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

Hardcover (Print)
Buy New
Buy New from BN.com
$128.41
Used and New from Other Sellers
Used and New from Other Sellers
from $100.60
Usually ships in 1-2 business days
(Save 42%)
Other sellers (Hardcover)
  • All (10) from $100.60   
  • New (7) from $100.60   
  • Used (3) from $103.54   

Overview

Praise for Derivatives

"This book is the culmination of twenty years of experience teaching and consulting in the area of futures and options. You will find in it the combination of recent theoretical developments and Bob's intimate practical knowledge of derivative markets."
Bernard Dumas, Rothschild Professor of Banking, Professor of Finance, INSEAD

"This is the definitive work on derivatives. It is a comprehensive treatment of the theory, practice, and institutional detail of derivatives; excellent both as a learning tool and as a reference work. Rare for such a work, it is also fun to read."
T. Eric Kilcollin, Managing Member, Sanborn Kilcollin Partners, LLC former president and CEO, Chicago Mercantile Exchange

"A definitive book by one of the great teachers of derivatives and risk management. It is thoughtful and comprehensive, yet accessible to both students and practitioners of finance. Derivatives fills a glaring lacuna and should be required reading for those serious about derivatives and risk management."
Campbell R. Harvey, J. Paul Sticht Professor of International Business Fuqua School of Business, Duke University

"An all-encompassing presentation of the world of derivatives, Bob's book promises to illuminate the subject for the theoretician and practitioner alike. Few other books on the subject are as comprehensive—and as comprehensible. It clearly demonstrates why he is widely recognized as the definitive expert on derivative instruments."
Joe Levin, Vice President, Research and Product Development Chicago Board Options Exchange

"Bob Whaley's new derivatives book is accessible and innovative. Students, professors, and practitioners will benefit from Bob's concise, well-organized, and logical presentation. The book's many illustrative numeric examples support and extend the reader's understanding of complex issues."
Dwight Grant, Professor of Global Finance, Thunderbird The Garvin School of International Management

Read More Show Less

Product Details

  • ISBN-13: 9780471786320
  • Publisher: Wiley
  • Publication date: 9/29/2006
  • Series: Wiley Finance Series , #345
  • Edition description: BK&CD-ROM
  • Edition number: 1
  • Pages: 960
  • Product dimensions: 7.40 (w) x 10.04 (h) x 1.95 (d)

Meet the Author

Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaley's research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific-Basin Finance Journal, and Advances in Futures and Options Research.

Read More Show Less

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

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)