Applied Derivatives
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Applied Derivatives: Options, Futures and Swaps

Applied Derivatives: Options, Futures and Swaps


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About the Book

Applied Derivatives provides a detailed, yet relatively non-technical, treatment of the conceptual foundations for derivative securities markets pricing and investment principles. This book draws from the most fundamental concepts of pricing for options, futures, and swaps to provide insight into the potential risks and returns from conventional option investing. This book combines traditional topics in pricing theory with nontraditional topics that the author has researched throughout his career. Topics include, but are not limited to: a CAPM-based derivation of the binomial model which shows no strategies involving fairly-priced options can simultaneously reduce risk and increase return the effects of volatility misestimation in synthetic option replication the use of linear programming in options arbitrage and replication the formation of optimal portfolios consisting of stock, options, and safe assets pricing options when the source of risk is a potential change in interest rates, unit and tailed-based futures hedging interest rate immunization using swaps. Applied Derivatives is supported by the website http://www. rendleman. com/book which contains course software referenced in the text and additional questions and problems as they become available.

Table of Contents:
Preface. 1. An Introduction to Option Markets. 2. Put - Call Parity and Other Pricing Restrictions. 3. An Introduction to the Binomial Option Pricing Model. 4. Advanced Binomial Option Pricing. 5. Practical Issues Associated with Binomial and Black - Scholes-based Option Replication. 6. The Black-Scholes Model: Using and Interpreting the "Greeks". 7. Options Arbitrage. 8. Option Investing from a Risk - Return Perspective. 9. Advanced Option Replication: Creating the Most Cost-effective Replicating Portfolio. 10. The Use of Exchange-traded Options in Asset Allocation. 11. Pricing Interest Rate-dependent Financial Claims with Option Features. 12. Introduction to Futures, Forward, and Swap Markets. 13. Futures Pricing. 14. Hedging with Futures. 15. Interest Rate Futures. 16. Swap Markets. Index.

About the Author :
Richard J. Rendleman is Professor of Finance at the University of North Carolina at Chapel Hill, His current research involves the pricing of financial claims subject to credit risks and interest rate risks, the use of option pricing theory in setting accounting standards, the development of Monte Carlo techniques for pricing options, and the reconciliation of several competing stock market anomalies through price effect. Previous to teaching at UNC-Chapel Hill, Professor Rendleman taught at the University of Chicago, and is considered one of the premier researchers in the field of option pricing. He helped develop the "Binomial Option Pricing Model" which is the basic model for determining option pricing today.

Review :
"Rendleman provides the very best combination of theoretical grounding, applications, and intuition for serious practitioners of modern financial technology. The knowledge in this text is essential for success in today's sophisticated financial environment and forthcoming product innovations. I strongly recommend Applied Derivatives for anyone who is interested in pursuing a career in financial risk management." Stanley J. Kon, Smith Breeden Associates, Inc. "Rendleman has written an excellent text. The concepts are clearly presented in a systematic way, often using novel approaches that are communicated without the need of advanced mathematics. The reader will come away, not only with a firm practical understanding of derivative markets, but also with a solid grounding in the theory which will be extremely helpful in keeping up with ongoing developments in this rapidly evolving field." Peter Ritchken, Weatherhead School of Management "For teachers, traders, and risk managers interested in intuition and applications, Rendleman's book Applied Derivatives is an excellent choice." Robert Geske, UCLA


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Product Details
  • ISBN-13: 9780631215899
  • Publisher: John Wiley and Sons Ltd
  • Publisher Imprint: Blackwell Publishers
  • Height: 229 mm
  • Returnable: N
  • Weight: 684 gr
  • ISBN-10: 0631215891
  • Publisher Date: 11 Jan 2002
  • Binding: Hardback
  • Language: English
  • Sub Title: Options, Futures and Swaps
  • Width: 152 mm


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