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Derivatives, 2e
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2015.09.15
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■ Derivatives, 2e


■ Authors : Rangarajan Sundaram and Sanjiv Das


■ Pub Date : 2015 4. 9 /   Copyright :  2016


■ 960 Page /  McGraw-Hill International Edition


■ 정가 43,000원


■ ISBN : 9781259010873



■ Description

   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.
  


■ 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



■ Key features


● Full-length case studies : Several full-length case studies are integrated throughout the text including some of the most (in)famous derivatives disasters in history. These include Amaranth, Barings, LTCM, Metallgesellschaft, Procter & Gamble, and others. These are supplemented by other case studies available on this book's website, including Ashanti, Sumitomo, the Son-of-Boss tax shelters, and AIG.


● Extensive use of numerical examples for illustrative purposes : To enable comparability, the numerical examples are often built around a common parameterization. For example, in the chapter on option greeks, a baseline set of parameter values is chosen, and the behavior of each greek is illustrated using departures from these baselines.


●End-of-chapter problems : The book offers a large number of end-of-

chapter problems. These problems are of three types:


    ●Some are conceptual, mostly aimed at ensuring that the basic

       definitions have been understood, but occasionally involving

       algebraic manipulations.


    ●The second group comprises numerical exercises; problems that

       can be solved with a calculator or a spreadsheet.


    ●The last group contains the programming questions; questions

       that challenge the students to write code to implement specific

       models. We were fortunate to have many Silicon Valley engineers

       as students, from whom we received valuable feedback on these

       questions.

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