Description |
xxi, 394 pages : illustrations ; 25 cm |
Series |
Financial Management Association survey and synthesis series |
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Financial Management Association survey and synthesis series.
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Contents |
Ch. 1. Stock Option Basics -- Ch. 2. The Institutional Environment for Stock Options -- Ch. 3. Stock Option Pricing -- Ch. 4. Risk Management of an Option Portfolio -- Ch. 5. Option Products -- Ch. 6. Exotic Options: Option Innovations to Meet Special Needs -- Ch. 7. Interest Rate Options -- Ch. 8. Contract Characteristics and the Institutional Environment -- Ch. 9. Pricing Futures, Forwards, and Options on Futures: General Considerations -- Ch. 10. Treasury Bill Futures -- Ch. 11. Eurodollars -- Ch. 12. U.S. Treasury Bond and Note Futures -- Ch. 13. The Standard & Poor's 500 Stock Price Index Futures Contract -- Ch. 14. Basics -- Ch. 15. Swap Pricing and Hedging -- Ch. 16. Nongeneric Swaps -- Ch. 17. Options on Swaps -- Ch. 18. The Underlying Instruments and Market Characteristics -- Ch. 19. Valuation and Hedging of Mortgage Pass-Throughs -- Ch. 20. CMOs, STRIPs, and Other Mortgage Derivative Instruments |
Summary |
The growth of derivative markets during the past decade has been nothing short of astounding and so, of late, has been the misunderstanding of their use. This book is the definitive resource on derivatives. It is the first to explain all four major classes of derivative instruments - options, futures, interest rate swaps, and mortgage securities - in terms of their market structure, applications, and pricing, with a focus on the valuation methods used most commonly by professional market participants. Unlike most treatments of derivatives, this book offers detailed explanations of the institutional procedure and market practice for each class of derivative as well as the pricing and hedging of mortgage-backed securities and the central role of prepayment in both activities. It also covers a wide variety of topics such as the structuring of CMOs, PACs, and TACs; smile option pricing; and pricing and hedging of long-dated swaps |
Analysis |
Derivative securities United States |
Bibliography |
Includes bibliographical references (pages 375-385) and index |
Subject |
Derivative securities -- United States.
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LC no. |
95031894 |
ISBN |
0875845606 |
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