Essays in Derivatives
Risk-Transfer Tools and Topics Made Easy
2nd Edition
Published on 23. April 2009
432 pages
978-0-470-28309-7 (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.
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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.
Preface To The First Edition.
Section One. Derivatives And Their Markets.
Essay 1. The Structure Of Derivative Markets.
Essay 2. A Brief History Of Derivatives.
Essay 3. Why Derivatives?
Essay 4. Forward Contracts And Futures Contracts.
Essay 5. Options.
Essay 6. Swaps.
Essay 7. Types Of Risks.
Section Two. The Basic Instruments.
Essay 8. Interest Rate Derivatives: FRAs And Options.
Essay 9. Interest Rate Derivatives: Swaps.
Essay 10. Currency Swaps.
Essay 11. Structured Notes.
Essay 12. Securitized Instruments.
Essay 13. Equity Swaps.
Essay 14. Equity-Linked Debt.
Essay 15. Commodity Swaps.
Essay 16. American Versus European Options.
Essay 17. Swaptions.
Essay 18. Credit Derivatives.
Essay 19. Volatility Derivatives.
Essay 20. Weather And Environmental Derivatives.
Section Three. Derivative Pricing.
Essay 21. Forward And Futures Pricing.
Essay 22. Put-Call Parity For European Options On Assets.
Essay 23. Put-Call Parity For American Options On Assets.
Essay 24. Call Options As Insurance And Margin.
Essay 25. A Nontechnical Introduction To Brownian Motion.
Essay 26. Building A Model Of Brownian Motion In The Stock Market.
Essay 27. Option Pricing: The Black-Scholes-Merton Model.
Essay 28. Option Pricing: The Binomial Model.
Essay 29. Option Pricing: Numerical Methods.
Essay 30. Dynamic Option Replication.
Essay 31. Risk-Neutral Pricing Of Derivatives: I.
Essay 32. Risk-Neutral Pricing Of Derivatives: II.
Essay 33. It's All Greek To Me.
Essay 34. Implied Volatility.
Essay 35. American Call Option Pricing.
Essay 36. American Put Option Pricing.
Essay 37. Swap Pricing.
Section Four. Derivative Strategies.
Essay 38. Asset Allocation With Derivatives.
Essay 39. Protective Puts And Portfolio Insurance.
Essay 40. Misconceptions About Covered Call Writing.
Essay 41. Hedge Funds And Other Privately Managed Accounts.
Essay 42. Spreads, Collars, And Prepaid Forwards.
Essay 43. Box Spreads.
Section Five. Exotic Instruments.
Essay 44. Barrier Options.
Essay 45. Straddles And Chooser Options.
Essay 46. Compound And Installment Options.
Essay 47. Digital Options.
Essay 48. Geographic Options.
Essay 49. Multi-Asset Options.
Essay 50. Range Forwards And Break Forwards.
Essay 51. Lookback Options.
Essay 52. Deferred Start And Contingent Premium Options.
Section Six. Fixed Income Securities And Derivatives.
Essay 53. Duration.
Essay 54. Limitations Of Duration And The Concept Of Convexity.
Essay 55. The Term Structure Of Interest Rates.
Essay 56. Theories Of The Term Structure: I.
Essay 57. Theories Of The Term Structure: II.
Essay 58. Simple Models Of The Term Structure: Vasicek And Cox-Ingersoll-Ross.
Essay 59. No-Arbitrage Models Of The Term Structure: Ho-Lee And Heath-Jarrow-Morton.
Essay 60. Tree Pricing Of Bond And Interest Rate Derivatives: I.
Essay 61. Tree Pricing Of Bonds And Interest Rate Derivatives: II.
Essay 62. Tree Pricing Of Bonds And Interest Rate Derivatives: III.
Essay 63. Tree Pricing Of Bonds And Interest Rate Derivatives: IV.
Essay 64. Tree Pricing Of Bonds And Interest Rate Derivatives: V.
Section Seven. Other Topics And Issues.
Essay 65. Stock Options.
Essay 66.Value At Risk.
Essay 67. Stock As An Option .
Essay 68. The Credit Risk Of Derivatives.
Essay 69. Operational Risk.
Essay 70. Risk Management In An Organization.
Essay 71. Accounting And Disclosure Of Derivatives.
Essay 72. Worst Practices In Derivatives.
Essay 73. Best Practices In Derivatives.
Recommended Reading.
Answers To End-Of-Essay Questions.
Preface To The First Edition.
Section One. Derivatives And Their Markets.
Essay 1. The Structure Of Derivative Markets.
Essay 2. A Brief History Of Derivatives.
Essay 3. Why Derivatives?
Essay 4. Forward Contracts And Futures Contracts.
Essay 5. Options.
Essay 6. Swaps.
Essay 7. Types Of Risks.
Section Two. The Basic Instruments.
Essay 8. Interest Rate Derivatives: FRAs And Options.
Essay 9. Interest Rate Derivatives: Swaps.
Essay 10. Currency Swaps.
Essay 11. Structured Notes.
Essay 12. Securitized Instruments.
Essay 13. Equity Swaps.
Essay 14. Equity-Linked Debt.
Essay 15. Commodity Swaps.
Essay 16. American Versus European Options.
Essay 17. Swaptions.
Essay 18. Credit Derivatives.
Essay 19. Volatility Derivatives.
Essay 20. Weather And Environmental Derivatives.
Section Three. Derivative Pricing.
Essay 21. Forward And Futures Pricing.
Essay 22. Put-Call Parity For European Options On Assets.
Essay 23. Put-Call Parity For American Options On Assets.
Essay 24. Call Options As Insurance And Margin.
Essay 25. A Nontechnical Introduction To Brownian Motion.
Essay 26. Building A Model Of Brownian Motion In The Stock Market.
Essay 27. Option Pricing: The Black-Scholes-Merton Model.
Essay 28. Option Pricing: The Binomial Model.
Essay 29. Option Pricing: Numerical Methods.
Essay 30. Dynamic Option Replication.
Essay 31. Risk-Neutral Pricing Of Derivatives: I.
Essay 32. Risk-Neutral Pricing Of Derivatives: II.
Essay 33. It's All Greek To Me.
Essay 34. Implied Volatility.
Essay 35. American Call Option Pricing.
Essay 36. American Put Option Pricing.
Essay 37. Swap Pricing.
Section Four. Derivative Strategies.
Essay 38. Asset Allocation With Derivatives.
Essay 39. Protective Puts And Portfolio Insurance.
Essay 40. Misconceptions About Covered Call Writing.
Essay 41. Hedge Funds And Other Privately Managed Accounts.
Essay 42. Spreads, Collars, And Prepaid Forwards.
Essay 43. Box Spreads.
Section Five. Exotic Instruments.
Essay 44. Barrier Options.
Essay 45. Straddles And Chooser Options.
Essay 46. Compound And Installment Options.
Essay 47. Digital Options.
Essay 48. Geographic Options.
Essay 49. Multi-Asset Options.
Essay 50. Range Forwards And Break Forwards.
Essay 51. Lookback Options.
Essay 52. Deferred Start And Contingent Premium Options.
Section Six. Fixed Income Securities And Derivatives.
Essay 53. Duration.
Essay 54. Limitations Of Duration And The Concept Of Convexity.
Essay 55. The Term Structure Of Interest Rates.
Essay 56. Theories Of The Term Structure: I.
Essay 57. Theories Of The Term Structure: II.
Essay 58. Simple Models Of The Term Structure: Vasicek And Cox-Ingersoll-Ross.
Essay 59. No-Arbitrage Models Of The Term Structure: Ho-Lee And Heath-Jarrow-Morton.
Essay 60. Tree Pricing Of Bond And Interest Rate Derivatives: I.
Essay 61. Tree Pricing Of Bonds And Interest Rate Derivatives: II.
Essay 62. Tree Pricing Of Bonds And Interest Rate Derivatives: III.
Essay 63. Tree Pricing Of Bonds And Interest Rate Derivatives: IV.
Essay 64. Tree Pricing Of Bonds And Interest Rate Derivatives: V.
Section Seven. Other Topics And Issues.
Essay 65. Stock Options.
Essay 66.Value At Risk.
Essay 67. Stock As An Option .
Essay 68. The Credit Risk Of Derivatives.
Essay 69. Operational Risk.
Essay 70. Risk Management In An Organization.
Essay 71. Accounting And Disclosure Of Derivatives.
Essay 72. Worst Practices In Derivatives.
Essay 73. Best Practices In Derivatives.
Recommended Reading.
Answers To End-Of-Essay Questions.
