1. Governing the world's biggest market : the politics of derivatives regulation after the 2008 crisis [2018]
 Book
 1 online resource : illustrations (black and white)
What has been done since the 2008 financial crisis to reform the regulation of derivatives markets? The volume analyzes the goals, limitations, and unexpected outcomes associated with postcrisis international initiatives to regulate these markets, as well as the different transnational, interstate, and domestic political dynamics that have shaped these outcomes.
(source: Nielsen Book Data)9780190864576 20180604
(source: Nielsen Book Data)9780190864576 20180604
What has been done since the 2008 financial crisis to reform the regulation of derivatives markets? The volume analyzes the goals, limitations, and unexpected outcomes associated with postcrisis international initiatives to regulate these markets, as well as the different transnational, interstate, and domestic political dynamics that have shaped these outcomes.
(source: Nielsen Book Data)9780190864576 20180604
(source: Nielsen Book Data)9780190864576 20180604
2. Mastering derivatives markets : a stepbystep guide to the products, applications and risks [2011]
 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.
(source: Nielsen Book Data)9780273735670 20160606
 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.
(source: Nielsen Book Data)9780273735670 20160606
 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 * Exchangetraded 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 * Exchangetraded energy derivatives * Exchangetraded futures contracts * Exchangetraded energy option contracts * OTC or 'offexchange' 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
(source: Nielsen Book Data)9780273735670 20160606
 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 * Exchangetraded 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 * Exchangetraded energy derivatives * Exchangetraded futures contracts * Exchangetraded energy option contracts * OTC or 'offexchange' 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
(source: Nielsen Book Data)9780273735670 20160606
 Book
 xxix, 508 p. : ill. ; 24 cm.
 Book
 xvi, 238 p. : ill., charts ; 28 cm.
6. Solving the mystery of derivatives [1994]
 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.
 [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.
 Book
 1 online resource (380 pages).
 Book
 1 online resource (380 pages)
9. Derivatives markets [2016]
 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 : PutCall 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. RiskNeutral Valuation and the Binomial Option Pricing Model 14. Option Pricing in Discrete Time Part II: Dynamic Hedging and the MultiPeriod Binomial Option Pricing Model 15. Equivalent Martingale Measures: The Modern Approach to Option Pricing 16. Option Pricing in Continuous Time: from Bachelier to BlackScholes and Beyond. 17. Risk Neutral Valuation, EMMs, The BOPM. and Black Scholes.
 (source: Nielsen Book Data)9780415599016 20160704
(source: Nielsen Book Data)9780415599016 20160704
 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 : PutCall 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. RiskNeutral Valuation and the Binomial Option Pricing Model 14. Option Pricing in Discrete Time Part II: Dynamic Hedging and the MultiPeriod Binomial Option Pricing Model 15. Equivalent Martingale Measures: The Modern Approach to Option Pricing 16. Option Pricing in Continuous Time: from Bachelier to BlackScholes and Beyond. 17. Risk Neutral Valuation, EMMs, The BOPM. and Black Scholes.
 (source: Nielsen Book Data)9780415599016 20160704
(source: Nielsen Book Data)9780415599016 20160704
10. The economics of derivatives [2015]
 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
(source: Nielsen Book Data)9781107091504 20160618
 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
(source: Nielsen Book Data)9781107091504 20160618
Science Library (Li and Ma)
Science Library (Li and Ma)  Status 

Stacks  
HG6024 .A3 S663 2015  Unknown 
 Book
 1 online resource (172 pages) : illustrations.
 Foreword xi Preface xiii Acknowledgments xv CHAPTER 1 Exotic Derivatives 1 11 SingleAsset Exotics 1 12 MultiAsset Exotics 4 13 Structured Products 9 References 11 Problems 11 CHAPTER 2 The Implied Volatility Surface 15 21 The Implied Volatility Smile and Its Consequences 15 22 Interpolation and Extrapolation 20 23 Implied Volatility Surface Properties 22 24 Implied Volatility Surface Models 22 References 29 Problems 30 CHAPTER 3 Implied Distributions 33 31 Butterfly Spreads and the Implied Distribution 33 32 European Payoff Pricing and Replication 36 33 Pricing Methods for European Payoffs 39 34 Greeks 41 References 42 Problems 42 CHAPTER 4 Local Volatility and Beyond 45 41 Local Volatility Trees 45 42 Local Volatility in Continuous Time 46 43 Calculating Local Volatilities 48 44 Stochastic Volatility 50 References 55 Problems 55 CHAPTER 5 Volatility Derivatives 59 51 Volatility Trading 59 52 Variance Swaps 61 53 Realized Volatility Derivatives 65 54 Implied Volatility Derivatives 67 References 70 Problems 70 CHAPTER 6 Introducing Correlation 73 61 Measuring Correlation 73 62 Correlation Matrices 75 63 Correlation Average 77 64 BlackScholes with Constant Correlation 82 65 Local Volatility with Constant Correlation 84 References 84 Problems 85 CHAPTER 7 Correlation Trading 87 71 Dispersion Trading 87 72 Correlation Swaps 91 Problems 93 CHAPTER 8 Local Correlation 95 81 The Implied Correlation Smile and Its Consequences 95 82 Local Volatility with Local Correlation 97 83 Dynamic Local Correlation Models 99 84 Limitations 99 References 100 Problems 100 CHAPTER 9 Stochastic Correlation 103 91 Stochastic Single Correlation 103 92 Stochastic Average Correlation 104 93 Stochastic Correlation Matrix 108 References 111 Problems 111 Appendix A Probability Review 115 A1 Standard Probability Theory 115 A2 Random Variables, Distribution, and Independence 116 A3 Conditioning 117 A4 Random Processes and Stochastic Calculus 118 Appendix B Linear Algebra Review 119 B1 Euclidean Spaces 119 B2 Square Matrix Decompositions 120 Solutions Manual 123 Author s Note 143 About the Author 145 Index 147.
 (source: Nielsen Book Data)9781118750964 20180530
(source: Nielsen Book Data)9781118750964 20180530
 Foreword xi Preface xiii Acknowledgments xv CHAPTER 1 Exotic Derivatives 1 11 SingleAsset Exotics 1 12 MultiAsset Exotics 4 13 Structured Products 9 References 11 Problems 11 CHAPTER 2 The Implied Volatility Surface 15 21 The Implied Volatility Smile and Its Consequences 15 22 Interpolation and Extrapolation 20 23 Implied Volatility Surface Properties 22 24 Implied Volatility Surface Models 22 References 29 Problems 30 CHAPTER 3 Implied Distributions 33 31 Butterfly Spreads and the Implied Distribution 33 32 European Payoff Pricing and Replication 36 33 Pricing Methods for European Payoffs 39 34 Greeks 41 References 42 Problems 42 CHAPTER 4 Local Volatility and Beyond 45 41 Local Volatility Trees 45 42 Local Volatility in Continuous Time 46 43 Calculating Local Volatilities 48 44 Stochastic Volatility 50 References 55 Problems 55 CHAPTER 5 Volatility Derivatives 59 51 Volatility Trading 59 52 Variance Swaps 61 53 Realized Volatility Derivatives 65 54 Implied Volatility Derivatives 67 References 70 Problems 70 CHAPTER 6 Introducing Correlation 73 61 Measuring Correlation 73 62 Correlation Matrices 75 63 Correlation Average 77 64 BlackScholes with Constant Correlation 82 65 Local Volatility with Constant Correlation 84 References 84 Problems 85 CHAPTER 7 Correlation Trading 87 71 Dispersion Trading 87 72 Correlation Swaps 91 Problems 93 CHAPTER 8 Local Correlation 95 81 The Implied Correlation Smile and Its Consequences 95 82 Local Volatility with Local Correlation 97 83 Dynamic Local Correlation Models 99 84 Limitations 99 References 100 Problems 100 CHAPTER 9 Stochastic Correlation 103 91 Stochastic Single Correlation 103 92 Stochastic Average Correlation 104 93 Stochastic Correlation Matrix 108 References 111 Problems 111 Appendix A Probability Review 115 A1 Standard Probability Theory 115 A2 Random Variables, Distribution, and Independence 116 A3 Conditioning 117 A4 Random Processes and Stochastic Calculus 118 Appendix B Linear Algebra Review 119 B1 Euclidean Spaces 119 B2 Square Matrix Decompositions 120 Solutions Manual 123 Author s Note 143 About the Author 145 Index 147.
 (source: Nielsen Book Data)9781118750964 20180530
(source: Nielsen Book Data)9781118750964 20180530
 Book
 xv, 152 pages : illustrations ; 24 cm.
 Foreword xi Preface xiii Acknowledgments xv CHAPTER 1 Exotic Derivatives 1 11 SingleAsset Exotics 1 12 MultiAsset Exotics 4 13 Structured Products 9 References 11 Problems 11 CHAPTER 2 The Implied Volatility Surface 15 21 The Implied Volatility Smile and Its Consequences 15 22 Interpolation and Extrapolation 20 23 Implied Volatility Surface Properties 22 24 Implied Volatility Surface Models 22 References 29 Problems 30 CHAPTER 3 Implied Distributions 33 31 Butterfly Spreads and the Implied Distribution 33 32 European Payoff Pricing and Replication 36 33 Pricing Methods for European Payoffs 39 34 Greeks 41 References 42 Problems 42 CHAPTER 4 Local Volatility and Beyond 45 41 Local Volatility Trees 45 42 Local Volatility in Continuous Time 46 43 Calculating Local Volatilities 48 44 Stochastic Volatility 50 References 55 Problems 55 CHAPTER 5 Volatility Derivatives 59 51 Volatility Trading 59 52 Variance Swaps 61 53 Realized Volatility Derivatives 65 54 Implied Volatility Derivatives 67 References 70 Problems 70 CHAPTER 6 Introducing Correlation 73 61 Measuring Correlation 73 62 Correlation Matrices 75 63 Correlation Average 77 64 BlackScholes with Constant Correlation 82 65 Local Volatility with Constant Correlation 84 References 84 Problems 85 CHAPTER 7 Correlation Trading 87 71 Dispersion Trading 87 72 Correlation Swaps 91 Problems 93 CHAPTER 8 Local Correlation 95 81 The Implied Correlation Smile and Its Consequences 95 82 Local Volatility with Local Correlation 97 83 Dynamic Local Correlation Models 99 84 Limitations 99 References 100 Problems 100 CHAPTER 9 Stochastic Correlation 103 91 Stochastic Single Correlation 103 92 Stochastic Average Correlation 104 93 Stochastic Correlation Matrix 108 References 111 Problems 111 Appendix A Probability Review 115 A1 Standard Probability Theory 115 A2 Random Variables, Distribution, and Independence 116 A3 Conditioning 117 A4 Random Processes and Stochastic Calculus 118 Appendix B Linear Algebra Review 119 B1 Euclidean Spaces 119 B2 Square Matrix Decompositions 120 Solutions Manual 123 Author s Note 143 About the Author 145 Index 147.
 (source: Nielsen Book Data)9781118750964 20180530
(source: Nielsen Book Data)9781118750964 20180530
 Foreword xi Preface xiii Acknowledgments xv CHAPTER 1 Exotic Derivatives 1 11 SingleAsset Exotics 1 12 MultiAsset Exotics 4 13 Structured Products 9 References 11 Problems 11 CHAPTER 2 The Implied Volatility Surface 15 21 The Implied Volatility Smile and Its Consequences 15 22 Interpolation and Extrapolation 20 23 Implied Volatility Surface Properties 22 24 Implied Volatility Surface Models 22 References 29 Problems 30 CHAPTER 3 Implied Distributions 33 31 Butterfly Spreads and the Implied Distribution 33 32 European Payoff Pricing and Replication 36 33 Pricing Methods for European Payoffs 39 34 Greeks 41 References 42 Problems 42 CHAPTER 4 Local Volatility and Beyond 45 41 Local Volatility Trees 45 42 Local Volatility in Continuous Time 46 43 Calculating Local Volatilities 48 44 Stochastic Volatility 50 References 55 Problems 55 CHAPTER 5 Volatility Derivatives 59 51 Volatility Trading 59 52 Variance Swaps 61 53 Realized Volatility Derivatives 65 54 Implied Volatility Derivatives 67 References 70 Problems 70 CHAPTER 6 Introducing Correlation 73 61 Measuring Correlation 73 62 Correlation Matrices 75 63 Correlation Average 77 64 BlackScholes with Constant Correlation 82 65 Local Volatility with Constant Correlation 84 References 84 Problems 85 CHAPTER 7 Correlation Trading 87 71 Dispersion Trading 87 72 Correlation Swaps 91 Problems 93 CHAPTER 8 Local Correlation 95 81 The Implied Correlation Smile and Its Consequences 95 82 Local Volatility with Local Correlation 97 83 Dynamic Local Correlation Models 99 84 Limitations 99 References 100 Problems 100 CHAPTER 9 Stochastic Correlation 103 91 Stochastic Single Correlation 103 92 Stochastic Average Correlation 104 93 Stochastic Correlation Matrix 108 References 111 Problems 111 Appendix A Probability Review 115 A1 Standard Probability Theory 115 A2 Random Variables, Distribution, and Independence 116 A3 Conditioning 117 A4 Random Processes and Stochastic Calculus 118 Appendix B Linear Algebra Review 119 B1 Euclidean Spaces 119 B2 Square Matrix Decompositions 120 Solutions Manual 123 Author s Note 143 About the Author 145 Index 147.
 (source: Nielsen Book Data)9781118750964 20180530
(source: Nielsen Book Data)9781118750964 20180530
Science Library (Li and Ma)
Science Library (Li and Ma)  Status 

Stacks  
HG6024 .A3 B67 2014  Unknown 
13. Derivatives markets [2013]
 Book
 xxviii, 948 p. : ill. ; 27 cm. + 1 CDROM (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 BlackScholes Formula Chapter 13 MarketMaking and DeltaHedging 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 BlackScholesMerton Equation Chapter 22 RiskNeutral 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
(source: Nielsen Book Data)9780321543080 20160610
 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 BlackScholes Formula Chapter 13 MarketMaking and DeltaHedging 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 BlackScholesMerton Equation Chapter 22 RiskNeutral 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
(source: Nielsen Book Data)9780321543080 20160610
Science Library (Li and Ma)
Science Library (Li and Ma)  Status 

Stacks


HG6024 .A3 M394 2013  Unknown 
 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
(source: Nielsen Book Data)9781848167117 20160605
 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
(source: Nielsen Book Data)9781848167117 20160605
 Book
 xviii, 413 p. : ill.
 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. TemperatureLinked Derivatives. The Wild Beast of Finance? Lessons from Recent History. Creative Destruction and Contagion Effects. The Modern OTC Derivatives Market. The ExchangeTraded 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 EuroBund Futures. The CheapesttoDeliver (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. FTSE 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 SingleCurrency 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. CrossCurrency Interest Rate Swaps. Net Borrowing Costs using a CrossCurrency 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. ZeroCost Equity Collar. Protective Put with a Barrier Option. Behaviour of Barrier Options. Chapter Summary. 10 ExchangeTraded Equity Options. Introduction. Basic Concepts. CBOE Stock Options. UK Stock Options on NYSE Liffe. CME S&P 500 Index Options. FTSE 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 ZeroCost Collar. Reducing Premium on FX Hedges. Compound Options. ExchangeTraded 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. ExchangeTraded 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 BlackScholes Option Pricing Model. Historical Volatility. Measuring and Using Volatility. Chapter Summary. 14. Option Valuation Concepts (2). Introduction. Problems with Historical Volatility. Implied Volatility. BlackScholes 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 EquityLinked Notes. Expiry Value of 100% Capital Protection Notes. 100% Participation EquityLinked Notes. Capped Participation EquityLinked 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 ExchangeTraded 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
(source: Nielsen Book Data)9780470749371 20160614
 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. TemperatureLinked Derivatives. The Wild Beast of Finance? Lessons from Recent History. Creative Destruction and Contagion Effects. The Modern OTC Derivatives Market. The ExchangeTraded 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 EuroBund Futures. The CheapesttoDeliver (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. FTSE 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 SingleCurrency 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. CrossCurrency Interest Rate Swaps. Net Borrowing Costs using a CrossCurrency 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. ZeroCost Equity Collar. Protective Put with a Barrier Option. Behaviour of Barrier Options. Chapter Summary. 10 ExchangeTraded Equity Options. Introduction. Basic Concepts. CBOE Stock Options. UK Stock Options on NYSE Liffe. CME S&P 500 Index Options. FTSE 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 ZeroCost Collar. Reducing Premium on FX Hedges. Compound Options. ExchangeTraded 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. ExchangeTraded 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 BlackScholes Option Pricing Model. Historical Volatility. Measuring and Using Volatility. Chapter Summary. 14. Option Valuation Concepts (2). Introduction. Problems with Historical Volatility. Implied Volatility. BlackScholes 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 EquityLinked Notes. Expiry Value of 100% Capital Protection Notes. 100% Participation EquityLinked Notes. Capped Participation EquityLinked 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 ExchangeTraded 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
(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
(source: Nielsen Book Data)9780273731962 20160612
 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
(source: Nielsen Book Data)9780273731962 20160612
Business Library
Business Library  Status 

Stacks  
HG6024.A3 D377 2010  Unknown 
 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
(source: Nielsen Book Data)9780754674641 20160528
 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
(source: Nielsen Book Data)9780754674641 20160528
 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
(source: Nielsen Book Data)9780754674641 20160528
 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
(source: Nielsen Book Data)9780754674641 20160528
 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.
(source: Nielsen Book Data)9780071451475 20160605
 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.
(source: Nielsen Book Data)9780071451475 20160605
Articles+
Journal articles, ebooks, & other eresources
 Articles+ results include