Derivatives: principles and practice
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
McGraw-Hill Irwin
2011
|
| Series: | The McGraw-Hill/Irwin series in finance, insurance, and real estate : Financial management
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes index. |
| Physical Description: | Getr. Zählung graph. Darst. |
| ISBN: | 9780072949315 0072949317 |
Staff View
MARC
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| 245 | 1 | 0 | |a Derivatives |b principles and practice |c Rangarajan K. Sundaram ; Sanjiv R. Das |
| 264 | 1 | |a New York, NY |b McGraw-Hill Irwin |c 2011 | |
| 300 | |a Getr. Zählung |b graph. Darst. | ||
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| 490 | 0 | |a The McGraw-Hill/Irwin series in finance, insurance, and real estate : Financial management | |
| 500 | |a Includes index. | ||
| 650 | 4 | |a Derivative securities | |
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Record in the Search Index
| _version_ | 1804143140223844352 |
|---|---|
| adam_text | Brief
Contents
Author Biographies
xv
Preface
xvi
Acknowledgments
xxi
1
Introduction
1
PART ONE
Futures and Forwards
17
2
3
Futures Markets
19
Pricing Forwards and Futures I:
The Basic Theory
60
4
Pricing Forwards and Futures II: Building
on the Foundations
85
5
Hedging with Futures and Forwards
101
6
Interest-Rate Forwards and Futures
122
PART TWO
Options
153
7
Options Markets
155
8
Options: Payoffs and Trading
Strategies
171
9
No-Arbitrage Restrictions on
Option Prices
196
10
Early Exercise and Put-Call Parity
213
11
Option Pricing: An Introduction
228
12
Binomial Option Pricing
259
13
Implementing the Binomial Model
289
14
The Black-Scholes Model
308
15
The Mathematics of Black-Scholes
344
16
Options Modeling: Beyond
Black-Scholes
357
17
Sensitivity Analysis: The Option
Greeks
404
18
Exotic Options I: Path-Independent
Options
440
19
Exotic Options II: Path-Dependent
Options
470
20
Value-at-Risk
498
21
Convertible Bonds
519
22
Real Options
548
PART THREE
Swaps
569
23
Interest Rate Swaps and Floating-Rate
Products
571
24
Equity Swaps
613
25
Currency and Commodity Swaps
631
PART FOUR
Interest Rate Modeling
647
26
The Term Structure of Interest Rates:
Concepts
649
27
Estimating the Yield Curve
667
28
Modeling Term-Structure
Movements
684
29
Factor Models of the Term Structure
700
30
The Heath-Jarrow-Morton and
Libor
Market Models
731
PART FIVE
Credit Risk
769
31
Credit Derivative Products
771
32
Structural Models of Default Risk
802
33
Reduced-Form Models of
Default Risk
829
34
Modeling Correlated Default
863
vi
Brief
Contents
vii
Bibliography
В-1
Index
1-І
The following Web chapters are
available at www.mhhe.com/sdle:
PART SIX
Computation
901
35
Derivative Pricing with Finite
Differencing
903
36
Derivative Pricing with Monte Carlo
Simulation
923
37
Using Octave
945
|
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| id | DE-604.BV036562888 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:42:55Z |
| institution | BVB |
| isbn | 9780072949315 0072949317 |
| language | English |
| lccn | 2009053836 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020484187 |
| oclc_num | 705665363 |
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| physical | Getr. Zählung graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | McGraw-Hill Irwin |
| record_format | marc |
| series2 | The McGraw-Hill/Irwin series in finance, insurance, and real estate : Financial management |
| spelling | Sundaram, Rangarajan K. Verfasser (DE-588)124926207 aut Derivatives principles and practice Rangarajan K. Sundaram ; Sanjiv R. Das New York, NY McGraw-Hill Irwin 2011 Getr. Zählung graph. Darst. txt rdacontent n rdamedia nc rdacarrier The McGraw-Hill/Irwin series in finance, insurance, and real estate : Financial management Includes index. Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s DE-604 Das, Sanjiv R. Verfasser (DE-588)130410004 aut Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020484187&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sundaram, Rangarajan K. Das, Sanjiv R. Derivatives principles and practice Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4381572-8 |
| title | Derivatives principles and practice |
| title_auth | Derivatives principles and practice |
| title_exact_search | Derivatives principles and practice |
| title_full | Derivatives principles and practice Rangarajan K. Sundaram ; Sanjiv R. Das |
| title_fullStr | Derivatives principles and practice Rangarajan K. Sundaram ; Sanjiv R. Das |
| title_full_unstemmed | Derivatives principles and practice Rangarajan K. Sundaram ; Sanjiv R. Das |
| title_short | Derivatives |
| title_sort | derivatives principles and practice |
| title_sub | principles and practice |
| topic | Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivative securities Derivat Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020484187&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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