Description

Book Synopsis
* An invaluable guide offering a broad overview of the different types of derivatives-futures, options, and swaps-while focusing on the principles that determine market prices.

Table of Contents

Introduction xxii

Acknowledgments xxiv

PART I Overview of Financial Derivatives 1

1 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3
G. D. Koppenhaver

2 The Derivatives Marketplace: Exchanges and the Over-the-Counter Market 21
Sharon Brown-Hruska

3 Speculation and Hedging 43
Greg Kuserk

4 The Social Functions of Financial Derivatives 57
Christopher L. Culp

PART II Types of Financial Derivatives 73

5 Agricultural and Metallurgical Derivatives: Pricing 77
Joan C. Junkus

6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89
Joan C. Junkus

7 Equity Derivatives 103
Jeffrey H. Harris and L. Mick Swartz

8 Foreign Exchange Derivatives 115
Robert W. Kolb

9 Energy Derivatives 125
Craig Pirrong

10 Interest Rate Derivatives 135
Ian Lang

11 Exotic Options 143
Robert W. Kolb

12 Event Derivatives 157
Justin Wolfers and Eric Zitzewitz

13 Credit Default Swaps 177
Steven Todd

14 Structured Credit Products 199
Steven Todd

15 Executive Stock Options 211
Robert W. Kolb

16 Emerging Derivative Instruments 221
Steve Swidler

PART III The Structure of Derivatives Markets and Institutions 231

17 The Development and Current State of Derivatives Markets 233
Michael A. Penick

18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249
James L. Carley

19 Clearing and Settlement 263
James T. Moser and David Reiffen

20 Counterparty Credit Risk 283
James Overdahl

21 The Regulation of U.S. Commodity Futures and Options 295
Walter L. Lukken

22 Accounting for Financial Derivatives 305
Ira G. Kawaller

23 Derivative Scandals and Disasters 313
John E. Marthinsen

PART IV Pricing of Derivatives: Essential Concepts 333

24 No-Arbitrage Pricing 335
Robert A. Strong

25 The Pricing of Forward and Futures Contracts 351
David Dubofsky

26 The Black-Scholes Option Pricing Model 371
A. G. Malliaris

27 The Black-Scholes Legacy: Closed-Form Option PricingModels 387
António Câmara

28 The Pricing and Valuation of Swaps 405
Gerald Gay and Anand Venkateswaran

PART V Advanced Pricing Techniques 423

29 Monte Carlo Techniques in Pricing and Using Derivatives 425
Cara M. Marshall

30 Valuing Derivatives Using Finite Difference Methods 441
Craig Pirrong

31 Stochastic Processes and Models 455
George Chalamandaris and A. G. Malliaris

32 Measuring and Hedging Option Price Sensitivities 477
R. Brian Balyeat

PART VI Using Financial Derivatives 501

33 Option Strategies 503
Stewart Mayhew

34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525
John F. Marshall and Cara M. Marshall

35 Hedge Funds and Financial Derivatives 541
Tom Nohel

36 Real Options and Applications in Corporate Finance 559
Betty Simkins and Kris Kemper

37 Using Derivatives to Manage Interest Rate Risk 575
Steven L. Byers

Index 591

Financial Derivatives

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    A Hardback by Rob Quail, James A. Overdahl


      View other formats and editions of Financial Derivatives by Rob Quail

      Publisher: Wiley
      Publication Date: 11/24/2009 12:00:00 AM
      ISBN13: 9780470499108, 978-0470499108
      ISBN10: 0470499109
      Also in:
      Finance and accounting

      Description

      Book Synopsis
      * An invaluable guide offering a broad overview of the different types of derivatives-futures, options, and swaps-while focusing on the principles that determine market prices.

      Table of Contents

      Introduction xxii

      Acknowledgments xxiv

      PART I Overview of Financial Derivatives 1

      1 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3
      G. D. Koppenhaver

      2 The Derivatives Marketplace: Exchanges and the Over-the-Counter Market 21
      Sharon Brown-Hruska

      3 Speculation and Hedging 43
      Greg Kuserk

      4 The Social Functions of Financial Derivatives 57
      Christopher L. Culp

      PART II Types of Financial Derivatives 73

      5 Agricultural and Metallurgical Derivatives: Pricing 77
      Joan C. Junkus

      6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89
      Joan C. Junkus

      7 Equity Derivatives 103
      Jeffrey H. Harris and L. Mick Swartz

      8 Foreign Exchange Derivatives 115
      Robert W. Kolb

      9 Energy Derivatives 125
      Craig Pirrong

      10 Interest Rate Derivatives 135
      Ian Lang

      11 Exotic Options 143
      Robert W. Kolb

      12 Event Derivatives 157
      Justin Wolfers and Eric Zitzewitz

      13 Credit Default Swaps 177
      Steven Todd

      14 Structured Credit Products 199
      Steven Todd

      15 Executive Stock Options 211
      Robert W. Kolb

      16 Emerging Derivative Instruments 221
      Steve Swidler

      PART III The Structure of Derivatives Markets and Institutions 231

      17 The Development and Current State of Derivatives Markets 233
      Michael A. Penick

      18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249
      James L. Carley

      19 Clearing and Settlement 263
      James T. Moser and David Reiffen

      20 Counterparty Credit Risk 283
      James Overdahl

      21 The Regulation of U.S. Commodity Futures and Options 295
      Walter L. Lukken

      22 Accounting for Financial Derivatives 305
      Ira G. Kawaller

      23 Derivative Scandals and Disasters 313
      John E. Marthinsen

      PART IV Pricing of Derivatives: Essential Concepts 333

      24 No-Arbitrage Pricing 335
      Robert A. Strong

      25 The Pricing of Forward and Futures Contracts 351
      David Dubofsky

      26 The Black-Scholes Option Pricing Model 371
      A. G. Malliaris

      27 The Black-Scholes Legacy: Closed-Form Option PricingModels 387
      António Câmara

      28 The Pricing and Valuation of Swaps 405
      Gerald Gay and Anand Venkateswaran

      PART V Advanced Pricing Techniques 423

      29 Monte Carlo Techniques in Pricing and Using Derivatives 425
      Cara M. Marshall

      30 Valuing Derivatives Using Finite Difference Methods 441
      Craig Pirrong

      31 Stochastic Processes and Models 455
      George Chalamandaris and A. G. Malliaris

      32 Measuring and Hedging Option Price Sensitivities 477
      R. Brian Balyeat

      PART VI Using Financial Derivatives 501

      33 Option Strategies 503
      Stewart Mayhew

      34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525
      John F. Marshall and Cara M. Marshall

      35 Hedge Funds and Financial Derivatives 541
      Tom Nohel

      36 Real Options and Applications in Corporate Finance 559
      Betty Simkins and Kris Kemper

      37 Using Derivatives to Manage Interest Rate Risk 575
      Steven L. Byers

      Index 591

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