Practical Readings in Financial Derivatives
1st Edition
Published on 13. December 1997
Book
Paperback/Softback
366 pages
978-1-57718-084-5 (ISBN)
Description
Two central themes govern the content--the pricing of financial derivatives and their practical application in risk management.
More details
Language
English
Place of publication
Hoboken
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
Dimensions
Height: 247 mm
Width: 175 mm
Thickness: 20 mm
Weight
652 gr
ISBN-13
978-1-57718-084-5 (9781577180845)
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
Person
Robert W. Kolb has 17 years' experience teaching finance at university level. A prolific writer of scholarly publications, he has published 50 journal articles and over 20 textbooks in the area of finance. His principal areas of research interest are financial derivatives, investments, and bond portfolios.
Content
Part 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.
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.