Options, futures, and other derivatives
| Autor principal: | |
|---|---|
| Formato: | Libro |
| Idioma: | Inglés |
| Publicado: |
Upper Saddle River, NJ :
Prentice Hall
c2009
|
| Edición: | 7th ed |
| Materias: | |
| Ver en Universidad de Navarra: | https://unika.unav.edu/discovery/fulldisplay?docid=alma991005317249708016&context=L&vid=34UNAV_INST:VU1&search_scope=34UNAV_TODO&tab=34UNAV_TODO&lang=es |
Tabla de Contenidos:
- Introduction
- Mechanics of futures markets
- Hedging strategies using futures
- Interest rates
- Determination of forward and futures prices
- Interest rate futures
- Swaps
- Mechanics of options markets
- Properties of stock options
- Trading strategies involving options
- Binomial trees
- Wiener processes and Ito's Lemma
- The Black-Scholes-Merton model
- Employee stock options
- Options on stock indices and currencies
- Options on futures
- Greek letters
- Volatility smiles
- Basic numerical procedures
- Value at risk
- Estimating volatilities and correlations for risk management
- Credit risk
- Credit derivatives
- Exotic options
- Insurance, weather, and energy derivatives
- More on models and numerical procedures
- Martingales and measures
- Interest rate derivatives : the standard market models
- Convexity, timing and quanto adjustments
- Interest rate derivatives : models of the short rate
- Interest rate derivatives : HJM and LMM
- Swaps revisited
- Real options
- Derivatives mishaps and what we can learn from them.
