Applied Math for Derivatives: A Non-Quant Guide to the Valuation and Modeling of Financial Derivatives / Edition 2

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Overview

A handy guide/reference for investors, analysts, and students, Mathematics for Derivatives provides an integrated approach to the valuation of financial derivative instruments for a wide range of asset classes. Featuring a user-friendly format, it was designed to be used as both a step-by-step guide to derivative pricing for beginners, and a handy quick-reference for experienced market practitioners in need of a refresher on the intricacies of a specific instrument. Offering comprehensive coverage of derivative instruments, simple valuation methods, and many detailed examples, this book is sure to be warmly received by professional investors, fund managers, brokers, risk managers, analysts, financial software developers, and all who need a working knowledge of the mathematical techniques used in the derivatives industry.
John Martin (Australia) has worked, taught and published extensively in the areas of treasury, derivatives and financial risk management. He was closely involved in the development of the derivatives industry in Australia in roles varying from market trader, risk manager, regulator and educator. He is a Partner at PricewaterhouseCoopers in Australia.
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Product Details

  • ISBN-13: 9780471479024
  • Publisher: Wiley
  • Publication date: 7/28/2001
  • Edition description: REVISED & UPDATED
  • Edition number: 2
  • Pages: 480
  • Product dimensions: 7.32 (w) x 10.35 (h) x 1.25 (d)

Meet the Author

John Martin is the partner responsible for PricewaterhouseCoopers? Australian/NZ Financial Risk Management practice. He has been extensively involved in the development of the risk management and derivatives industry in Australia and has written numerous publications in the areas of risk management, derivatives, real options, deregulation of the electricity industry and performance measurement. John has undertaken consultancy assignments with major corporations and Government instrumentalities in the Asia Pacific region. John has also been a pioneer in the development and implementation of ?at risk? measurement methodologies for non-financial corporations.Before joining PwC, John has held positions with the Reserve Bank of Australia, Commonwealth Bank, TNT Limited, Sydney Futures Exchange, Oakvale Capital. These roles have varied from economist, derivatives trader, risk manager, quantitative analyst to consultant.John has a Bachelor of Economics with Honors and has held positions as a National Council member of the Finance and Treasury Association, Chair of the Securities Institute Financial Risk Management Masters Program and Lecturer at the University of NSW School of Banking & Finance, Master of Finance Program.
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Table of Contents

Acknowledgments.

Preface.

GETTING STARTED.

Introduction.

Fundamentals of Derivative Valuation.

A Review of Financial Math.

FORWARDS AND FUTURES.

The Role of Forwards Market.

Interest Rate Forwards.

Foreign Exchange Forwards.

Equity Forwards.

SWAPS.

Swap Fundamentals.

Interest Rate Swaps.

Cross Currency Swaps.

Equity Swaps.

OPTIONS.

Option Fundamentals.

Equity Options.

Interest Rate Options.

Currency Options.

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