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Introduction to Derivatives (Text Only)

Introduction to Derivatives (Text Only) - 4th edition

ISBN13: 978-0030244834

Cover of Introduction to Derivatives  (Text Only) 4TH 98 (ISBN 978-0030244834)
ISBN13: 978-0030244834
ISBN10: 0030244838
Edition: 4TH 98
Copyright: 1998
Publisher: Dryden Press
Published: 1998
International: No

Introduction to Derivatives (Text Only) - 4TH 98 edition

ISBN13: 978-0030244834

Don M. Chance

ISBN13: 978-0030244834
ISBN10: 0030244838
Edition: 4TH 98
Copyright: 1998
Publisher: Dryden Press
Published: 1998
International: No

Expanding on its solid background, this new edition continues to present technical material in a student friendly manner. Fresh new quotes from industry demonstrate key concepts and the addition of Internet-related information keeps the material up to date. This comprehensive text provides detailed coverage of options, futures, forwards, swaps and risk management, plus a solid analytical introduction to pricing, trading, and strategy. A flexible mathematical approach places more complex material in end-of-chapter appendices, allowing instructors to use the text with students of varying backgrounds.

Table of Contents

1. Introduction

Overview of the Economic/Financial System
Derivative Markets
Some Important Concepts in Financial and Derivative Markets
Fundamental Linkages Between Spot and Derivative Markets
The Role of Derivative Markets
Criticisms of Derivative Markets

I. Options

2. The Structure of Options Markets

The Development of Options Markets
Call Options
Put Options
The Over-the-Counter Options Market
Organized Options Trading
Exchanges on which Options Trade
Option Traders
The Mechanics of Trading
Option Price Quotations
Types of Options
Transaction Costs in Option Trading
The Regulation of Options Markets

3. Principles of Option Pricing

Basic Notation and Terminology
Principles of Call Option Pricing
Principles of Put Option Pricing

4. Option Pricing Models

One-Period Binomial Model
Two-Period Binomial Model
Some Useful Extensions of the Binomial Model
Black-Scholes Option Pricing Model
Variables in the Black-Scholes Model
Black-Scholes Model in the Presence of Dividends
American Options
Estimating the Volatility (Standard Deviation)
The Binomial Model and the Black-Scholes Model
Put Option Pricing Models

5. Basic Option Strategies

Terminology and Notation
Stock Transactions
Call Option Transactions
Put Option Transactions
Calls and Stock: The Covered Call
Puts and Stock: The Protective Put
Synthetic Puts and Calls

6. Advanced Option Strategies

Option Spreads: Basic Concepts
Money Spreads
Calendar Spreads
Ratio Spreads
Straddles, Straps, and Strips
Box Spreads

II. Futures

7. The Structures of Forward and Futures Markets

The Development of Forward and Futures Markets
Over-the-Counter Forward Market
Organized Futures Trading
Futures Exchanges
Futures Traders
Mechanics of Futures Trading
Futures Price Quotations
Types of Futures Contracts
Transaction Costs in Forward and Futures Trading
Regulation of Futures Markets

8. Principles of Spot Pricing

Principles of Pricing of Fixed-Income Securities
Principles and Pricing of Equity Securities
Formation of Spot Prices

9. Principles of Forward and Futures Pricing

Some Properties of Forwards and Futures Prices
A Forward and Futures Pricing Model

10. Futures Hedging Strategies

Why Hedge
Hedging Concepts
Determination of the Hedge Ratio
Hedging Strategies

11. Advanced Futures Strategies

Short-Term Interest Rate Futures
Intermediate- and Long-Term Interest Rate Futures Strategies
Stock Index Futures Strategies

III. Advanced Topics

12. Options on Futures

Characteristics of Options on Futures
Pricing Options on Futures
Trading Strategies for Options on Futures
Options on Futures versus Options on the Spot

13. Foreign Currency Derivatives

Characteristics of Foreign
Currencies and Markets
Pricing Foreign Currency Derivatives
Trading Strategies in Foreign Currency Futures and Options
Other Instruments for Managing Foreign Exchange Risk

14. Interest Rate Derivatives

Forward Rate Agreements
Interest Rate Swaps
Interest Rate Options
Modeling the Term Structure and Pricing Interest Rate Derivatives

15. Advanced Derivatives and Strategies

Advanced Equity Derivatives and Strategies
Advanced Interest Rate Derivatives
Exotic Options

16. Financial Risk Management

Why Practice Risk Management
Structure of the Risk Management Industry
Managing Market Risk
Managing Credit Risk
Other Types of Risks
Organizational Issues in Risk Management

Appendix A: List of Symbols
Appendix B: List of Formulas


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