Elementary financial derivatives: a guide to trading and valuation with applications
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken
Wiley
[2016]
|
| Subjects: | |
| Online Access: | Cover image Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | xix, 208 Seiten Diagramme |
| ISBN: | 9781119076759 9781119077138 9781119077312 |
Staff View
MARC
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| 245 | 1 | 0 | |a Elementary financial derivatives |b a guide to trading and valuation with applications |c by Jana Sacks, Ph.D. |
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
Preface xi
Acknowledgments xiii
Table of Figures xv
About the Companion Websites xlx
1 DERIVATIVE INSTRUMENTS: CONCEPTS
AND DEFINITIONS 1
1.1 Key Derivative Instruments Definitions. I
1.2 The Role. Risks, and Benefits of Derivatives Markets. 2
1.3 Arbitrage. 4
Case Study 1.3-1. 4
Problems. 5
1.4 Miscellaneous. 5
Problems. 7
2 FORWARDS AND FUTURES 9
2.1 Futures Fundamentals. 9
2.1.1 Futures Margin Account and Marking to Market, 17
Case Study 2.1.1-1, 19
vii
vifi
CONTENTS
Problems, 21
2.1.2 Futures Hedging, 21
Case Study 2.1.2-1, 23
Problems, 26
2.2 Forward Rate Agreements, 27
Case Study 2.2-1, 27
Case Study 2.2-2, 29
Case Study 2.2-3, 34
Case Study 2.2-4, 37
Problems, 38
2.3 Currency Forwards, 40
Case Study 2.3-1, 41
Case Study 2.3-2, 47
Problems, 53
3 SWAPS 55
3.1 Swaps Fundamentals, 55
3.1.1 Interest Rate Swap, 57
Case Study 3.1.1 -1, 58
Case study 3.1.1-2, 65
Case Study 3.1.1-3, 68
Problems, 69
3.2 Equity, Currency, and FX Swaps, 69
3.2.1 Equity Swaps, 69
Case Study 3.2.1-1, 72
Case Study 3.2.1 -2, 74
Case Study 3.2.1-3, 75
Case Study 3.2.1-4. 77
Case Study 3.2.1-5, 77
Problems, 78
3.2.2 Currency/FX Swap. 80
Case Study 3.2.2-1, 83
Case Study 3.2.2-2, 86
Problems, 89
3.3 Other Yield Curve-Dependent Swaps. 89
3.3.1 Basic Swap. 89
Case Study 3.3.1-1. 91
Case Study 3.3.1-2. 93
Problems. 95
CONTENTS
ix
3.3.2 Credit Default Swap, 96
Case Study 3.3.2-1, 105
Problems, 106
4 OPTIONS
4.1 Options Fundamentals, 107
4.1.1 Basic Information, 107
4.1.2 Options Trading Strategies, 115
Case Study 4.1.2-1, 121
Case Study 4.1.2-2, 123
Problems, 124
4.2 Pricing, 126
4.2.1 Binomial Tree Option Prieing Model. 126
Casestudy 4.2.1-1, 131
Case Study 4.2.1 -2, 134
Problems, 135
Case Study 4.2.1-3, 141
Case Study 4.2.1 -4, 145
Case Study 4.2.1-5, 149
Problems, 151
4.2.2 Black—Scholes Formula, 153
Case Study 4.2.2-1. 156
Case Study 4 2.2-2, 159
Case Study 4.2.2-3. 160
Case Study 4.2.2֊4, 164
Problems, 165
4.3 Greeks. 166
4.3.1 Delta, 166
Case Study 4.3-1, 168
Case Study 4.3-2. 169
4.3.2 Gamma, 170
4.3.3 Rho. 171
Case Study 4.3-3, 172
4.3.4 Vega, 173
Case Study 4.3-4. 174
4.3.5 Theta. 175
Case Study 4.3-5. 176
Problems. 177
107
X
CONTENTS
4.4 Volatility, 178
4.4.1 Delta Hedging, 178
Case Study 4.4.1-1, 180
4.4.2 Greek Neutrality, 182
4.4.3 Case Study 4.4.2-1, 182
Case Study 4A2-2, 184
Case Study 4.4.2-3, 186
Implied Volatility, 187
Case Study 4.4.3-1, 187
Problems, 188
4.5 Exotic: s. 189
4.5.1 Asian Options. 189
4.5.2 Barrier Option. 189
4.5.3 Basket Options, 190
4.5.4 Binary Options, 190
4.5.5 Chooser Options, 191
4.5.6 Forward Start Options, 192
4.5.7 Look-back Options, 192
Problems, 192
Literature
195
Index
199
|
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| spelling | Sacks, Jana Verfasser aut Elementary financial derivatives a guide to trading and valuation with applications by Jana Sacks, Ph.D. Hoboken Wiley [2016] xix, 208 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Derivat Wertpapier (DE-588)4381572-8 s DE-604 http://catalogimages.wiley.com/images/db/jimages/9781119076759.jpg Cover image Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028797005&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Elementary financial derivatives a guide to trading and valuation with applications |
| title_auth | Elementary financial derivatives a guide to trading and valuation with applications |
| title_exact_search | Elementary financial derivatives a guide to trading and valuation with applications |
| title_full | Elementary financial derivatives a guide to trading and valuation with applications by Jana Sacks, Ph.D. |
| title_fullStr | Elementary financial derivatives a guide to trading and valuation with applications by Jana Sacks, Ph.D. |
| title_full_unstemmed | Elementary financial derivatives a guide to trading and valuation with applications by Jana Sacks, Ph.D. |
| title_short | Elementary financial derivatives |
| title_sort | elementary financial derivatives a guide to trading and valuation with applications |
| title_sub | a guide to trading and valuation with applications |
| topic | Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivative securities Derivat Wertpapier Lehrbuch |
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