Book description
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Table of contents
- Cover Page
- Title Page
- Copyright
- Contents
- Preface
- Acknowledgments
- About the Author
- Part One: Derivative Markets
- Part Two: Fundamentals of Valuation
- Part Three: Forwards/Futures/Swap Valuation
-
Part Four: Option Valuation
- Chapter 6: No-Arbitrage Price Relations: Options
-
Chapter 7: Valuing Standard Options Analytically
- INTUITION OF RISK-NEUTRAL VALUATION
- LOG-NORMAL PRICE DISTRIBUTION
- VALUING A EUROPEAN-STYLE CALL OPTION
- VALUING A EUROPEAN-STYLE PUT OPTION
- MEASURING RISK OF EUROPEAN-STYLE OPTIONS
- SUMMARY
- REFERENCES AND SUGGESTED READINGS
- APPENDIX 7A: APPLICATIONS OF ITO'S LEMMA
- APPENDIX 7B: RELATION BETWEEN THE CONTINUOUSLY COMPOUNDED MEAN RETURN AND THE MEAN CONTINUOUSLY COMPOUNDED RETURN
- APPENDIX 7C: APPROXIMATION OF THE UNIVARIATE NORMAL PROBABILITY
- APPENDIX 7D: DERIVATION OF BLACK-SCHOLES/MERTON OPTION VALUATION FORMULA
- APPENDIX 7E: DERIVATION OF THE “GREEKS”
-
Chapter 8: Valuing Nonstandard Options Analytically
- ALL-OR-NOTHING OPTIONS
- GAP OPTIONS
- CONTINGENT PAY OPTIONS
- FORWARD-START OPTIONS
- RATCHET OPTIONS
- CHOOSER OPTIONS
- EXCHANGE OPTIONS
- OPTIONS ON THE MAXIMUM AND THE MINIMUM
- COMPOUND OPTIONS
- LOOKBACK OPTIONS
- BARRIER OPTIONS
- SUMMARY
- REFERENCES AND SUGGESTED READINGS
- APPENDIX 8A: APPROXIMATION OF THE BIVARIATE NORMAL PROBABILITY
- Chapter 9: Valuing Options Numerically
- Chapter 10: Risk Management Strategies: Options
- Part Five: Stock Derivatives
- Part Six: Stock Index Derivatives
- Part Seven: Currency Derivatives
- Part Eight: Interest Rate Derivatives
- Part Nine: Commodity Derivatives
- Part Ten: Lessons Learned
- Appendices
- About the CD-ROM
- Index
Product information
- Title: Derivatives: Markets, Valuation, and Risk Management
- Author(s):
- Release date: October 2006
- Publisher(s): Wiley
- ISBN: 9780471786320
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