Derivatives
Published on 16. April 2010
Book
Hardback
940 pages
978-0-07-294931-5 (ISBN)
Description
It has been the authors' experience that the overwhelming majority of students in MBA derivatives courses go on to careers where a deep conceptual, rather than solely mathematical, understanding of products and models is required. The first edition of Derivatives looks to create precisely such a blended approach, one that is formal and rigorous, yet intuitive and accessible.
The main body of this book is divided into six parts. Parts 1-3 cover, respectively, futures and forwards; options; and swaps. Part 4 examines term-structure modeling and the pricing of interest-rate derivatives, while Part 5 is concerned with credit derivatives and the modeling of credit risk. Part 6 discusses computational issues.
The main body of this book is divided into six parts. Parts 1-3 cover, respectively, futures and forwards; options; and swaps. Part 4 examines term-structure modeling and the pricing of interest-rate derivatives, while Part 5 is concerned with credit derivatives and the modeling of credit risk. Part 6 discusses computational issues.
More details
Language
English
Place of publication
United States
Publishing group
McGraw-Hill Education - Europe
Target group
College/higher education
Illustrations
illustrations
Dimensions
Height: 262 mm
Width: 211 mm
Thickness: 41 mm
Weight
1837 gr
ISBN-13
978-0-07-294931-5 (9780072949315)
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
New editions
Rangarajan Sundaram | Sanjiv Das
Derivatives
Book
02/2015
2nd Edition
McGraw Hill Higher Education
€354.50
Shipment within 15-20 days
Content
Chapter 1: IntroductionPart 1: Futures and ForwardsChapter 2: Futures MarketsChapter 3: Pricing Forwards and Futures I: The Basic TheoryChapter 4: Pricing Forwards and Futures IIChapter 5: Hedging with Futures & ForwardsChapter 6: Interest-Rate Forwards & FuturesPart II: Equity DerivativesChapter 7: Options MarketsChapter 8: Options: Payoffs & Trading StrategiesChapter 9: No-Arbitrage Restrictions on Option PricesChapter 10: Early Exercise and Put-Call ParityChapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option "Greeks"Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave