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Book Cover
Book
Author Arditti, Fred D.

Title Derivatives : a comprehensive resource for options, futures, interest rate swaps, and mortgage securities / Fred D. Arditti
Published Boston : Harvard Business School Press, [1996]
©1996

Copies

Location Call no. Vol. Availability
 MELB  332.645 Ard/Dac  AVAILABLE
Description xxi, 394 pages : illustrations ; 25 cm
Series Financial Management Association survey and synthesis series
Financial Management Association survey and synthesis series.
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.
LC no. 95031894
ISBN 0875845606