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Title Practical readings in financial derivatives / edited by Robert W. Kolb
Published Malden, MA : Blackwell Business, 1998


Location Call no. Vol. Availability
 MELB  332.645 Kol/Pri  AVAILABLE
 W'BOOL  332.645 Kol/Pri  AVAILABLE
Description viii, 357 pages
Contents I. Instruments and Pricing. A. 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. B. Options. 3. How to Use the Holes in Black-Scholes / Fischer Black. C. 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. D. 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 -- II. Risk Management Applications. A. Overview. 10. Managing Financial Risk / Clifford W. Smith, Jr., Charles W. Smithson and D. Sykes Wilford. B. 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. C. 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. D. 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
Bibliography Includes bibliographical references and index
Includes bibliographies
Subject Derivative securities.
Author Kolb, Robert W., 1949-
LC no. 97023202
ISBN 1577180844 (alk. paper)