Derivatives : theory and practice
Cuthbertson, Keith
Derivatives : theory and practice / Keith Cuthbertson, Dirk Nitzsche, Niall O'Sullivan - xxxii, 880 pages
Includes bibliographical references (pages 867-869) and indexes.
Chapter 1. Derivative securities Part I. Forwards and futures Chapter 2. Future markets Chapter 3. Forward and future prices Chapter 4. Futures : hedging and speculation Chapter 5. Index futures Chapter 6. Strategies : stock index futures Chapter 7. Currency forwards and futures Part II. Fixed income : cash markets Chapter 8. Interest rates Chapter 9. Bond markets Chapter 10. Bonds : duration and convexity Part III. Fixed income futures contracts Chapter 11. Interest rates futures Chapter 12. Hedging with interest rate futures Chapter 13. T-bond futures Part IV. Options Chapter 14. Options markets Chapter 15. Uses of options Chapter 16. Black-Scholes model Chapter 17. Option strategies Chapter 18. Stock options and stock index options Chapter 19. Foreign currency options Chapter 20. Options on futures Part V. Options pricing Chapter 21. BOPM : introduction Chapter 22. BOPM : implementation Chapter 23. BOPM : extensions Chapter 24. Analysis of Black-Scholes Chapter 25. Pricing European options Chapter 26. Pricing options : Monte Carlo simulation Part VI. The Greeks Chapter 27. Delta hedging Chapter 28. The Greeks Chapter 29. Portfolio insurance Part VII. Advanced options Chapter 30. Other options Chapter 31. Exotic options Chapter 32. Energy and weather derivatives Part VIII. Swaps Chapter 33. Interest rate swaps Chapter 34. Pricing interest rate swaps Chapter 35. Other interest rate swaps Chapter 36. Currency swaps Part IX. Fixed income derivatives Chapter 38. T-bond option, caps, floors and collar Chapter 39. Swaptions, forward swaps, and MBS Chapter 40. Pricing fixed income Chapter 41. Pricing fixed income derivatives : BOPM Part X. Credit derivatives Chapter 42. Credit default swaps (CDS) Chapter 43. Securitisation, ABSs and CDOs Part XI. Market risk Chapter 44. Value at risk Chapter 45. VaR : other portfolios Chapter 46. VaR : alternative measures Part XII. Price dynamics Chapter 47. Assets price dynamics Chapter 48. Black-Scholes PDE Chapter 49. Equilibrium models : term structure
9781119595595
Derivative securities
332.6457
Derivatives : theory and practice / Keith Cuthbertson, Dirk Nitzsche, Niall O'Sullivan - xxxii, 880 pages
Includes bibliographical references (pages 867-869) and indexes.
Chapter 1. Derivative securities Part I. Forwards and futures Chapter 2. Future markets Chapter 3. Forward and future prices Chapter 4. Futures : hedging and speculation Chapter 5. Index futures Chapter 6. Strategies : stock index futures Chapter 7. Currency forwards and futures Part II. Fixed income : cash markets Chapter 8. Interest rates Chapter 9. Bond markets Chapter 10. Bonds : duration and convexity Part III. Fixed income futures contracts Chapter 11. Interest rates futures Chapter 12. Hedging with interest rate futures Chapter 13. T-bond futures Part IV. Options Chapter 14. Options markets Chapter 15. Uses of options Chapter 16. Black-Scholes model Chapter 17. Option strategies Chapter 18. Stock options and stock index options Chapter 19. Foreign currency options Chapter 20. Options on futures Part V. Options pricing Chapter 21. BOPM : introduction Chapter 22. BOPM : implementation Chapter 23. BOPM : extensions Chapter 24. Analysis of Black-Scholes Chapter 25. Pricing European options Chapter 26. Pricing options : Monte Carlo simulation Part VI. The Greeks Chapter 27. Delta hedging Chapter 28. The Greeks Chapter 29. Portfolio insurance Part VII. Advanced options Chapter 30. Other options Chapter 31. Exotic options Chapter 32. Energy and weather derivatives Part VIII. Swaps Chapter 33. Interest rate swaps Chapter 34. Pricing interest rate swaps Chapter 35. Other interest rate swaps Chapter 36. Currency swaps Part IX. Fixed income derivatives Chapter 38. T-bond option, caps, floors and collar Chapter 39. Swaptions, forward swaps, and MBS Chapter 40. Pricing fixed income Chapter 41. Pricing fixed income derivatives : BOPM Part X. Credit derivatives Chapter 42. Credit default swaps (CDS) Chapter 43. Securitisation, ABSs and CDOs Part XI. Market risk Chapter 44. Value at risk Chapter 45. VaR : other portfolios Chapter 46. VaR : alternative measures Part XII. Price dynamics Chapter 47. Assets price dynamics Chapter 48. Black-Scholes PDE Chapter 49. Equilibrium models : term structure
9781119595595
Derivative securities
332.6457