Book
xix, 406 p. : ill. ; 24 cm.
  • Background and development of the derivatives markets
  • Market fundamentals
  • Risk : a primer
  • Derivatives fundamentals
  • Basic option concepts
  • Interest rate derivatives : single settlement instruments
  • Interest rate derivatives : OTC multiple settlement instruments
  • Benchmarking in the OTC derivatives markets / Penny Davenport and Gavan Nolan
  • Currency derivatives
  • The impact of electronic trading on the FX market / Ray McKenzie
  • Credit derivatives
  • Central clearing and the OTC market / Bill Hodgson
  • Equity derivatives
  • Commodity derivatives
  • Carbon derivatives and environmental products / Emilie Mzzacurati
  • Regulation in the derivatives markets / Eric Salomons.
"The first port of call for anyone looking to truly understand derivatives markets, appreciate the role they play within the global financial system and develop the technical knowledge to trade." Matthew Thompson, Chief Strategy & Business Development Officer, Dubai Mercantile Exchange "An essential read for anyone serious about understanding the impact of derivatives and technology on the global financial market." Kevin Thorogood, Global Head, Investment Banking/Energy Trading, Thunderhead Ltd "We have used Francesca for training on derivatives in the past. She demonstrates a passion for these markets and for learning. In a fast changing world, the combination of technical learning and practical experience that Francesca applies is helpful in keeping abreast of market developments." Rachael Hoey, Director, Business Development, CLS YOUR ESSENTIAL COMPANION TO THE DERIVATIVES MARKETS Mastering Derivatives Markets provides full up-to-the-minute explanations -- with worked examples and screen shots -- covering the basics of options, swaps and futures across the key asset classes: rates, currency, equity, commodity and credit. This book is relevant to anyone working within the financial markets, from the new entrant to the seasoned trader looking for updates, and to non-trading personnel working in IT, legal, compliance, risk, credit and operations. Please note that the 'look inside' feature is currently displaying the content of Mastering Derivatives Markets Third Edition, this will be updated soon. Mastering Derivatives Markets Fourth Edition has been completely revised and features new chapters on: * The most up to date thinking in the market * OTC clearing * Regulation * Benchmarking * Electronic futures trading in the FX market * New insights into the commodities markets * Carbon trading and environmental products.
(source: Nielsen Book Data)9780273735670 20160606
Law Library (Crown)
Book
1 online resource (xviii, 406 p.) : ill.
  • Table of Contents 1. Background and development of the derivatives markets * Market background * Introduction * Key features * Uses of derivatives * Range of derivatives * Increasing use of the Central Counterparty Model (CCP) * Risk and benchmarking * Market volumes * Users and uses of derivatives * Straight Through Processing (STP) 2. Market fundamentals * Introduction * How banks generate income * Three key assumptions * Role and use of LIBOR * Day counts * Financial maths * Calculating forward rates * Marking to market * Yield curves *Quiz 3. Risk -- a Primer * Introduction * Finacial risks: markets, credit, liquidity * Operational risk * More esoteric risks 4. Derviatives Fundamentals * Range of derivatives * What is a vanilla trade? * Settlement * Triggers * Liquidity and credit risk * Understanding the 'underlying' * Benchmarks * Fair value * Dealing with derivatives 5. Basic option concepts * Introduction * Option pricing * Option mechanics 6. Interest rate derivatives -- single settlement instruments * Introduction * Single settlement interest rate derivatives * Financial futures contracts * Forward rate agreements (FRAs) * Interest rate options (IROs) *Quiz 7. Interest rate derivatives * Introduction * Interest rate caps and floors * Interest rate collars * Interest rate swaps *Quiz 8. Benchmarking in the OTC derivatives markets Penny Davenport, Manging Director, Markit Document Exchange and Gavan Nolan, Vice President, Credit Research, Markit Group * Financial benchmarking for derivatives * Liquidity benchmarking for derivatives * Operational risk measurements for derivatives * Conclusion 9. Currency derivatives * Introduction * Over the counter currency options * Currency options: reduced premium strategies * Simple exotic structures * Currency swaps * Exchange-traded instruments *Quiz 10. The impact of electronic trading on the FX Market Ray McKenzie, Vice President, ICE * The early years * FX as part of a commodity portfolio * First electronic dealing platforms * Electronic market making * Phases I and II * Point and click vs algo traders * The impact of the credit crisis on banks' FX trading * Phase III 11. Credit derivatives * Introduction * What is credit risk? * Styles of trading * The first deals * Range of credit derivatives * Credit default swaps 12. Central clearing and the OTC market Bill Hodgson, Founder and CEO, The OTC Space Ltd * The basics * Trade execution * Risks and mitigation * Getting trades into clearing * The business case and benefits * Predictions for market development * Terminology 13. Equity derivatives * Introduction * Background * Single stocks or equity indices? * Stock index futures * Stock index options * Single stock options * Equity index swaps 14. Commodity derivatives * Introduction * Exchange-traded energy derivatives * Exchange-traded futures contracts * Exchange-traded energy option contracts * OTC or 'off-exchange' energy derivatives * OTC option products * OTC oil swaps 15. Carbon derivatives and environmental products Emilie Mazzacurati, Point Carbon, a Thomson Reuters company * What are carbon markets? * Volumes and value * Overview of regulation * Carbon instruments * What drives carbon prices? * Trading carbon: in practice * Conclusion 16. Regulation in the derivatives markets Eric Salomons, Associate Director, Dubai Financial Services Authority (DFSA) * Why regulate the derivatives market? * Who regulates the derivatives market? * Regulatory models and objectives * Supervisory aims -- equal access to markets * Market integrity * Market abuse and manipulation * The role of market surveillance * Efficient markets * Continuing regulatory challenges Glossary Answers to Quizzes Index.
  • (source: Nielsen Book Data)9780273735670 20160606
"The first port of call for anyone looking to truly understand derivatives markets, appreciate the role they play within the global financial system and develop the technical knowledge to trade." Matthew Thompson, Chief Strategy & Business Development Officer, Dubai Mercantile Exchange "An essential read for anyone serious about understanding the impact of derivatives and technology on the global financial market." Kevin Thorogood, Global Head, Investment Banking/Energy Trading, Thunderhead Ltd "We have used Francesca for training on derivatives in the past. She demonstrates a passion for these markets and for learning. In a fast changing world, the combination of technical learning and practical experience that Francesca applies is helpful in keeping abreast of market developments." Rachael Hoey, Director, Business Development, CLS YOUR ESSENTIAL COMPANION TO THE DERIVATIVES MARKETS Mastering Derivatives Markets provides full up-to-the-minute explanations -- with worked examples and screen shots -- covering the basics of options, swaps and futures across the key asset classes: rates, currency, equity, commodity and credit. This book is relevant to anyone working within the financial markets, from the new entrant to the seasoned trader looking for updates, and to non-trading personnel working in IT, legal, compliance, risk, credit and operations. Please note that the 'look inside' feature is currently displaying the content of Mastering Derivatives Markets Third Edition, this will be updated soon. Mastering Derivatives Markets Fourth Edition has been completely revised and features new chapters on: * The most up to date thinking in the market * OTC clearing * Regulation * Benchmarking * Electronic futures trading in the FX market * New insights into the commodities markets * Carbon trading and environmental products.
(source: Nielsen Book Data)9780273735670 20160606
Book
xxix, 508 p. : ill. ; 24 cm.
Law Library (Crown)
Book
xvi, 238 p. : ill., charts ; 28 cm.
Law Library (Crown)
Book
ii, 106 p. : ill. ; 28 cm.
  • [1] What is a derivative financial instrument?
  • [2] Uses and benefits of derivatives
  • [3] Derivatives risk and control processes
  • [4] Markets, participants and other interested parties
  • [5] Accounting for derivatives
  • [6] Financial reporting issues
  • [7] Taxation of derivatives
  • [8] Conclusion
  • [9] Glossary.
Law Library (Crown)
Book
xxxv, 665 pages : illustrations (chiefly color) ; 26 cm
  • Introduction Part 1 Forward Contracts and Futures Contracts 1. Spot, Forward and Futures Contracting 2. Hedging with Forward Contracts 3. Valuation of Forward Contracts on Underlyings without a Dividend Yield 4. Forward Contracts on Underlyings with a Dividend Yield and Currency Forwards 5. Futures Contracts: Market Organization 6. Hedging, Basis Risk, Spreading and Spread Basis Risk 7. Financial Futures Contracts, their Underlying Instruments, Hedging and Speculating Part 2 Trading Structures Based on Forward Contracts 8. OTC Markets and Swaps Part 3 Options 9. Introduction to Options Markets 10. Rational Option Pricing : Put-Call Parity and Static Replication 11. Option Strategies: Hedging and Speculating 12. Option Pricing in Discrete Time Part I: Static Hedging and the Single- Period Binomial Option Pricing Model 13. Risk-Neutral Valuation and the Binomial Option Pricing Model 14. Option Pricing in Discrete Time Part II: Dynamic Hedging and the Multi-Period Binomial Option Pricing Model 15. Equivalent Martingale Measures: The Modern Approach to Option Pricing 16. Option Pricing in Continuous Time: from Bachelier to Black-Scholes and Beyond. 17. Risk Neutral Valuation, EMMs, The BOPM. and Black Scholes.
  • (source: Nielsen Book Data)9780415599016 20160704
Derivatives Markets is a thorough and well-presented textbook that offers readers an introduction to derivatives instruments, with a gentle introduction to mathematical finance, and provides a working knowledge of derivatives to a wide area of market participants. This new and accessible book provides a lucid, down-to-earth, theoretically rigorous but applied introduction to derivatives. Many insights have been discovered since the seminal work in the 1970s and the text provides a bridge to and incorporates them. It develops the skill sets needed to both understand and to intelligently use derivatives. These skill sets are developed in part by using concept checks that test the reader's understanding of the material as it is presented. The text discusses some fairly sophisticated topics not usually discussed in introductory derivatives texts. For example, real-world electronic market trading platforms such as CME's Globex. On the theory side, a much needed and detailed discussion of what risk-neutral valuation really means in the context of the dynamics of the hedge portfolio. The text is a balanced, logical presentation of the major derivatives classes including forward and futures contracts in Part I, swaps in Part II, and options in Part III. The material is unified by providing a modern conceptual framework and exploiting the no-arbitrage relationships between the different derivatives classes. Some of the elements explained in detail in the text are: * Hedging, Basis Risk, Spreading, and Spread Basis Risk * Financial Futures Contracts, their Underlying Instruments, Hedging and Speculating * OTC Markets and Swaps * Option Strategies: Hedging and Speculating * Risk-Neutral Valuation and the Binomial Option Pricing Model * Equivalent Martingale Measures: The Modern Approach to Option Pricing * Option Pricing in Continuous Time: from Bachelier to Black-Scholes and Beyond. Professor Goldenberg's clear and concise explanations and end-of-chapter problems, guide the reader through the derivatives markets, developing the reader's skill sets needed in order to incorporate and manage derivatives in a corporate or risk management setting. This textbook is for students, both undergraduate and postgraduate, as well as for those with an interest in how and why these markets work and thrive.
(source: Nielsen Book Data)9780415599016 20160704
Green Library
Book
xv, 255 pages : illustrations ; 24 cm
  • 1. Introduction-- 2. Definition and typology-- 3. The economic functions of derivatives markets-- 4. Market completion-- 5. Derivatives and price stabilization-- 6. Derivatives and price destabilization-- 7. The effects of derivatives on prices of the underlying: a synthesis-- 8. Causes of the rapid growth in derivatives trading: a historical perspective-- 9. The role of derivatives in the global financial crisis of 2008-- 10. Models and their effects on markets-- 11. Derivatives and emerging markets-- 12. Derivatives and emerging markets-- 13. Regulation of derivatives-- 14. Derivatives and development: a critique-- 15. Regulatory policy for derivatives: a pragmatic approach.
  • (source: Nielsen Book Data)9781107091504 20160618
While most books on derivatives discuss how they work, this book looks at the contributions of derivatives to overall economic well-being. It examines both the beneficial and adverse effects of derivatives trading from the perspectives of economic theory, empirical evidence and recent economic history. Aiming to present the concepts in a fair, non-ideological, non-mathematical and simple manner, and with the authors' own synthesis, it draws on economic insights from relevant work in other disciplines, particularly sociology and law. The book also presents some new theoretical ideas and recommendations towards a pragmatic and practical approach for policy-makers. The ultimate objective is to provide a basic conceptual framework which will help its readers form a judgement on whether, when and how derivatives are beneficial or harmful to the economy.
(source: Nielsen Book Data)9781107091504 20160618
Science Library (Li and Ma)
Book
xv, 152 pages : illustrations ; 24 cm.
  • Foreword xi Preface xiii Acknowledgments xv CHAPTER 1 Exotic Derivatives 1 1-1 Single-Asset Exotics 1 1-2 Multi-Asset Exotics 4 1-3 Structured Products 9 References 11 Problems 11 CHAPTER 2 The Implied Volatility Surface 15 2-1 The Implied Volatility Smile and Its Consequences 15 2-2 Interpolation and Extrapolation 20 2-3 Implied Volatility Surface Properties 22 2-4 Implied Volatility Surface Models 22 References 29 Problems 30 CHAPTER 3 Implied Distributions 33 3-1 Butterfly Spreads and the Implied Distribution 33 3-2 European Payoff Pricing and Replication 36 3-3 Pricing Methods for European Payoffs 39 3-4 Greeks 41 References 42 Problems 42 CHAPTER 4 Local Volatility and Beyond 45 4-1 Local Volatility Trees 45 4-2 Local Volatility in Continuous Time 46 4-3 Calculating Local Volatilities 48 4-4 Stochastic Volatility 50 References 55 Problems 55 CHAPTER 5 Volatility Derivatives 59 5-1 Volatility Trading 59 5-2 Variance Swaps 61 5-3 Realized Volatility Derivatives 65 5-4 Implied Volatility Derivatives 67 References 70 Problems 70 CHAPTER 6 Introducing Correlation 73 6-1 Measuring Correlation 73 6-2 Correlation Matrices 75 6-3 Correlation Average 77 6-4 Black-Scholes with Constant Correlation 82 6-5 Local Volatility with Constant Correlation 84 References 84 Problems 85 CHAPTER 7 Correlation Trading 87 7-1 Dispersion Trading 87 7-2 Correlation Swaps 91 Problems 93 CHAPTER 8 Local Correlation 95 8-1 The Implied Correlation Smile and Its Consequences 95 8-2 Local Volatility with Local Correlation 97 8-3 Dynamic Local Correlation Models 99 8-4 Limitations 99 References 100 Problems 100 CHAPTER 9 Stochastic Correlation 103 9-1 Stochastic Single Correlation 103 9-2 Stochastic Average Correlation 104 9-3 Stochastic Correlation Matrix 108 References 111 Problems 111 Appendix A Probability Review 115 A-1 Standard Probability Theory 115 A-2 Random Variables, Distribution, and Independence 116 A-3 Conditioning 117 A-4 Random Processes and Stochastic Calculus 118 Appendix B Linear Algebra Review 119 B-1 Euclidean Spaces 119 B-2 Square Matrix Decompositions 120 Solutions Manual 123 Author s Note 143 About the Author 145 Index 147.
  • (source: Nielsen Book Data)9781118750964 20160616
In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.
(source: Nielsen Book Data)9781118750964 20160616
Science Library (Li and Ma)
Book
xxviii, 948 p. : ill. ; 27 cm. + 1 CD-ROM (4 3/4 in.).
  • Preface Chapter 1 Introduction to Derivatives PART ONE INSURANCE, HEDGING, AND SIMPLE STRATEGIES Chapter 2 An Introduction to Forwards and Options Chapter 3 Insurance, Collars, and Other Strategies Chapter 4 Introduction to Risk Management PART TWO FORWARDS, FUTURES, AND SWAPS Chapter 5 Financial Forwards and Futures Chapter 6 Commodity Forwards and Futures Chapter 7 Interest Rate Forwards and Futures Chapter 8 Swaps PART THREE OPTIONS Chapter 9 Parity and Other Option Relationships Chapter 10 Binomial Option Pricing: Basic Concepts Chapter 11 Binomial Option Pricing: Selected Topics Chapter 12 The Black-Scholes Formula Chapter 13 Market-Making and Delta-Hedging Chapter 14 Exotic Options: I PART FOUR FINANCIAL ENGINEERING AND APPLICATIONS Chapter 15 Financial Engineering and Security Design Chapter 16 Corporate Applications Chapter 17 Real Options PART FIVE ADVANCED PRICING THEORY AND APPLICATIONS Chapter 18 The Lognormal Distribution Chapter 19 Monte Carlo Valuation Chapter 20 Brownian Motion and Ito's Lemma Chapter 21 The Black-Scholes-Merton Equation Chapter 22 Risk-Neutral and Martingale Pricing Chapter 23 Exotic Options: II Chapter 24 Volatility Chapter 25 Interest Rate and Bond Derivatives Chapter 26 Value at Risk Chapter 27 Credit Risk Appendixes App. A The Greek Alphabet App. B Continuous Compounding App. C Jensen's Inequality App. D An Introduction to Visual Basic for Applications Glossary References Index.
  • (source: Nielsen Book Data)9780321543080 20160610
To be financially literate in today, s market, one must have a solid understanding of derivatives concepts and instruments and the uses of those instruments in corporations. The Third Edition has an accessible mathematical presentation, and more importantly, helps readers gain intuition by linking theories and concepts together with an engaging narrative that emphasizes the core economic principles underlying the pricing and uses of derivatives.
(source: Nielsen Book Data)9780321543080 20160610
Science Library (Li and Ma)
Book
xviii, 355 p. : ill. ; 24 cm.
  • Introduction to Structured Products-- Introduction to Swap Finance-- Pricing Equity Options-- Equity Structured Products-- Basket Equity Products, Pricing Interest Rate Products-- Interest Rate Products-- Pricing Credit Derivatives-- Structured Credit Products-- Fund Options and Hybrids.
  • (source: Nielsen Book Data)9781848167117 20160605
Structured products are sold to a wide range of retail, high net worth and institutional investors, with over GBP15bn of structured investments sold in the UK in 2009. Based on a non-specialist graduate lecture course given at University College London (UCL), this book provides an invaluable introduction to the fast growing world of derivative investments and the technology used in their design, pricing and structuring. The book gives a comprehensive overview of structuring and trading products based on the author's extensive international experience in structuring investment products across a range of underlying asset classes, including equities, interest rates, credit and hybrids. The product coverage ranges from equity investments such as reverse convertibles and basket correlation products, to credit products such as first-to-default notes and the notorious CDO2A. Written in a simple and accessible manner, this book will be of interest to students, bankers, investors and other finance professionals.
(source: Nielsen Book Data)9781848167117 20160605
Green Library
Book
1 online resource (xvii, 268 p.) : ill.
  • Acknowledgements. 1. The Origins and Growth of the Market. Definitions. Derivatives Building Blocks. Market Participants. Supporting Organizations. Early Origins of Derivatives. Derivatives in the USA. Overseas Developments, Innovation and Expansion. An Example of Recent Innovation: Weather Derivatives. Temperature-Linked Derivatives. The Wild Beast of Finance? Lessons from Recent History. Creative Destruction and Contagion Effects. The Modern OTC Derivatives Market. The Exchange-Traded Derivatives Market. Chapter Summary. 2. Equity and Currency Forwards. Introduction. Equity Forward Contract. The Forward Price. The Forward Price and Arbitrage Opportunities. The Forward Price and the Expected Payout. Foreign Exchange Forwards. Managing Currency Risk. Hedging with an Outright Forward FX Deal. The Forward Foreign Exchange Rate. The Forward FX Rate and Arbitrage Opportunities. Forward Points. FX Swaps. Applications of FX Swaps. Chapter Summary. 3. Forward Rate Agreements. Introduction. FRA Case Study: Corporate Borrower. Results of the FRA Hedge. The FRA as Two Payment Legs. Dealing in FRAs. Forward Interest Rates. Chapter Summary. 4. Commodity and Bond Futures. Introduction. The Margining System and the Clearing House. Users of Futures Contracts. Commodity Futures. Futures Prices and the Basis. US Treasury Bond Futures. US Treasury Bond Futures: Delivery Procedures. Gilt and Euro-Bund Futures. The Cheapest-to-Deliver (CTD) Bond. Chapter Summary. 5. Interest Rate and Equity Futures. Introduction. Eurodollar Futures. Trading Eurodollar Futures. Hedging with Interest Rate Futures. Interest Rate Futures Prices. Equity Index Futures. Applications of S&P 500 Index Futures. FT-SE 100 Index Futures Contracts. Establishing Net Profits and Losses. Single Stock Futures (SSFs). Chapter Summary. 6. Interest Rate Swaps. Introduction. Interest Rate Swap Structure. Basic Single-Currency Interest Rate Swap. The Swap as a Package of Spot and Forward Deals. Rationale for the Swap Deal. Swap Terminology and Swap Spreads. Typical Swap Applications. Interest Rate Swap Variants. Cross-Currency Interest Rate Swaps. Net Borrowing Costs using a Cross-Currency Swap. Inflation Swaps. Chapter Summary. 7. Equity and Credit Default Swaps. Introduction to Equity Swaps. Equity Swap Case Study. Other Applications of Equity Swaps. Equity Index Swaps. Hedging an Equity Index Swap. Credit Default Swaps. Credit Default Swap: Basic Structure. Credit Default Swap Applications. Credit Spreads. The CDS Premium and the Credit Spread. Pricing Models for CDS Premium. Index Credit Default Swaps. Basket Credit Default Swaps. Chapter Summary. 8. Fundamentals of Options. Introduction. Definitions. Types of Options. Basic Option Trading Strategies. Long Call: Expiry Payoff Profile. Short Call: Expiry Payoff Profile. Long Put: Expiry Payoff Profile. Short Put: Expiry Payoff Profile. Summary: Intrinsic and Time Value. 9. Hedging with Options. Chapter Overview. Futures Hedge Revisited. Protective Put. Hedging with ATM Put Option. Covered Call Writing. Equity Collar. Zero-Cost Equity Collar. Protective Put with a Barrier Option. Behaviour of Barrier Options. Chapter Summary. 10 Exchange-Traded Equity Options. Introduction. Basic Concepts. CBOE Stock Options. UK Stock Options on NYSE Liffe. CME S&P 500 Index Options. FT-SE 100 Index Options. Chapter Summary. 11. Currency or FX Options. Introduction. Users of Currency Options. Hedging FX Exposures with Options: Case Study. Graph Of Hedged And Unhedged Positions. Hedging with a Zero-Cost Collar. Reducing Premium on FX Hedges. Compound Options. Exchange-Traded Currency Options. Chapter Summary. 12. Interest Rate Options. Introduction. OTC Interest Rate Options. OTC Interest Rate Option Case Study. Hedging a Loan with a Caplet. Interest Rate Cap. Interest Rate Collar. Interest Rate Swap and Swaption. Summary of Interest Rate Hedging Strategies. Eurodollar Options. Euro and Sterling Interest Rate Options. Bond Options. Exchange-Traded Bond Options. Chapter Summary. 13. Option Valuation Concepts (1). Introduction. The Concept of a Riskless Hedge. A Simple Option Pricing Model. Option Fair Value. Extending the Binomial Model. Cost of Dynamic Hedging. The Black-Scholes Option Pricing Model. Historical Volatility. Measuring and Using Volatility. Chapter Summary. 14. Option Valuation Concepts (2). Introduction. Problems with Historical Volatility. Implied Volatility. Black-Scholes Model Assumptions. Value of a Call Option. Value of a Put Option. Equity Index and Currency Options. Pricing Interest Rate Options. Chapter Summary. 15. Option Sensitivities: The 'Greeks'. Introduction. Delta (DELTA or delta). Delta Behaviour. Delta as the Hedge Ratio. The Effects of Changes in Delta. Readjusting the Delta Hedge. Gamma (GAMMA or gamma). Gamma and the Spot Price of the Underlying. Gamma and Time to Expiry. Theta (theta). Vega or Kappa (kappa). Rho (rho). Summary of Greeks. Chapter Summary. 16. Option Trading Strategies (1). Introduction. Bull Spread. Bull Position with Digital Options. Spot Price and CON Value. Bear Spread. The Greeks for the Bear Spread. Put or Bear Ratio Spread. Long Straddle. Long Straddle Current Payoff Profile. Potential Risks with a Long Straddle. Chapter Summary. 17. Option Trading Strategies (2). Introduction. Chooser Option. Short Straddle. Short Straddle Current Payoff Profile. Potential Profits with a Short Straddle. Managing the Risk on a Short Straddle. Short Strangle. New Ways of Trading Volatility. Calendar or Time Spread. Chapter Summary. 18. Convertible and Exchangeable Bonds. Introduction. Investors in Convertible Bonds. Issuers of Convertible Bonds. CB Measures of Value. Conversion Premium and Parity. Other Factors Affecting CB Values. Convertible Arbitrage. Convertible Arbitrage Example. Profits and Risks with the CB Arbitrage Trade. Mandatorily Convertibles and Exchangeables. Structuring a Mandatorily Exchangeable (ME) Bond. Chapter Summary. 19. Structured Securities. Introduction. Capital Protection Equity-Linked Notes. Expiry Value of 100% Capital Protection Notes. 100% Participation Equity-Linked Notes. Capped Participation Equity-Linked Notes. Average Price Notes. Locking in Interim Gains: Cliquet Options. Securitization and CDOs. The Basic CDO Structure. Rationale for Securitization. Synthetic CDOs. Chapter Summary. 20. Clearing, Settlement and Operational Risk. Introduction. Risk Management in General. Settlement of Exchange-Traded Derivatives. Major Clearing Houses. Confirmation and Settlement of OTC Deals. Controlling Counterparty Risk on OTC Derivatives. Operational Risk. Best Practice in Operational Risk Management. Chapter Summary. Appendix A: Financial Calculations. Appendix B: Exotic Options. Appendix C: Glossary of Terms. Index.
  • (source: Nielsen Book Data)9780470749371 20160614
Derivatives are everywhere in the modern world and it is important for everyone in banking, investment and finance to have a good understanding of the subject. Derivatives Demystified provides a step-by-step guide to the subject, enabling the reader to have a solid, working understanding of key derivative products. Adopting a highly accessible approach, the author explains derivative products in straightforward terms and without the complex mathematics that underlie the subject, focusing on practical applications, case studies and examples of how the products are used to solve real-world problems. Derivatives Demystified follows a sequence that is designed to show that, although there are many applications of derivatives, there are only a small number of basic building blocks, namely forwards and futures, swaps and options. The book shows how each building block is applied to different markets and to the solution of various risk management and trading problems. This new edition will be fully revised to reflect the many changes the derivatives markets have seen over the last three years. New material will include a comprehensive history of derivatives, leading up to their use and abuse in the current credit crisis. It will also feature new chapters on regulation and control of derivatives, commodity derivatives, credit derivatives and structured products and new derivative markets including inflation linked and insurance linked products. Derivatives Demystified is essential reading for everyone who operates in the financial markets or within the corporate environment who requires a good understanding of these important financial instruments.
(source: Nielsen Book Data)9780470749371 20160614
Book
xviii, 359 p. : ill. ; 22 cm
  • Prologue Introduction to the paperback edition 1. Financial WMDs - derivatives demagoguery 2. Beautiful Lies - the 'sell' side 3. True Lies - the 'buy' side 4. Show Me The Money - greed lost and regained 5. The Perfect Storm - risk mismanagement by the numbers 6. Super Models - derivatives algorithms 7. Games Without Frontiers - the inverse world of structured products 8. Share and Share Alike - derivative inequity 9. Credit Where Credit Is Due - fun with CDS and CDO Afterword Credit Crunch The New Known Known of Financial Markets.
  • (source: Nielsen Book Data)9780273731962 20160612
Traders Guns and Money is a wickedly comic expose of the culture, games and pure deceptions played out every day in trading rooms around the world. And played out with other people's money. A sensational insider's view of the business of trading and marketing derivatives, this revised edition explains the frighteningly central role that derivatives and financial products played in the global financial crisis. This worldwide bestseller reveals the truth about derivatives: those financial tools memorably described by Warren Buffett as 'financial weapons of mass destruction'. Traders, Guns and Money will introduce you to the players and the practices and reveals how the real money is made and lost. The global financial crisis took almost everyone by surprise and even now new problems keep appearing and solutions continue to be elusive. In the original version of Traders, Guns and Money, Satyajit Das provided a highly prescient insight into the structure and risk of the world financial system exposing the problems that are becoming readily apparent. In a 2006 speech The Coming Credit Crash Das argued that: "an informed analysis shows that risk is not better spread but more leveraged and (arguably) more concentrated . This does not improve the overall stability and security of the financial system but exposes it to increased risk of a "crash".
(source: Nielsen Book Data)9780273731962 20160612
Business Library
Book
xx, 205 p. : ill. ; 25 cm.
  • Preface-- The macroeconomics of derivatives: the issue of measurement and accounting-- The monetary analysis of derivatives: global stability-- Derivatives and fiscal policy: risks and hazard-- The theory of investment and derivatives: the frontier of economic analysis-- Summary: challenges in governing global derivatives-- References-- Index.
  • (source: Nielsen Book Data)9780754674641 20160528
"Governing Global Derivatives" analyses the role of the most important financial innovation of the last two decades in a global dimension. The evolution of derivatives, especially Over the Counter (OTC), and the possibility of managing risks tailored to customers' needs, are the basic recipe of ingredients for the success of derivatives. This book focuses on the role of derivatives from a macroeconomic point of view, considering how monetary theory and policy, fiscal policy and the growth process are affected. It fills a gap by rethinking the way financial markets are considered in the macroeconomy and the transmission mechanism of impulses.
(source: Nielsen Book Data)9780754674641 20160528
Green Library
Book
xx, 205 p. : ill. ; 25 cm.
  • Preface-- The macroeconomics of derivatives: the issue of measurement and accounting-- The monetary analysis of derivatives: global stability-- Derivatives and fiscal policy: risks and hazard-- The theory of investment and derivatives: the frontier of economic analysis-- Summary: challenges in governing global derivatives-- References-- Index.
  • (source: Nielsen Book Data)9780754674641 20160528
"Governing Global Derivatives" analyses the role of the most important financial innovation of the last two decades in a global dimension. The evolution of derivatives, especially Over the Counter (OTC), and the possibility of managing risks tailored to customers' needs, are the basic recipe of ingredients for the success of derivatives. This book focuses on the role of derivatives from a macroeconomic point of view, considering how monetary theory and policy, fiscal policy and the growth process are affected. It fills a gap by rethinking the way financial markets are considered in the macroeconomy and the transmission mechanism of impulses.
(source: Nielsen Book Data)9780754674641 20160528
Law Library (Crown)
Book
xiv, 253 p. : ill. ; 23 cm.
  • Derivatives in a nutshell
  • The forward contract
  • The futures contract
  • The swap contract
  • The option contract
  • Credit contracts
  • Using derivatives to manage risk
  • Pricing forwards and futures
  • Pricing swaps
  • Pricing options
  • Hedging a derivatives position
  • Postscript: Good things and bad things.
This is the answer to trading profit growth lies in derivatives. "All About Derivatives" explains the major derivatives and their key features of each vital mechanical issues such as storage, settlement, valuation, and payoff; and common types of risk and how to effectively hedge against them. Michael Durbin is known as a derivatives trader and manager for one of the world's largest, most high-profile hedge funds.
(source: Nielsen Book Data)9780071451475 20160605
Law Library (Crown)

16. Derivatives markets [2006]

Book
xxix, 964 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.)
  • Chapter 1 Introduction to Derivatives Part I Insurance, Hedging, and Simple Strategies Chapter 2 An Introduction to Forwards and Options Chapter 3 Insurance, Collars, and Other Strategies Chapter 4 Introduction to Risk Management Part II Forwards, Futures, and Swaps Chapter 5 Financial Forwards and Futures Chapter 6 Commodity Forwards and Futures Chapter 7 Interest Rates Forwards and Futures Chapter 8 Swaps Part III Options Chapter 9 Parity and Other Option Relationships Chapter 10 Binomial Option Pricing: I Chapter 11 Binomial Option Pricing: II Chapter 12 The Black-Scholes Formula Chapter 13 Market-Making and Delta-Hedging Chapter 14 Exotic Options: I Part IV Financial Engineering and Applications Chapter 15 Financial Engineering and Security Design Chapter 16 Corporate Applications Chapter 17 Real Options Part V Advanced Pricing Theory Chapter 18 The Lognormal Distribution Chapter 19 Monte Carlo Valuation Chapter 20 Brownian Motion and Ito's Lemma Chapter 21 The Black-Scholes Equation Chapter 22 Exotic Options: II Chapter 23 Interest Rate Models Chapter 24 Risk Assessment Chapter 25 Credit Risk Chapter 26 Volatility.
  • (source: Nielsen Book Data)9780321311498 20160605
To be financially literate in today, s market, business students must have a solid understanding of derivatives concepts and instruments and the uses of those instruments in corporations. The Second Edition has an accessible mathematical presentation, and more importantly, helps students gain intuition by linking theories and concepts together with an engaging narrative that emphasizes the core economic principles underlying the pricing and uses of derivatives.
(source: Nielsen Book Data)9780321311498 20160605
Law Library (Crown)
Book
1 online resource (xv, 233 p.) : ill.
  • Preface. 1. The Market Background. Derivatives building blocks. Market participants. Origins and development of derivatives. The modern OTC derivatives market. Exchange-traded futures and options. Chapter summary. 2. Equity and Currency Forwards. Introduction. The forward price. Components of the forward price. Forward price and expected payout. Foreign exchange forwards. Managing currency risk. Hedging with FX forwards. The forward FX rate. Forward points. FX swaps. Applications of FX swaps. Chapter summary. 3. Forward Rate Agreements. Introduction. FRA application: corporate borrower. Results of the FRA hedge. FRA payment dates and settlement. The FRA as two payment legs. Dealing in FRAs. Forward interest rates. Chapter summary. 4. Commodity and Bond Futures. Introduction. Commodity futures. Futures prices and the basis. Bond futures. Gilt and Euro bund futures. The cheapest-to-deliver. Chapter summary. 5. Interest Rate and Equity Futures. Introduction. Interest rate futures. Trading interest rate futures. Hedging with interest rate futures. Interest rate futures prices. Equity index futures. The margining system. Single stock futures. Chapter summary. 6. Interest Rate Swaps. Introduction. Sterling interest rate swap. Hedging with interest rate swaps. Dollar interest rate swap. Summary of IRS applications. Swap rates and credit risk. Cross-currency swaps. Gains from cross-currency swap. Chapter summary. 7. Equity and Credit Default Swaps. Equity swaps. Monetizing corporate cross-holdings. Other applications of equity swaps. Equity index swaps. Hedging equity swaps. Credit default swaps. Credit default swap premium. Chapter summary. 8. Fundamentals of Options. Introduction. Call option: intrinsic and time value. Long call expiry payoff. Short call expiry payoff. Put option: intrinsic and time value. Long put expiry payoff. Short put expiry payoff. Chapter summary. 9. Hedging with Options. Introduction. Forward hedge revisited. Protective put. Payoff profile of protective put. Changing the put strike. Equity collar. Zero-cost equity collar. Collars and forwards. Protective put with barrier option. Covered call writing (buy-write). Chapter summary. 10. Exchange-Traded Equity Options. Introduction. UK stock options on LIFFE. Stock options: call expiry payoff. US-listed stock options. CME options on S&P 500 R- index futures. FT-SE 100 index options. Expiry payoff of FT-SE 100 call. Exercising FT-SE 100 index options. Chapter summary. 11. Currency Options. Introduction. Currency options and forwards. Results from the option hedge. Zero-cost collar. Reducing premium on FX hedges. Compound options. Exchange-traded currency options. Hedging with exchange-traded options. FX covered call writing. Chapter summary. 12. Interest Rate Options. Introduction. OTC interest rate options. Hedging with interest rate calls. Caps, floors and collars. Swaptions. Eurodollar options. Euro and sterling interest rate options. Bond options. Exchange-traded bond options. Bund and gilt bond options. Chapter summary. 13. Option Valuation Concepts. Introduction. The concept of expected payout. Inputs to the Black-Scholes model. Historical volatility. Implied volatility. Share price simulations. Value of a call and put option. Pricing currency options. Pricing interest rate options. Chapter summary. 14. Option Sensitivities: The 'Greeks'. Introduction. Delta. Gamma. Delta, gamma and expiry. Theta. Vega. Rho. Signs of the 'Greeks'. Chapter summary. 15. Managing Trading Risks on Options. Introduction. Delta risk on a short call. Delta hedging and gamma. Profit from a short call position. Chasing the delta. Practical constraints on hedging. Chapter summary. 16. Option Trading Strategies. Introduction. Bull spread. Bull position with digital options. Bear spread. Put or bear ratio spread. Long straddle. Chooser option. Short straddle. Managing the gamma risk. Calendar or time spread. Chapter summary. 17. Convertible and Exchangeable Bonds. Introduction. Investors in convertible bonds. Issuers of convertible bonds. CB measures of value. Conversion premium and parity. Other factors affecting CB value. Participation rates. Mandatorily convertibles and exchangeables. Structuring a mandatorily exchangeable. Chapter summary. 18. Structured Securities: Examples. Introduction. Capital protection equity-linked notes. Expiry value of 100% capital protection notes. 100% participation notes. Capped participation notes. Average price notes. Locking in interim gains: cliquet options. Securitization. Synthetic securitization. Chapter summary. Appendix A: Financial Calculations. Appendix B: Glossary of Terms. Appendix C: Further Information. Index.
  • (source: Nielsen Book Data)9780470093825 20160605
The book is a step-by-step guide to derivative products. By distilling the complex mathematics and theory that underlie the subject, Chisholm explains derivative products in straightforward terms, focusing on applications and intuitive explanations wherever possible. Case studies and examples of how the products are used to solve real-world problems, as well as an extensive glossary and material on the latest derivative products make this book a must have for anyone working with derivative products.
(source: Nielsen Book Data)9780470093825 20160605

18. Derivatives markets [2003]

Book
xxvi, 881 p. : ill ; 24 cm. + 1 CD-ROM (4 3/4 in.)
  • Ch. 1. Introduction to Derivatives
  • Pt. 1. Insurance, Hedging, and Simple Strategies
  • Ch. 2. An Introduction to Forwards and Options
  • Ch. 3. Insurance, Collars, and Other Strategies
  • Ch. 4. Introduction to Risk Management
  • Pt. 2. Forwards, Futures, and Swaps
  • Ch. 5. Financial Forwards and Futures
  • Ch. 6. Commodity Forwards and Futures
  • Ch. 7. Interest Rate Forwards and Futures
  • Ch. 8. Swaps
  • Pt. 3. Options
  • Ch. 9. Parity and Other Option Relationships
  • Ch. 10. Binomial Option Pricing: I
  • Ch. 11. Binomial Option Pricing: II
  • Ch. 12. The Black-Scholes Formula
  • Ch. 13. Market-Making and Delta-Hedging
  • Ch. 14. Exotic Options: I
  • Pt. 4. Financial Engineering and Applications
  • Ch. 15. Financial Engineering and Security Design
  • Ch. 16. Corporate Applications
  • Ch. 17. Real Options
  • Pt. 5. Advanced Pricing Theory
  • Ch. 18. The Lognormal Distribution
  • Ch. 19. Monte Carlo Valuation
  • Ch. 20. Brownian Motion and Ito's Lemma
  • Ch. 21. The Black-Scholes Equation
  • Ch. 22. Exotic Options: II
  • Ch. 23. Interest Rate Models
  • Ch. 24. Risk Assessment
  • App. A. The Greek Alphabet
  • App. B. Continuous Compounding
  • App. C. Jensen's Inequality
  • App. D. An Introduction to VBA
  • App. E. Option Functions Available in Excel.
Accompanying CD-ROM ... "contains Excel Spreadsheets with Option Pricing Functions."
Business Library
Book
xx, 684 p. : ill. ; 24 cm.
  • Introduction to derivatives-- simple arbitrage relationships for forward and futures contracts-- simple arbitrage relationships for options-- asset price dynamics-- the binomial pricing model-- martingale pricing-- American options-- the.
  • (source: Nielsen Book Data)9780538877404 20160528
This text offers advanced undergraduates, MBA students and executives the theory and the practical tools needed to price and hedge derivatives in the professional marketplace. The author makes the theory and practice of pricing and hedging derivative securities accessible to mainstream students in a comprehensive manner.
(source: Nielsen Book Data)9780538877404 20160528
SAL3 (off-campus storage)
Book
xx, 308 p. : ill. ; 25 cm.
  • Preface to the Revised Paperback Edition-- Introduction-- Part I A Look Back-- 1 Evolution of Finance-- Venice, April 1470-- 1 The functions of finance-- 2 The first step towards managing financial risk: diversification and collateral-- 3 The second step towards managing financial risk: limited liability, bankruptcy laws, seniority rules, balance-sheet structure-- 4 The third step towards managing financial risk: creating tradable instruments and liquidity in organised markets-- 5 The final step towards managing financial risk: derivatives and financial engineering-- 6 Could the acceleration in financial innovation since 1970 have been predicted?-- 7 Conclusion-- Notes-- 2 The Americanisation of Global Finance-- Minnesota Banc Corporation-- 1 The emergence of the American model of finance-- 2 The crowning achievement: risk-management finance-- 3 Maintaining market liquidity: the sine qua non of the American model-- 4 Global finance: the result of exporting the American model-- 5 Conclusion-- Notes-- 3 Dramatic Events-- How George Soros sees it-- 1 The EMS crisis of 1992u93-- 2 Metallgesellschaft: in the red or in the black?-- 3 Barings: victim of high-leveraged speculation and loose controls-- 4 Bankers Trust: caveat emptor-- 5 David Askin: the fallen star of the mortgage-backed securities sky-- 6 Instability in emerging markets: Mexican tequila-- 7 Hedge funds and the collapse of LTCM-- 8 Conclusion-- Notes-- Part II Derivatives and Their Markets-- 4 The Revolution in Risk Management-- Farming for the future-- 1 What can derivatives achieve?-- 2 Price discovery and volatility-- 3 Is risk management a fundamental corporate objective?-- 4 Risk management: science or fad?-- 5 Risk management: some examples-- 6 Conclusion-- Notes-- 5 Mutualisation of Risk on Exchanges-- ChicagoAs other side-- 1 Evolution of exchange-traded financial derivatives-- 2 Organisation of the exchanges-- 3 What makes a successful exchange-traded contract?-- 4 New product developments on the exchanges-- 5 Exchanges for a global market-- 6 Conclusion-- Notes-- 6 Customised Risk Management in OTC Markets-- How to lose money on a long put when markets crash-- 1 Market developments-- 2 Significant bank involvement-- 3 Contagion risk-- 4 Regulatory inadequacies for the specificities of OTC markets-- 5 New developments-- 6 Conclusion-- Notes-- Part III Public Policy Options-- 7 Are Derivatives a Threat to Global Financial Stability?-- The global financial crash of October 2002-- 1 Systemic risk illustrated with the crises in Asia and Russia-- 2 Derivatives: the dynamite for financial crises-- 3 Global derivative finance: the fuse for contagion-- 4 Conclusion-- Notes-- 8 Challenges for the Established Financial Order-- The butterflies of finance-- 1 The classical paradigm of financial policy-- 2 Paradise lost-- 3 Reducing systemic risk: the Basle approach-- 4 Conclusion-- Notes-- 9 A Financial Policy Model for the Next Century-- The challenge of global money-- 1 Reform of the international financial system-- 2 The architecture for regulatory...
  • (source: Nielsen Book Data)9780471822400 20160528
When it first published in spring 1998, Derivatives: The Wild Beast of Finance made bold predictions and recommendations for the future of global finance. Alfred Steinherr explained that, without effective risk management, the incredible explosion in the use and value of derivatives could destabilise the entire global market structure. His views and suggested solutions were not universally accepted. And then, suddenly, in the space of a few months many of the inherent dangers he set out became reality - the Asian crisis took a vicious toll on the tiger economies and the Russian bear collapsed, heralding the ultimate destruction of the most celebrated hedge fund of recent years - Long-Term Capital Management. The knock-on effect of the LTCM collapse was so severe that the US Fed was forced to intervene. In this extensively revised paperback edition, Alfred Steinherr brings the story up to date and uses the opportunity to analyse and reflect on the effectiveness of the solutions he offered first time around. Much of the more technical material from the original edition has been removed to produce a highly readable and thought-provoking explanation of the origins and benefits of global finance, while once again assessing the dangers - imagined and real - that still lurk within this fascinating world. Time alone will tell how much heed is taken this time. "Alfred Steinherr has written a fascinating book that examines the role derivatives play in developing the world economy today, and the part they will have in shaping the financial markets of tomorrow. For practitioners, officials and students alike, Steinherr has provided a lively and informative canter through the world of derivatives." Investors Digest ". a welcome departure from most texts on the topic. Books on derivatives seem either to be ludicrously sensationalist or steeped in higher level mathematics. In contrast, this work by Alfred Steinherr is both accessible and rigorous." Investment Adviser ". will give a useful insight into the relationship between the derivatives market and the wider financial markets to the general reader. a highly informative read for those who really want to get to grips with what the derivatives markets are all about. " The Investor "Steinherr brings a lucid approach to a complex topic with this book [and] has produced a comprehensive overview which manages to combine a readable style with considerable detail and thought-provoking ideas for the future." European Fund Manager.
(source: Nielsen Book Data)9780471822400 20160528
Law Library (Crown)

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