Derivatives : a comprehensive resource for options, futures, interest rate swaps, and mortgage securities / Fred D. Arditti.

Format:

Book

Author/Creator:

Arditti, Fred D.

Series:

Financial Management Association survey and synthesis series

Language:

English

Subjects (All):

Derivative securities--United States.

Derivative securities.

United States.

Physical Description:

xxi, 394 pages : illustrations ; 25 cm.

Place of Publication:

Boston : Harvard Business School Press, [1996]

Summary:

The growth of derivative markets during the past decade has been nothing short of astounding and so, of late, has been the misunderstanding of their use. This book is the definitive resource on derivatives. It is the first to explain all four major classes of derivative instruments - options, futures, interest rate swaps, and mortgage securities - in terms of their market structure, applications, and pricing, with a focus on the valuation methods used most commonly by professional market participants. Unlike most treatments of derivatives, this book offers detailed explanations of the institutional procedure and market practice for each class of derivative as well as the pricing and hedging of mortgage-backed securities and the central role of prepayment in both activities. It also covers a wide variety of topics such as the structuring of CMOs, PACs, and TACs; smile option pricing; and pricing and hedging of long-dated swaps.

Notes:

Includes bibliographical references (pages 375-385) and index.

ISBN:

0875845606

OCLC:

32895048