Financial Derivatives
Pricing and Risk Management
Published on 24. November 2009
Book
Hardback
624 pages
978-0-470-49910-8 (ISBN)
Description
Essential insights on the various aspects of financial derivatives
If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities.
Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products.
* Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities
* Provides thorough coverage of financial derivatives and their role in risk management
* Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation
This informative guide will help you unlock the incredible potential of financial derivatives.
More details
Series
Edition
1. Auflage
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
Product notice
Unsewn / adhesive bound
Paper over boards
With dust jacket
Illustrations
Screen captures: 198 B&W, 0 Color
Dimensions
Height: 260 mm
Width: 183 mm
Thickness: 38 mm
Weight
1357 gr
ISBN-13
978-0-470-49910-8 (9780470499108)
Schweitzer Classification
Other editions
Additional editions
E-Book
10/2009
Wiley
€60.99
Available for download
E-Book
10/2009
Wiley
€60.99
Available for download
Persons
Robert W. Kolb is the Frank W. Considine Chair of Applied Ethics and Professor of Finance at Loyola University Chicago. Before this, he was the assistant dean, Business and Society, and director, Center for Business and Society, at the University of Colorado at Boulder, and department chairman at the University of Miami. Kolb has authored over twenty books on finance, derivatives, and futures, as well as numerous articles in leading finance journals.
James A. Overdahl, a specialist in financial derivatives, is the Chief Economist of the United States Securities and Exchange Commission. He had previously served as chief economist of the Commodity Futures Trading Commission and has nearly two decades of experience in senior positions at various federal financial regulatory agencies. He has taught economics and finance at the University of Texas at Dallas, Georgetown University, Johns Hopkins University, and George Washington University. Overdahl earned his PhD in economics from Iowa State University.
Content
Introduction xxii
Acknowledgments xxiv
PART I Overview of Financial Derivatives 1
1 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3
G. D. Koppenhaver
2 The Derivatives Marketplace: Exchanges and the Over-the-Counter Market 21
Sharon Brown-Hruska
3 Speculation and Hedging 43
Greg Kuserk
4 The Social Functions of Financial Derivatives 57
Christopher L. Culp
PART II Types of Financial Derivatives 73
5 Agricultural and Metallurgical Derivatives: Pricing 77
Joan C. Junkus
6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89
Joan C. Junkus
7 Equity Derivatives 103
Jeffrey H. Harris and L. Mick Swartz
8 Foreign Exchange Derivatives 115
Robert W. Kolb
9 Energy Derivatives 125
Craig Pirrong
10 Interest Rate Derivatives 135
Ian Lang
11 Exotic Options 143
Robert W. Kolb
12 Event Derivatives 157
Justin Wolfers and Eric Zitzewitz
13 Credit Default Swaps 177
Steven Todd
14 Structured Credit Products 199
Steven Todd
15 Executive Stock Options 211
Robert W. Kolb
16 Emerging Derivative Instruments 221
Steve Swidler
PART III The Structure of Derivatives Markets and Institutions 231
17 The Development and Current State of Derivatives Markets 233
Michael A. Penick
18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249
James L. Carley
19 Clearing and Settlement 263
James T. Moser and David Reiffen
20 Counterparty Credit Risk 283
James Overdahl
21 The Regulation of U.S. Commodity Futures and Options 295
Walter L. Lukken
22 Accounting for Financial Derivatives 305
Ira G. Kawaller
23 Derivative Scandals and Disasters 313
John E. Marthinsen
PART IV Pricing of Derivatives: Essential Concepts 333
24 No-Arbitrage Pricing 335
Robert A. Strong
25 The Pricing of Forward and Futures Contracts 351
David Dubofsky
26 The Black-Scholes Option Pricing Model 371
A. G. Malliaris
27 The Black-Scholes Legacy: Closed-Form Option PricingModels 387
Antonio Camara
28 The Pricing and Valuation of Swaps 405
Gerald Gay and Anand Venkateswaran
PART V Advanced Pricing Techniques 423
29 Monte Carlo Techniques in Pricing and Using Derivatives 425
Cara M. Marshall
30 Valuing Derivatives Using Finite Difference Methods 441
Craig Pirrong
31 Stochastic Processes and Models 455
George Chalamandaris and A. G. Malliaris
32 Measuring and Hedging Option Price Sensitivities 477
R. Brian Balyeat
PART VI Using Financial Derivatives 501
33 Option Strategies 503
Stewart Mayhew
34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525
John F. Marshall and Cara M. Marshall
35 Hedge Funds and Financial Derivatives 541
Tom Nohel
36 Real Options and Applications in Corporate Finance 559
Betty Simkins and Kris Kemper
37 Using Derivatives to Manage Interest Rate Risk 575
Steven L. Byers
Index 591
Acknowledgments xxiv
PART I Overview of Financial Derivatives 1
1 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3
G. D. Koppenhaver
2 The Derivatives Marketplace: Exchanges and the Over-the-Counter Market 21
Sharon Brown-Hruska
3 Speculation and Hedging 43
Greg Kuserk
4 The Social Functions of Financial Derivatives 57
Christopher L. Culp
PART II Types of Financial Derivatives 73
5 Agricultural and Metallurgical Derivatives: Pricing 77
Joan C. Junkus
6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89
Joan C. Junkus
7 Equity Derivatives 103
Jeffrey H. Harris and L. Mick Swartz
8 Foreign Exchange Derivatives 115
Robert W. Kolb
9 Energy Derivatives 125
Craig Pirrong
10 Interest Rate Derivatives 135
Ian Lang
11 Exotic Options 143
Robert W. Kolb
12 Event Derivatives 157
Justin Wolfers and Eric Zitzewitz
13 Credit Default Swaps 177
Steven Todd
14 Structured Credit Products 199
Steven Todd
15 Executive Stock Options 211
Robert W. Kolb
16 Emerging Derivative Instruments 221
Steve Swidler
PART III The Structure of Derivatives Markets and Institutions 231
17 The Development and Current State of Derivatives Markets 233
Michael A. Penick
18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249
James L. Carley
19 Clearing and Settlement 263
James T. Moser and David Reiffen
20 Counterparty Credit Risk 283
James Overdahl
21 The Regulation of U.S. Commodity Futures and Options 295
Walter L. Lukken
22 Accounting for Financial Derivatives 305
Ira G. Kawaller
23 Derivative Scandals and Disasters 313
John E. Marthinsen
PART IV Pricing of Derivatives: Essential Concepts 333
24 No-Arbitrage Pricing 335
Robert A. Strong
25 The Pricing of Forward and Futures Contracts 351
David Dubofsky
26 The Black-Scholes Option Pricing Model 371
A. G. Malliaris
27 The Black-Scholes Legacy: Closed-Form Option PricingModels 387
Antonio Camara
28 The Pricing and Valuation of Swaps 405
Gerald Gay and Anand Venkateswaran
PART V Advanced Pricing Techniques 423
29 Monte Carlo Techniques in Pricing and Using Derivatives 425
Cara M. Marshall
30 Valuing Derivatives Using Finite Difference Methods 441
Craig Pirrong
31 Stochastic Processes and Models 455
George Chalamandaris and A. G. Malliaris
32 Measuring and Hedging Option Price Sensitivities 477
R. Brian Balyeat
PART VI Using Financial Derivatives 501
33 Option Strategies 503
Stewart Mayhew
34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525
John F. Marshall and Cara M. Marshall
35 Hedge Funds and Financial Derivatives 541
Tom Nohel
36 Real Options and Applications in Corporate Finance 559
Betty Simkins and Kris Kemper
37 Using Derivatives to Manage Interest Rate Risk 575
Steven L. Byers
Index 591