| Description |
1 online resource (1 volume) : illustrations |
| Series |
Wiley finance series |
|
Wiley finance series.
|
| Contents |
Pricing and Hedging Financial Derivatives: A Guide for Practitioners; Contents; Preface; Acknowledgements; 1 An Introduction to the Major Asset Classes; 1.1 EQUITIES; 1.1.1 Introduction; 1.1.2 Pricing equities; 1.1.3 Fundamental analysis; 1.1.4 Technical analysis; 1.1.5 Quantitative analysis; 1.1.6 The equity risk premium and the pre-FOMC announcement drift; 1.2 COMMODITIES; 1.2.1 Introduction; 1.2.2 Hedging; 1.2.3 Backwardation and contango; 1.2.4 Investment in commodities; 1.2.5 Commodity fundamentals; 1.2.6 Super-cycles in commodity prices; 1.2.7 Future regulation; 1.3 FIXED INCOME |
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1.3.1 Introduction 1.3.2 Credit risk; 1.3.3 The empirical pattern of yield curve moves; 1.3.4 Modelling interest rate movements; 1.3.5 Modelling the risks of default; 1.4 FOREIGN EXCHANGE; 1.4.1 Introduction; 1.4.2 How foreign exchange rates are quoted; SUMMARY; 2 Derivatives: Forwards, Futures and Swaps; 2.1 DERIVATIVES; 2.2 FORWARD CONTRACTS; 2.2.1 Definition; 2.2.2 Payoffs of forward contracts; 2.2.3 Forward price versus delivery price; 2.3 FUTURES CONTRACTS; 2.4 CALCULATING IMPLIED FORWARD PRICES AND VALUING EXISTING FORWARD CONTRACTS; 2.4.1 Calculating implied forward prices on equities |
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2.4.2 Calculating implied forward prices on foreign exchange rates 2.4.3 Calculating implied forward prices on commodities; 2.4.4 Valuing existing forward contracts; 2.5 PRICING FUTURES CONTRACTS; 2.6 SWAPS; 2.6.1 Introduction; 2.6.2 Interest rate swaps; 2.6.3 Commodity swaps; 2.6.4 Commodity swap valuation; 2.6.5 Commodity swaps with variable notional and price; 2.6.6 Currency swaps; 2.6.7 Equity swaps; SUMMARY; 3 Derivatives: Options and Related Strategies; 3.1 CALL OPTIONS; 3.1.1 Definition; 3.1.2 Examples; 3.1.3 Scenario analysis for the S&P 500 Index call option; 3.2 PUT OPTIONS |
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3.2.1 Definition 3.2.2 Examples; 3.2.3 Scenario analysis for put options; 3.3 BOUNDARY CONDITIONS FOR CALL AND PUT OPTIONS PRICES; 3.3.1 Introduction and basic notation; 3.3.2 A call option cannot be worth more than the price of the underlying asset; 3.3.3 The price of a put option cannot be higher than the present value of the strike price, K; 3.3.4 Lower boundaries for call options on non-dividend paying stocks; 3.3.5 Lower boundaries for put options on non-dividend paying stocks; 3.4 PUT-CALL PARITY; 3.5 SWAPTIONS; 3.6 OPTIONS STRATEGIES; 3.6.1 Introduction to option strategies |
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3.6.2 Option spreads 3.6.3 Directional strategies using vertical spreads; 3.6.4 Risk reversal and collars; 3.6.5 Volatility strategies with puts and calls; SUMMARY; 4 Binomial Option Pricing; 4.1 ONE-PERIOD BINOMIAL TREE: REPLICATION APPROACH; 4.2 RISK-NEUTRAL VALUATION; 4.2.1 Introduction to risk-neutral valuation; 4.2.2 An alternative way to think of the option price; 4.2.3 Risk-neutral probabilities; 4.3 TWO-PERIOD BINOMIAL TREE: VALUING BACK DOWN THE TREE; 4.4 THE BINOMIAL TREE: A GENERALIZATION; 4.5 EARLY EXERCISE AND AMERICAN OPTIONS; 4.6 VOLATILITY CALIBRATION; SUMMARY |
| Summary |
The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. The only guide focusing entirely on practical approaches topricing and hedging derivatives One valuable lesson of the financial crisis was that derivativesand risk practitioners don't really understand the products they'redealing with. Written by a practitioner for practitioners, thisbook delivers the kind of knowledge and skills traders and financeprofessionals need to fully understand derivatives and price andhedge them effectively. Most derivatives books are written byacademics and are long on theory and short on the day-to-dayrealities of derivatives trading. Of the few practical guidesavailable, very few of those cover pricing and hedgingtwocritical topics for traders. What matters to practitioners is whathappens on the trading floorinformation only seasonedpractitioners such as authors Marroni and Perdomo can impart.Lays out proven derivatives pricing and hedging strategies andtechniques for equities, FX, fixed income and commodities, as wellas multi-assets and cross-assetsProvides expert guidance on the development of structuredproducts, supplemented with a range of practical examplesPacked with real-life examples covering everything from optionpayout with delta hedging, to Monte Carlo procedures to commonstructured products payoffsThe Companion Website features all of the examples from thebook in Excel complete with source code |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Description based on print version record |
| Subject |
Derivative securities -- Prices
|
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Hedging (Finance)
|
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Derivative securities -- Prices
|
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Hedging (Finance)
|
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Finance.
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Finance & accounting.
|
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Investment & securities.
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Finance and Accounting.
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| Form |
Electronic book
|
| Author |
Perdomo, Irene, 1977- author.
|
| LC no. |
2013021914 |
| ISBN |
9781119954576 |
|
1119954576 |
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