Derivatives : markets, valuation, and risk management / Robert E. Whaley.

Format:

Book

Author/Creator:

Whaley, Robert E.

Series:

Wiley finance series.

The Wiley finance series

Language:

English

Subjects (All):

Derivative securities--Marketing.

Derivative securities.

Derivative securities--Valuation.

Financial risk management.

Physical Description:

1 online resource (962 p.)

Edition:

1st edition

Place of Publication:

Hoboken, N.J. : Wiley, c2006.

Language Note:

English

System Details:

Mode of access: World Wide Web.

text file

Summary:

Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Contents:

Derivatives: Markets, Valuation, and Risk Management; Contents; Preface; DERIVATIVE MARKETS; FUNDAMENTALS OF VALUATION; FORWARD/FUTURES/SWAP VALUATION; OPTION VALUATION; STOCK DERIVATIVES; STOCK INDEX DERIVATIVES; CURRENCY DERIVATIVES; INTEREST RATE DERIVATIVES; COMMODITY DERIVATIVES; LESSONS LEARNED; OPTVAL; REFERENCES; Acknowledgments; About the Author; Part I: Derivative Markets; Chapter 1: Derivative Contracts and Markets; FORWARDS; OPTIONS; WHY DO DERIVATIVES MARKETS EXIST?; EVOLUTION OF DERIVATIVES MARKETS; ATTRIBUTES OF EXCHANGE-TRADED DERIVATIVE MARKETS

ATTRIBUTES OF OTC DERIVATIVE MARKETSSUMMARY; REFERENCES AND SUGGESTED READINGS; APPENDIX 1: SQUEEZING THE SOYBEAN MARKET40; Part II: Fundamentals of Valuation; Chapter 2: Assumptions and Interest Rate Mechanics; UNDERLYING ASSUMPTIONS; INTEREST RATE MECHANICS; DISCOUNT BONDS; COUPON-BEARING BONDS; TERM STRUCTURE OF INTEREST RATES; STOCK VALUATION; SUMMARY; REFERENCES AND SUGGESTIONS FOR FURTHER READING; APPENDIX 2A: TAYLOR SERIES EXPANSION OF BOND VALUE; APPENDIX 2B: SUM OF A GEOMETRIC PROGRESSION; Chapter 3: Relation between Return and Risk; UTILITY THEORY; PORTFOLIO THEORY

CAPITAL ASSET PRICING MODELPORTFOLIO PERFORMANCE MEASUREMENT; SUMMARY; REFERENCES AND SUGGESTED READINGS; Part III: Forwards/Futures/Swap Valuation; Chapter 4: No-Arbitrage Price Relations: Forwards, Futures, Swaps; UNDERSTANDING CARRY COSTS/BENEFITS; VALUING FORWARDS; VALUING FUTURES; IMPLYING FORWARD NET CARRY RATES; VALUING SWAPS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 5: Risk Management Strategies: Futures; EXPECTED RETURN AND RISK; HEDGING PRICE RISK; HEDGING REVENUE RISK; HEDGING MARGIN RISK; HEDGING PORTFOLIO VALUE; HEDGING MULTIPLE SOURCES OF RISK; ESTIMATION ISSUES

SUMMARYREFERENCES AND SUGGESTED READINGS; Part IV: Option Valuation; Chapter 6: No-Arbitrage Price Relations: Options; OPTIONS AND FORWARDS; CONTINUOUS RATES; DISCRETE FLOWS; NO-ARBITRAGE FUTURES OPTIONS RELATIONS; NO-ARBITRAGE INTER-MARKET RELATIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 7: Valuing Standard Options Analytically; INTUITION OF RISK-NEUTRAL VALUATION; LOG-NORMAL PRICE DISTRIBUTION; VALUING A EUROPEAN-STYLE CALL OPTION; VALUING A EUROPEAN-STYLE PUT OPTION; MEASURING RISK OF EUROPEAN-STYLE OPTIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS

APPENDIX 7A: APPLICATIONS OF ITO'S LEMMAAPPENDIX 7B: RELATION BETWEEN THE CONTINUOUSLY COMPOUNDED MEAN RETURN AND THE MEAN CONTINUOUSLY COMPOUNDED RETURN; APPENDIX 7C: APPROXIMATION OF THE UNIVARIATE NORMAL PROBABILITY; APPENDIX 7D: DERIVATION OF BLACK-SCHOLES/MERTON OPTION VALUATION FORMULA; APPENDIX 7E: DERIVATION OF THE " GREEKS"; Chapter 8: Valuing Nonstandard Options Analytically; ALL-OR-NOTHING OPTIONS; GAP OPTIONS; CONTINGENT PAY OPTIONS; FORWARD-START OPTIONS; RATCHET OPTIONS; CHOOSER OPTIONS; EXCHANGE OPTIONS; OPTIONS ON THE MAXIMUM AND THE MINIMUM; COMPOUND OPTIONS; LOOKBACK OPTIONS

BARRIER OPTIONS

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786610821976

9781119201984

1119201985

9781280821974

1280821973

9780470086384

0470086386

OCLC:

86080405