Description
Book SynopsisTwo central themes govern the content--the pricing of financial derivatives and their practical application in risk management.
Table of ContentsPart I: Instruments and Pricing:.
Futures and Forwards:.
1. Determining the Relevant Fair Value(s) of S & P 500 Futures: A Case Study Approach: Ira G. Kawaller.
2. Cash-and-Carry Trading and the Pricing of Treasury Bill Futures: Ira G. Kawaller and Timothy W. Koch.
Options:.
3. How to Use the Holes in Black and Scholes: Fischer Black.
Swaps:.
4. Beyond Plain Vanilla: A Taxonomy of Swaps: Peter A. Abken.
5. The Pricing of Interest Rate Swaps: John F. Marshall and Kenneth R. Kapner. 6. Over-the-Counter Interest Rate Derivatives: Anatoli Kuprianov.
Exotics:.
7. Path-Dependent Options: William C. Hunter and David W. Stowe.
8. Path-Dependent Options: Valuation and Applications: William C. Hunter and David W. Stowe.
9. An Introduction to Special-Purpose Derivatives: Path-Dependent Options: Gary Gastineau.
Part II: Risk Management Applications:.
Overview:.
10. Managing Financial Risk: Clifford W. Smith, Jr. Charles W. Smithson, and D. Sykes Wilford.
Debt Markets:.
11. Improving Hedging Performance Using Interest Rate Futures: Robert W. Kolb and Raymond Chiang.
12. Immunizing Bond Portfolios with Interest Rate Futures: Robert W. Kolb and Gerald D. Gay.
13. Interest Rate Swaps versus Eurodollar Strips: Ira G. Kawaller.
Equity Markets:.
14. The Mechanics of Portfolio Insurance: Thomas J. O'Brien.
15. Alternative Paths to Portfolio Insurance: Mark Rubinstein.
16. The October Crash: Some Evidence on the Cascade Theory: G. J. Santoni.
17. Portfolio Insurance and the Market Crash: Mark Rubinstein.
Over-the-Counter Markets:.
18. The Role of Interest Rate Swaps in Corporate Finance: Anatoli Kuprianov.
19. A Tale of Two Bond Swaps: Andrew Kalotay and Bruce Tuckman.
20. Over-the-Counter Financial Derivatives: Risky Business?: Peter A. Abken.
Preface.
