Essays in Derivatives / Edition 1

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More About This Textbook


Essays in Derivatives provides detailed coverage of various financial products related to derivatives in seven key areas: derivatives and their markets, the basic instruments, derivative pricing, derivative strategies, exotic instruments, and fixed income securities and derivatives.
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Product Details

  • ISBN-13: 9781883249465
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 8/28/1998
  • Series: Frank J. Fabozzi Series, #42
  • Edition number: 1
  • Pages: 333
  • Product dimensions: 6.08 (w) x 9.04 (h) x 0.77 (d)

Table of Contents



1. The Structure of Derivative Markets.

2. Forward Contracts and Futures Contracts.

3. Options.

4. Swaps.

5. A Brief History of Derivatives.


6. Interest Rate Derivatives: FRAs and Options.

7. Interest Rate Derivatives: Swaps.

8. Currency Swaps.

9. Structured Notes.

10. Mortgage-Backed and Asset-Backed Securities.

11. Equity Swaps.

12. Equity-Linked Debt.

13. Commodity Swaps.

14. American Versus European Options.

15. Swaptions.


16. Put-Call Parity for European Options on Assets.

17. Put-Call Parity for American Options on Assets.

18. Call Options as Insurance and Margin.

19. A Non-Technical Introduction to Brownian Motion.

20. Building a Model of Brownian Motion in the Stock Market.

21. Option Pricing: Black-Scholes Model.

22.Option Pricing: The Biomial Model.

23.Option Pricing: Numerical Methods.

24. Dynamic Option Replication.

25. Risk Neutral Pricing of Derivatives: I.

26. Risk Neutral Pricing of Derivatives: II.

27. It's All Greek to Me.

28. Implied Volatility.

29. American Call Option Pricing.

30. American Put Option Pricing.

31. Swap Pricing.


32. Asset Allocation with Derivatives.

33. Protective Puts and Portfolio Insurance.

34. Misconceptions About Covered Call Writing.

35. Managed Futures.

36. Spreads, Risk Reversals, and Collars.

37. Box Spreads.


38. Barrier Options.

39. Straddles and Chooser Options.

40. Compound and Installment Options.

41. Digital Options.

42. Geographic Options.

43. Multi-Asset Options.

44. Range Forwards.

45. Break Forwards.

46. Lookback Options.

47. Deferred Start and Contingent Premium Options.


48. Duration.

49. Limitations of Duration and the Concept of Convexity.

50. The Term Structure of Interest Rates.

51. Theories of the Term Structure: I.

52. Theories of the Term Structure: II.

53. Simple Models of the Term Structure: Vasicek and Cox-Ingersoll-Ross.

54. No-Arbitage Models of the Term Structure: Ho-Lee and Heath-Jarrow-Morton.

55. Tree Pricing of Bond and Interest Rate Derivatives: I.

56. Tree Pricing of Bond and Interest Rate Derivatives: II.

57. Tree Pricing of Bond and Interest Rate Derivatives: III.

58. Tree Pricing of Bond and Interest Rate Derivatives: IV.

59. Tree Pricing of Bond and Interest Rate Derivatives: V.


60. The Value of Risk Management.

61. Value at Risk.

62. Stock as an Option.

63. Credit Risk in Derivatives.

64. Credit Derivatives.

65. Delivery Options.

66. Accounting for Derivatives.

67. Derivatives Disclosure.

68. Losing Money with Derivatives.

69. The Revolution in Derivatives and Risk Management: A Perspective.

70. The Strange Relationship Between Academics and Practitioner in Derivatives and Risk Management.

Recommended Reading List.

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