Essays in Derivatives
Risk-Transfer Tools and Topics Made Easy
2nd Edition
Published on 10. June 2008
Book
Hardback
432 pages
978-0-470-08625-4 (ISBN)
Description
In the updated second edition of Don Chance's well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
More details
Series
Edition
2nd edition
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
With dust jacket
Illustrations
Tables: 8 B&W, 0 Color
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 28 mm
Weight
772 gr
ISBN-13
978-0-470-08625-4 (9780470086254)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
E-Book
07/2011
2nd Edition
Wiley
€35.99
Available for download
E-Book
04/2009
2nd Edition
Wiley
€35.99
Available for download
Previous edition
Don M. Chance
Essays in Derivatives
Book
08/1998
Brown (William C.) Co ,U.S.
€59.60
Article exhausted; check for reprint
Person
DON M. CHANCE holds the William H. Wright Jr. Endowed Chair for Financial Services at the E. J. Ourso College of Business Administration at Louisiana State University. He was formerly the First Union Professor of Financial Risk Management at the Pamplin College of Business at Virginia Tech. Prior to his academic career, Chance worked for a large southeastern bank. Professor Chance has had numerous articles published in academic and practitioner journals, is often quoted in the media, and has an extensive consulting practice. He holds a PhD in finance from LSU and is a CFA charterholder.
Content
Preface to the New Edition xiii
Preface to the First Edition xv
SECTION ONE Derivatives and Their Markets 1
ESSAY 1 The Structure of Derivative Markets 3
ESSAY 2 A Brief History of Derivatives 7
ESSAY 3 Why Derivatives? 15
ESSAY 4 Forward Contracts and Futures Contracts 25
ESSAY 5 Options 29
ESSAY 6 Swaps 33
ESSAY 7 Types of Risks 37
SECTION TWO The Basic Instruments 41
ESSAY 8 Interest Rate Derivatives: FRAs and Options 43
ESSAY 9 Interest Rate Derivatives: Swaps 49
ESSAY 10 Currency Swaps 53
ESSAY 11 Structured Notes 57
ESSAY 12 Securitized Instruments 61
ESSAY 13 Equity Swaps 67
ESSAY 14 Equity-Linked Debt 71
ESSAY 15 Commodity Swaps 75
ESSAY 16 American versus European Options 79
ESSAY 17 Swaptions 83
ESSAY 18 Credit Derivatives 89
ESSAY 19 Volatility Derivatives 95
ESSAY 20 Weather and Environmental Derivatives 99
SECTION THREE Derivative Pricing 103
ESSAY 21 Forward and Futures Pricing 105
ESSAY 22 Put-Call Parity for European Options on Assets 111
ESSAY 23 Put-Call Parity for American Options on Assets 115
ESSAY 24 Call Options as Insurance and Margin 119
ESSAY 25 A Nontechnical Introduction to Brownian Motion 123
ESSAY 26 Building a Model of Brownian Motion in the Stock Market 129
ESSAY 27 Option Pricing: The Black-Scholes-Merton Model 133
ESSAY 28 Option Pricing: The Binomial Model 139
ESSAY 29 Option Pricing: Numerical Methods 143
ESSAY 30 Dynamic Option Replication 147
ESSAY 31 Risk-Neutral Pricing of Derivatives: I 153
ESSAY 32 Risk-Neutral Pricing of Derivatives: II 159
ESSAY 33 It's All Greek to Me 165
ESSAY 34 Implied Volatility 169
ESSAY 35 American Call Option Pricing 175
ESSAY 36 American Put Option Pricing 181
ESSAY 37 Swap Pricing 185
SECTION FOUR Derivative Strategies 191
ESSAY 38 Asset Allocation with Derivatives 193
ESSAY 39 Protective Puts and Portfolio Insurance 197
ESSAY 40 Misconceptions about Covered Call Writing 201
ESSAY 41 Hedge Funds and Other Privately Managed Accounts 205
ESSAY 42 Spreads, Collars, and Prepaid Forwards 209
ESSAY 43 Box Spreads 213
SECTION FIVE Exotic Instruments 217
ESSAY 44 Barrier Options 219
ESSAY 45 Straddles and Chooser Options 223
ESSAY 46 Compound and Installment Options 227
ESSAY 47 Digital Options 231
ESSAY 48 Geographic Options 235
ESSAY 49 Multi-Asset Options 239
ESSAY 50 Range Forwards and Break Forwards 243
ESSAY 51 Lookback Options 249
ESSAY 52 Deferred Start and Contingent Premium Options 253
SECTION SIX Fixed Income Securities and Derivatives 257
ESSAY 53 Duration 259
ESSAY 54 Limitations of Duration and the Concept of Convexity 263
ESSAY 55 The Term Structure of Interest Rates 269
ESSAY 56 Theories of the Term Structure: I 273
ESSAY 57 Theories of the Term Structure: II 279
ESSAY 58 Simple Models of the Term Structure: Vasicek and Cox-Ingersoll-Ross 285
ESSAY 59 No-Arbitrage Models of the Term Structure: Ho-Lee and Heath-Jarrow-Morton 291
ESSAY 60 Tree Pricing of Bonds and Interest Rate Derivatives: I 297
ESSAY 61 Tree Pricing of Bonds and Interest Rate Derivatives: II 301
ESSAY 62 Tree Pricing of Bonds and Interest Rate Derivatives: III 307
ESSAY 63 Tree Pricing of Bonds and Interest Rate Derivatives: IV 313
ESSAY 64 Tree Pricing of Bonds and Interest Rate Derivatives: V 319
SECTION SEVEN Other Topics and Issues 325
ESSAY 65 Stock Options 327
ESSAY 66 Value at Risk 335
ESSAY 67 Stock as an Option 341
ESSAY 68 The Credit Risk of Derivatives 345
ESSAY 69 Operational Risk 349
ESSAY 70 Risk Management in an Organization 355
ESSAY 71 Accounting and Disclosure of Derivatives 361
ESSAY 72 Worst Practices in Derivatives 367
ESSAY 73 Best Practices in Derivatives 375
Recommended Reading 379
Answers to End-of-Essay Questions 381
Preface to the First Edition xv
SECTION ONE Derivatives and Their Markets 1
ESSAY 1 The Structure of Derivative Markets 3
ESSAY 2 A Brief History of Derivatives 7
ESSAY 3 Why Derivatives? 15
ESSAY 4 Forward Contracts and Futures Contracts 25
ESSAY 5 Options 29
ESSAY 6 Swaps 33
ESSAY 7 Types of Risks 37
SECTION TWO The Basic Instruments 41
ESSAY 8 Interest Rate Derivatives: FRAs and Options 43
ESSAY 9 Interest Rate Derivatives: Swaps 49
ESSAY 10 Currency Swaps 53
ESSAY 11 Structured Notes 57
ESSAY 12 Securitized Instruments 61
ESSAY 13 Equity Swaps 67
ESSAY 14 Equity-Linked Debt 71
ESSAY 15 Commodity Swaps 75
ESSAY 16 American versus European Options 79
ESSAY 17 Swaptions 83
ESSAY 18 Credit Derivatives 89
ESSAY 19 Volatility Derivatives 95
ESSAY 20 Weather and Environmental Derivatives 99
SECTION THREE Derivative Pricing 103
ESSAY 21 Forward and Futures Pricing 105
ESSAY 22 Put-Call Parity for European Options on Assets 111
ESSAY 23 Put-Call Parity for American Options on Assets 115
ESSAY 24 Call Options as Insurance and Margin 119
ESSAY 25 A Nontechnical Introduction to Brownian Motion 123
ESSAY 26 Building a Model of Brownian Motion in the Stock Market 129
ESSAY 27 Option Pricing: The Black-Scholes-Merton Model 133
ESSAY 28 Option Pricing: The Binomial Model 139
ESSAY 29 Option Pricing: Numerical Methods 143
ESSAY 30 Dynamic Option Replication 147
ESSAY 31 Risk-Neutral Pricing of Derivatives: I 153
ESSAY 32 Risk-Neutral Pricing of Derivatives: II 159
ESSAY 33 It's All Greek to Me 165
ESSAY 34 Implied Volatility 169
ESSAY 35 American Call Option Pricing 175
ESSAY 36 American Put Option Pricing 181
ESSAY 37 Swap Pricing 185
SECTION FOUR Derivative Strategies 191
ESSAY 38 Asset Allocation with Derivatives 193
ESSAY 39 Protective Puts and Portfolio Insurance 197
ESSAY 40 Misconceptions about Covered Call Writing 201
ESSAY 41 Hedge Funds and Other Privately Managed Accounts 205
ESSAY 42 Spreads, Collars, and Prepaid Forwards 209
ESSAY 43 Box Spreads 213
SECTION FIVE Exotic Instruments 217
ESSAY 44 Barrier Options 219
ESSAY 45 Straddles and Chooser Options 223
ESSAY 46 Compound and Installment Options 227
ESSAY 47 Digital Options 231
ESSAY 48 Geographic Options 235
ESSAY 49 Multi-Asset Options 239
ESSAY 50 Range Forwards and Break Forwards 243
ESSAY 51 Lookback Options 249
ESSAY 52 Deferred Start and Contingent Premium Options 253
SECTION SIX Fixed Income Securities and Derivatives 257
ESSAY 53 Duration 259
ESSAY 54 Limitations of Duration and the Concept of Convexity 263
ESSAY 55 The Term Structure of Interest Rates 269
ESSAY 56 Theories of the Term Structure: I 273
ESSAY 57 Theories of the Term Structure: II 279
ESSAY 58 Simple Models of the Term Structure: Vasicek and Cox-Ingersoll-Ross 285
ESSAY 59 No-Arbitrage Models of the Term Structure: Ho-Lee and Heath-Jarrow-Morton 291
ESSAY 60 Tree Pricing of Bonds and Interest Rate Derivatives: I 297
ESSAY 61 Tree Pricing of Bonds and Interest Rate Derivatives: II 301
ESSAY 62 Tree Pricing of Bonds and Interest Rate Derivatives: III 307
ESSAY 63 Tree Pricing of Bonds and Interest Rate Derivatives: IV 313
ESSAY 64 Tree Pricing of Bonds and Interest Rate Derivatives: V 319
SECTION SEVEN Other Topics and Issues 325
ESSAY 65 Stock Options 327
ESSAY 66 Value at Risk 335
ESSAY 67 Stock as an Option 341
ESSAY 68 The Credit Risk of Derivatives 345
ESSAY 69 Operational Risk 349
ESSAY 70 Risk Management in an Organization 355
ESSAY 71 Accounting and Disclosure of Derivatives 361
ESSAY 72 Worst Practices in Derivatives 367
ESSAY 73 Best Practices in Derivatives 375
Recommended Reading 379
Answers to End-of-Essay Questions 381