Description
Book SynopsisDerivatives markets are an important and growing segment of financial markets and play an important role in the management of risk.This invaluable set of lecture notes is meant to be used in conjunction with a standard textbook on derivatives in an advanced undergraduate or MBA elective course on futures, forwards, swaps, options, corporate securities, and credit default swaps. It covers the foundations of derivatives pricing in arbitrage-free markets, develops the methodology of risk-neutral valuation, and discusses hedging and the management of risk.
Table of ContentsIntroduction to Forward Contracts, Futures, and Swaps; Pricing Forwards and Futures; Interest Rate and Currency Swaps; Introduction to Options and No-Arbitrage Restrictions; Trading Strategies and Slope and Convexity Restrictions; Optimal Early Exercise of American Options; Binomial Option Pricing; Risk-Neutral Valuation; The Black-Scholes-Merton Option Pricing Formula; Extensions of the BSM Model; Risk Management with Options; Empirical Evidence and Time-Varying Volatility; The Pricing and Hedging of Corporate Securities (Common Stock, Senior and Junior Bonds, Callable Bonds, Warrants, Convertible Bonds, Putable Bonds, and Credit Default Swaps) and Credit Risk;
