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by Don Chance

Edition: 5TH 01Copyright: 2001

Publisher: Harcourt Brace or Harcourt Press

Published: 2001

International: No

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A market leader, this book is ideally designed for either a one- or two-semester course in options and/or futures, derivatives, and/or risk management at the advanced undergraduate or MBA level. Detailed but flexible coverage of options, futures, forwards, swaps, and risk management -- as well as a solid introduction to pricing, trading, and strategy - allows instructors to selectively tailor inclusion of topics/chapters to fit the length of the course.

**Chance, Don : Virginia Polytechnic and State University **

1. Introduction

**PART I: OPTIONS **

2. The Structure of Options Markets

Appendix 2A: Margin Requirements

Appendix 2B: Taxation of Option Transactions

3. Principles of Option Pricing

4. Option Pricing Models: The Binomial Model

5. Option Pricing Models: The Black-Scholes Model

Appendix 5A: A Shortcut to the Calculations of Implied Volatility

Appendix 5B: The BSBWIN2.1 Windows Software

6. Basic Option Strategies

7. Advanced Option Strategies

**PART II: FORWARDS AND FUTURES **

8. The Structure of Forward and Futures Markets

Appendix 8A: Selected Financial Futures Contract Specifications

Appendix 8B: Taxation of Futures Transactions

9. Principles of Forward and Futures Pricing

10. Futures Hedging Strategies

Appendix 10A: Derivation of the Hedge Ratio

Appendix 10B: Taxation of Hedging

11. Advanced Futures Strategies

Appendix 11A: Determining the CBOT Treasury Bond Conversion Factor

Appendix 11B: Derivation of the Hedge Ratio for Adjusting Duration with Treasury Bond Futures

**PART III: ADVANCED TOPICS **

12. Options on Futures

Appendix 12A: Selected Options on Futures Contract Specifications

13. Foreign Currency Derivatives

Appendix 13A: Foreign Currency Futures Contract Specifications

Appendix 13B: Foreign Currency Options Contract Specifications

14. Swaps and Other Interest Rate Agreements

Appendix 14A: The Ho-Lee Model of the Term Structure

Advanced Derivatives and Strategies

Appendix 15A: Derivation of the Dynamic Hedge Ratio for Portfolio Insurance

Appendix 15B: Monte Carlo Simulation

16. Risk Management Principles

17. Risk Management Practices

Appendix A: List of Symbols

Appendix B: List of Formulas

Appendix C: References

Summary

A market leader, this book is ideally designed for either a one- or two-semester course in options and/or futures, derivatives, and/or risk management at the advanced undergraduate or MBA level. Detailed but flexible coverage of options, futures, forwards, swaps, and risk management -- as well as a solid introduction to pricing, trading, and strategy - allows instructors to selectively tailor inclusion of topics/chapters to fit the length of the course.

Author Bio

**Chance, Don : Virginia Polytechnic and State University **

Table of Contents

1. Introduction

**PART I: OPTIONS **

2. The Structure of Options Markets

Appendix 2A: Margin Requirements

Appendix 2B: Taxation of Option Transactions

3. Principles of Option Pricing

4. Option Pricing Models: The Binomial Model

5. Option Pricing Models: The Black-Scholes Model

Appendix 5A: A Shortcut to the Calculations of Implied Volatility

Appendix 5B: The BSBWIN2.1 Windows Software

6. Basic Option Strategies

7. Advanced Option Strategies

**PART II: FORWARDS AND FUTURES **

8. The Structure of Forward and Futures Markets

Appendix 8A: Selected Financial Futures Contract Specifications

Appendix 8B: Taxation of Futures Transactions

9. Principles of Forward and Futures Pricing

10. Futures Hedging Strategies

Appendix 10A: Derivation of the Hedge Ratio

Appendix 10B: Taxation of Hedging

11. Advanced Futures Strategies

Appendix 11A: Determining the CBOT Treasury Bond Conversion Factor

Appendix 11B: Derivation of the Hedge Ratio for Adjusting Duration with Treasury Bond Futures

**PART III: ADVANCED TOPICS **

12. Options on Futures

Appendix 12A: Selected Options on Futures Contract Specifications

13. Foreign Currency Derivatives

Appendix 13A: Foreign Currency Futures Contract Specifications

Appendix 13B: Foreign Currency Options Contract Specifications

14. Swaps and Other Interest Rate Agreements

Appendix 14A: The Ho-Lee Model of the Term Structure

Advanced Derivatives and Strategies

Appendix 15A: Derivation of the Dynamic Hedge Ratio for Portfolio Insurance

Appendix 15B: Monte Carlo Simulation

16. Risk Management Principles

17. Risk Management Practices

Appendix A: List of Symbols

Appendix B: List of Formulas

Appendix C: References

Publisher Info

Publisher: Harcourt Brace or Harcourt Press

Published: 2001

International: No

Published: 2001

International: No

**Chance, Don : Virginia Polytechnic and State University **

1. Introduction

**PART I: OPTIONS **

2. The Structure of Options Markets

Appendix 2A: Margin Requirements

Appendix 2B: Taxation of Option Transactions

3. Principles of Option Pricing

4. Option Pricing Models: The Binomial Model

5. Option Pricing Models: The Black-Scholes Model

Appendix 5A: A Shortcut to the Calculations of Implied Volatility

Appendix 5B: The BSBWIN2.1 Windows Software

6. Basic Option Strategies

7. Advanced Option Strategies

**PART II: FORWARDS AND FUTURES **

8. The Structure of Forward and Futures Markets

Appendix 8A: Selected Financial Futures Contract Specifications

Appendix 8B: Taxation of Futures Transactions

9. Principles of Forward and Futures Pricing

10. Futures Hedging Strategies

Appendix 10A: Derivation of the Hedge Ratio

Appendix 10B: Taxation of Hedging

11. Advanced Futures Strategies

Appendix 11A: Determining the CBOT Treasury Bond Conversion Factor

Appendix 11B: Derivation of the Hedge Ratio for Adjusting Duration with Treasury Bond Futures

**PART III: ADVANCED TOPICS **

12. Options on Futures

Appendix 12A: Selected Options on Futures Contract Specifications

13. Foreign Currency Derivatives

Appendix 13A: Foreign Currency Futures Contract Specifications

Appendix 13B: Foreign Currency Options Contract Specifications

14. Swaps and Other Interest Rate Agreements

Appendix 14A: The Ho-Lee Model of the Term Structure

Advanced Derivatives and Strategies

Appendix 15A: Derivation of the Dynamic Hedge Ratio for Portfolio Insurance

Appendix 15B: Monte Carlo Simulation

16. Risk Management Principles

17. Risk Management Practices

Appendix A: List of Symbols

Appendix B: List of Formulas

Appendix C: References