Essays in Derivatives
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Essays in Derivatives: Risk-Transfer Tools and Topics Made Easy(Wiley Finance)

Essays in Derivatives: Risk-Transfer Tools and Topics Made Easy(Wiley Finance)


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About the Book

In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.

Table of Contents:
Preface to the New Edition xiii Preface to the First Edition xv SECTION ONE Derivatives and Their Markets 1 ESSAY 1 The Structure of Derivative Markets 3 ESSAY 2 A Brief History of Derivatives 7 ESSAY 3 Why Derivatives? 15 ESSAY 4 Forward Contracts and Futures Contracts 25 ESSAY 5 Options 29 ESSAY 6 Swaps 33 ESSAY 7 Types of Risks 37 SECTION TWO The Basic Instruments 41 ESSAY 8 Interest Rate Derivatives: FRAs and Options 43 ESSAY 9 Interest Rate Derivatives: Swaps 49 ESSAY 10 Currency Swaps 53 ESSAY 11 Structured Notes 57 ESSAY 12 Securitized Instruments 61 ESSAY 13 Equity Swaps 67 ESSAY 14 Equity-Linked Debt 71 ESSAY 15 Commodity Swaps 75 ESSAY 16 American versus European Options 79 ESSAY 17 Swaptions 83 ESSAY 18 Credit Derivatives 89 ESSAY 19 Volatility Derivatives 95 ESSAY 20 Weather and Environmental Derivatives 99 SECTION THREE Derivative Pricing 103 ESSAY 21 Forward and Futures Pricing 105 ESSAY 22 Put-Call Parity for European Options on Assets 111 ESSAY 23 Put-Call Parity for American Options on Assets 115 ESSAY 24 Call Options as Insurance and Margin 119 ESSAY 25 A Nontechnical Introduction to Brownian Motion 123 ESSAY 26 Building a Model of Brownian Motion in the Stock Market 129 ESSAY 27 Option Pricing: The Black-Scholes-Merton Model 133 ESSAY 28 Option Pricing: The Binomial Model 139 ESSAY 29 Option Pricing: Numerical Methods 143 ESSAY 30 Dynamic Option Replication 147 ESSAY 31 Risk-Neutral Pricing of Derivatives: I 153 ESSAY 32 Risk-Neutral Pricing of Derivatives: II 159 ESSAY 33 It’s All Greek to Me 165 ESSAY 34 Implied Volatility 169 ESSAY 35 American Call Option Pricing 175 ESSAY 36 American Put Option Pricing 181 ESSAY 37 Swap Pricing 185 SECTION FOUR Derivative Strategies 191 ESSAY 38 Asset Allocation with Derivatives 193 ESSAY 39 Protective Puts and Portfolio Insurance 197 ESSAY 40 Misconceptions about Covered Call Writing 201 ESSAY 41 Hedge Funds and Other Privately Managed Accounts 205 ESSAY 42 Spreads, Collars, and Prepaid Forwards 209 ESSAY 43 Box Spreads 213 SECTION FIVE Exotic Instruments 217 ESSAY 44 Barrier Options 219 ESSAY 45 Straddles and Chooser Options 223 ESSAY 46 Compound and Installment Options 227 ESSAY 47 Digital Options 231 ESSAY 48 Geographic Options 235 ESSAY 49 Multi-Asset Options 239 ESSAY 50 Range Forwards and Break Forwards 243 ESSAY 51 Lookback Options 249 ESSAY 52 Deferred Start and Contingent Premium Options 253 SECTION SIX Fixed Income Securities and Derivatives 257 ESSAY 53 Duration 259 ESSAY 54 Limitations of Duration and the Concept of Convexity 263 ESSAY 55 The Term Structure of Interest Rates 269 ESSAY 56 Theories of the Term Structure: I 273 ESSAY 57 Theories of the Term Structure: II 279 ESSAY 58 Simple Models of the Term Structure: Vasicek and Cox-Ingersoll-Ross 285 ESSAY 59 No-Arbitrage Models of the Term Structure: Ho-Lee and Heath-Jarrow-Morton 291 ESSAY 60 Tree Pricing of Bonds and Interest Rate Derivatives: I 297 ESSAY 61 Tree Pricing of Bonds and Interest Rate Derivatives: II 301 ESSAY 62 Tree Pricing of Bonds and Interest Rate Derivatives: III 307 ESSAY 63 Tree Pricing of Bonds and Interest Rate Derivatives: IV 313 ESSAY 64 Tree Pricing of Bonds and Interest Rate Derivatives: V 319 SECTION SEVEN Other Topics and Issues 325 ESSAY 65 Stock Options 327 ESSAY 66 Value at Risk 335 ESSAY 67 Stock as an Option 341 ESSAY 68 The Credit Risk of Derivatives 345 ESSAY 69 Operational Risk 349 ESSAY 70 Risk Management in an Organization 355 ESSAY 71 Accounting and Disclosure of Derivatives 361 ESSAY 72 Worst Practices in Derivatives 367 ESSAY 73 Best Practices in Derivatives 375 Recommended Reading 379 Answers to End-of-Essay Questions 381

About the Author :
DON M. CHANCE holds the William H. Wright Jr. Endowed Chair for Financial Services at the E. J. Ourso College of Business Administration at Louisiana State University. He was formerly the First Union Professor of Financial Risk Management at the Pamplin College of Business at Virginia Tech. Prior to his academic career, Chance worked for a large southeastern bank. Professor Chance has had numerous articles published in academic and practitioner journals, is often quoted in the media, and has an extensive consulting practice. He holds a PhD in finance from LSU and is a CFA charterholder.


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Product Details
  • ISBN-13: 9780470086254
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Height: 236 mm
  • No of Pages: 432
  • Returnable: N
  • Spine Width: 33 mm
  • Weight: 653 gr
  • ISBN-10: 0470086254
  • Publisher Date: 10 Jun 2008
  • Binding: Hardback
  • Language: English
  • Returnable: N
  • Series Title: Wiley Finance
  • Sub Title: Risk-Transfer Tools and Topics Made Easy
  • Width: 160 mm


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