3 Risk reversals 229\u003c\/p\u003e \u003cp\u003e13.4 Butterfly spreads 232\u003c\/p\u003e \u003cp\u003e13.5 Condor spreads 236\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Five Swaps\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Interest Rate Swaps 243\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Interest rate swap characteristics 243\u003c\/p\u003e \u003cp\u003e14.2 Interest rate swap cash flows 246\u003c\/p\u003e \u003cp\u003e14.3 Calculating interest rate swap cash flows 249\u003c\/p\u003e \u003cp\u003e14.4 How interest rate swaps can transform cash flows 256\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Credit Default Swaps, Cross-Currency Swaps, and Other Swaps 264\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Credit default swap characteristics 264\u003c\/p\u003e \u003cp\u003e15.2 Key determinants of the credit default swap spread 267\u003c\/p\u003e \u003cp\u003e15.3 Cross-currency swap characteristics 270\u003c\/p\u003e \u003cp\u003e15.4 Transforming cash flows using a cross-currency swap 270\u003c\/p\u003e \u003cp\u003e15.5 Other swap varieties 273\u003c\/p\u003e \u003cp\u003eAppendix: Solutions to Knowledge Check Questions 275\u003c\/p\u003e \u003cp\u003eIndex 301\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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