Derivatives: Markets, Valuation, and Risk Management / Edition 1

Derivatives: Markets, Valuation, and Risk Management / Edition 1

by Robert E. Whaley
     
 

Derivatives markets continue to grow at a rapid rate, with thousands of new products or product variations being introduced every year. In order to make sense of this dynamic environment you need a firm understanding of derivative contract valuation and risk management as well as the structure of the markets within which they trade.

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Overview

Derivatives markets continue to grow at a rapid rate, with thousands of new products or product variations being introduced every year. In order to make sense of this dynamic environment you need a firm understanding of derivative contract valuation and risk management as well as the structure of the markets within which they trade.

Author Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives will show you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.

  • Part One provides a broad overview of derivative contracts and the markets within which they trade
  • Part Two reviews the basic principles of security valuation and helps prepare you for the upcoming discussion of derivative contract valuation and risk measurement
  • Part Three focuses on the valuation of forward contracts and the risk management strategies associated with them
  • Part Four focuses on the valuation of option contracts and the risk management strategies associated with them

With a general valuation/risk measurement framework in hand, you'll then be introduced to derivative contracts in specific asset categories. The remaining parts (5–9) of this comprehensive guide are arranged by the nature of the asset underlying the derivatives contract—stocks are discussed first, then stock indexes, currencies, interest rates or bonds, and finally, commodities. In each part, Whaley provides a flavor of the history of each derivatives market. He also examines any contract idiosyncrasies that may affect valuation principles and explores specific risk management strategies/practices as they apply to the markets for particular asset categories.

Derivatives can be used to manage the different types of risks faced by individuals, corporations, and governments. But to effectively implement them takes discipline. Filled with in-depth insights, practical advice, and a companion website that features OPTVAL Excel add-ins and spreadsheets, Derivatives offers valuable guidance on applying this key financial tool to a variety of real-world situations.

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Product Details

ISBN-13:
9780471786320
Publisher:
Wiley
Publication date:
09/29/2006
Series:
Wiley Finance Series, #345
Edition description:
BK&CD-ROM
Pages:
960
Product dimensions:
7.40(w) x 10.04(h) x 1.95(d)

Table of Contents

Preface ix

Acknowledgments xxv

About the Author xxvii

PART ONE: Derivative Markets 1

CHAPTER 1: Derivative Contracts and Markets 3

PART TWO: Fundamentals of Valuation 49

CHAPTER 2: Assumptions and Interest Rate Mechanics 51

CHAPTER 3: Relation between Return and Risk 89

PART THREE: Forwards/Futures/Swap Valuation 119

CHAPTER 4: No-Arbitrage Price Relations: Forwards, Futures, Swaps 121

CHAPTER 5: Risk Management Strategies: Futures 143

PART FOUR: Option Valuation 173

CHAPTER 6: No-Arbitrage Price Relations: Options 175

CHAPTER 7: Valuing Standard Options Analytically 201

CHAPTER 8: Valuing Nonstandard Options Analytically 261

CHAPTER 9: Valuing Options Numerically 303

CHAPTER 10: Risk Management Strategies: Options 347

PART FIVE: Stock Derivatives 381

CHAPTER 11: Stock Products 383

CHAPTER 12: Corporate Securities 419

CHAPTER 13: Compensation Agreements 451

PART SIX: Stock Index Derivatives 467

CHAPTER 14: Stock Index Products: Futures and Options 469

CHAPTER 15: Stock Index Products: Strategy Based 517

PART SEVEN: Currency Derivatives 563

CHAPTER 16: Currency Products 565

PART EIGHT: Interest Rate Derivatives 601

CHAPTER 17: Interest Rate Products: Futures and Options 603

CHAPTER 18: Interest Rate Products: Swaps 637

CHAPTER 19: Credit Products 679

CHAPTER 20: Valuing Interest Rate Products Numerically 705

PART NINE: Commodity Derivatives 729

CHAPTER 21: Commodity Products 731

PART TEN: Lessons Learned 771

CHAPTER 22: Key Lessons 773

APPENDICES

A. Elementary Statistics 779

B. Regression Analysis 821

C. Statistical Tables 861

D. Glossary 869

INDEX 897

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