| Description |
xxii 789 pages : illustrations ; 26 cm |
| Contents |
Ch. 1. Introduction -- Ch. 2. Mechanics of futures markets -- Ch. 3. Hedging strategies using futures -- Ch. 4. Interest rates -- Ch. 5. Determination of forward and futures prices -- Ch. 6. Interest rate futures -- Ch. 7. Swaps -- Ch. 8. Mechanics of options markets -- Ch. 9. Properties of stock options -- Ch. 10. Trading strategies involving options -- Ch. 11. Binomial trees -- Ch. 12. Wiener processes and Ito's lemma -- Ch. 13. The Black-Scholes-Merton model -- Ch. 14. Options on stock indices, currencies, and futures -- Ch. 15. The Greek letters -- Ch. 16. Volatility smiles -- Ch. 17. Basic numerical procedures -- Ch. 18. Value at risk -- Ch. 19. Estimating volatilities and correlations -- Ch. 20. Credit risk -- Ch. 21. Credit derivatives -- Ch. 22. Exotic options -- Ch. 23. Weather, energy, and insurance derivatives -- Ch. 24. More on models and numerical procedures -- Ch. 25. Martingales and measures -- Ch. 26. Interest rate derivatives : the standard market models |
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Ch. 27. Convexity, timing, and quanto adjustments -- Ch. 28. Interest rate derivatives : models of the short rate -- Ch. 29. Interest rate derivatives : HJM and LMM -- Ch. 30. Swaps revisited -- Ch. 31. Real options -- Ch. 32. Derivatives mishaps and what we can learn from them |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Futures.
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Stock options.
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Derivative securities.
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| LC no. |
2005047692 |
| ISBN |
0131499084 alkaline paper |
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