Local cover image
Local cover image

Derivatives : theory and practice / Keith Cuthbertson, Dirk Nitzsche, Niall O'Sullivan

By: Contributor(s): Material type: TextTextPublisher: Chichester, West Sussex : Wiley, 2020Description: xxxii, 880 pagesContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 9781119595595
Subject(s): DDC classification:
  • 332.6457
Contents:
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
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
Holdings
Item type Current library Collection Call number Status Barcode
Book Book Main Library Reference Section Reference R 332.6457 C988d 2020 (Browse shelf(Opens below)) Room use only 52869QC

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

There are no comments on this title.

to post a comment.

Click on an image to view it in the image viewer

Local cover image