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Introduction to Derivatives and Risk Management / With CD

Introduction to Derivatives and Risk Management / With CD - 5th edition

ISBN13: 978-0030311574

Cover of Introduction to Derivatives and Risk Management / With CD 5TH 01 (ISBN 978-0030311574)
ISBN13: 978-0030311574
ISBN10: 0030311578
Cover type:
Edition/Copyright: 5TH 01
Publisher: Harcourt Brace or Harcourt Press
Published: 2001
International: No

List price: $120.95

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Introduction to Derivatives and Risk Management / With CD - 5TH 01 edition

ISBN13: 978-0030311574

Don Chance

ISBN13: 978-0030311574
ISBN10: 0030311578
Cover type:
Edition/Copyright: 5TH 01
Publisher: Harcourt Brace or Harcourt Press

Published: 2001
International: No
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

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Cover of Introduction to Derivatives and Risk Management 6th edition

Introduction to Derivatives and Risk Management - 6th edition

ISBN13: 978-0324380187
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