Book description
The book is a step-by-step guide to derivative products. By distilling the complex mathematics and theory that underlie the subject, Chisholm explains derivative products in straightforward terms, focusing on applications and intuitive explanations wherever possible. Case studies and examples of how the products are used to solve real-world problems, as well as an extensive glossary and material on the latest derivative products make this book a must have for anyone working with derivative products.
Table of contents
- Copyright
- Preface
- 1. The Market Background
- 2. Equity and Currency Forwards
- 3. Forward Rate Agreements
- 4. Commodity and Bond Futures
- 5. Interest Rate and Equity Futures
- 6. Interest Rate Swaps
- 7. Equity and Credit Default Swaps
- 8. Fundamentals of Options
- 9. Hedging with Options
- 10. Exchange-Traded Equity Options
- 11. Currency Options
- 12. Interest Rate Options
-
13. Option Valuation Concepts
- 13.1. INTRODUCTION
- 13.2. THE CONCEPT OF EXPECTED PAYOUT
- 13.3. INPUTS TO THE BLACK–SCHOLES MODEL
- 13.4. HISTORICAL VOLATILITY
- 13.5. IMPLIED VOLATILITY
- 13.6. SHARE PRICE SIMULATIONS
- 13.7. VALUE OF A CALL AND PUT OPTION
- 13.8. PRICING CURRENCY OPTIONS
- 13.9. PRICING INTEREST RATE OPTIONS
- 13.10. CHAPTER SUMMARY
- 14. Option Sensitivities: The 'Greeks'
- 15. Managing Trading Risks on Options
- 16. Option Trading Strategies
-
17. Convertible and Exchangeable Bonds
- 17.1. INTRODUCTION
- 17.2. INVESTORS IN CONVERTIBLE BONDS
- 17.3. ISSUERS OF CONVERTIBLE BONDS
- 17.4. CB MEASURES OF VALUE
- 17.5. CONVERSION PREMIUM AND PARITY
- 17.6. OTHER FACTORS AFFECTING CB VALUE
- 17.7. PARTICIPATION RATES
- 17.8. MANDATORILY CONVERTIBLES AND EXCHANGEABLES
- 17.9. STRUCTURING A MANDATORILY EXCHANGEABLE
- 17.10. CHAPTER SUMMARY
-
18. Structured Securities: Examples
- 18.1. INTRODUCTION
- 18.2. CAPITAL PROTECTION EQUITY-LINKED NOTES
- 18.3. EXPIRY VALUE OF 100% CAPITAL PROTECTION NOTES
- 18.4. 100% PARTICIPATION NOTES
- 18.5. CAPPED PARTICIPATION NOTES
- 18.6. AVERAGE PRICE NOTES
- 18.7. LOCKING IN INTERIM GAINS: CLIQUET OPTIONS
- 18.8. SECURITIZATION
- 18.9. SYNTHETIC SECURITIZATION
- 18.10. CHAPTER SUMMARY
-
A. Financial Calculations
- A.1. TIME VALUE OF MONEY
- A.2. FUTURE VALUE (FV)
- A.3. ANNUAL EQUIVALENT RATE (AER)
- A.4. PRESENT VALUE (PV)
- A.5. YIELD OR RETURN ON INVESTMENT
- A.6. TERM STRUCTURE OF INTEREST RATES
- A.7. CALCULATING FORWARD INTEREST RATES
- A.8. FORWARD RATES AND FRAs
- A.9. FORWARD RATES AND INTEREST RATE SWAPS
- A.10. BLACK–SCHOLES OPTION PRICING MODEL
- A.11. BLACK–SCHOLES WITH DIVIDENDS
- A.12. HISTORICAL VOLATILITY
- B. Glossary of Terms
- C. Further Information
Product information
- Title: Derivatives Demystified: A Step-by-Step Guide to Forwards, Futures, Swaps and Options
- Author(s):
- Release date: August 2004
- Publisher(s): Wiley
- ISBN: 9780470093825
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