Derivatives / Edition 2

by Sanjiv Das, Rangarajan Sundaram

Overview

Derivatives makes a special effort throughout the text to explain what lies behind the formal mathematics of pricing and hedging. Questions ranging from ‘how are forward prices determined?’ to ‘why does the Black-Scholes formula have the form it does?’ are answered throughout the text. The authors use verbal and pictorial expositions, and sometimes simple mathematical models, to explain underlying principles before proceeding to formal analysis. Extensive uses of numerical examples for illustrative purposes are used throughout to supplement the intuitive and formal presentations.

Product Details

ISBN-13:	9780078034732
Publisher:	McGraw Hill LLC
Publication date:	01/19/2015
Edition description:	New Edition
Pages:	960
Product dimensions:	8.30(w) x 10.10(h) x 1.60(d)

Table of Contents

Chapter 1: Introduction
Part 1: Futures and Forwards

Chapter 2: Futures Markets

Chapter 3: Pricing Forwards and Futures I: The Basic Theory

Chapter 4: Pricing Forwards and Futures II

Chapter 5: Hedging with Futures & Forwards

Chapter 6: Interest-Rate Forwards & Futures
Part II: Equity Derivatives

Chapter 7: Options Markets

Chapter 8: Options: Payoffs & Trading Strategies

Chapter 9: No-Arbitrage Restrictions on Option Prices

Chapter 10: Early Exercise and Put-Call Parity

Chapter 11: Option Pricing: An Introduction

Chapter 12: Binomial Option Pricing

Chapter 13: Implementing the Binomial Model

Chapter 14: The Black-Scholes Model

Chapter 15: The Mathematics of Black-Scholes

Chapter 16: Options Modeling: Beyond Black-Scholes

Chapter 17: Sensitivity Analysis: The Option “Greeks”

Chapter 18: Exotic Options I: Path-Independent Options

Chapter 19: Exotic Options II: Path-Dependent Options

Chapter 20: Value-at-Risk

Chapter 21: Convertible Bonds

Chapter 22: Real Options
Part III: Swaps

Chapter 23: Interest-Rate Swaps and Floating Rate Products

Chapter 24: Equity Swaps

Chapter 25: Currency Swaps
Part IV: Interest Rate Modeling

Chapter 26: The Term Structure of Interest Rates: Concepts

Chapter 27: Estimating the Yield Curve

Chapter 28: Modeling Term Structure Movements

Chapter 29: Factor Models of the Term Structure

Chapter 30: The Heath-Jarrow-Morton and Libor Market Models
Part V: Credit Derivative Products

Chapter 31: Credit Derivative Products

Chapter 32: Structural Models of Default Risk

Chapter 33: Reduced Form Models of Default Risk

Chapter 34: Modeling Correlated Default
Part VI: Computation

Chapter 35: Derivative Pricing with Finite Differencing

Chapter 36: Derivative Pricing with Monte Carol Simulation

Chapter 37: Using Octave