Financial Derivatives: Pricing and Risk Management / Edition 1

Hardcover (Print)
Buy New
Buy New from BN.com
$56.69
Used and New from Other Sellers
Used and New from Other Sellers
from $28.42
Usually ships in 1-2 business days
(Save 70%)
Other sellers (Hardcover)
  • All (13) from $28.42   
  • New (9) from $55.29   
  • Used (4) from $28.42   

Overview

Financial Derivatives

Pricing and Risk Management

Robert W. Kolb, James A. Overdahl, Editors

Kolb Series in Finance

Essential Perspectives

Financial Derivatives

The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance, and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Financial Derivatives aims to provide a comprehensive understanding of financial derivatives and how you can prudently use them within the context of your underlying business activities.

For the public at large, financial derivatives have long been the most mysterious and least understood of all financial instruments. Through in-depth insights gleaned from years of financial experience, the contributors in this collection clearly explain what derivatives are without getting bogged down by the mathematics surrounding their pricing and valuation.

Financial Derivatives offers a broad overview of the different types of derivatives—futures, options, swaps, and structured products—while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with in-depth analysis and examples, Financial Derivatives offers readers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products.

Financial Derivatives provides a thorough introduction to financial derivatives and their importance to risk management in the corporate setting. The book has two principal goals: to offer a broad overview of the different types of financial derivatives while focusing on the principals that determine market prices, and to present financial derivatives as a tool for risk management in a corporate setting rather than as instruments of speculation.

Read More Show Less

Product Details

  • ISBN-13: 9780470499108
  • Publisher: Wiley
  • Publication date: 11/2/2009
  • Series: Robert W. Kolb Series , #5
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 600
  • Sales rank: 1,084,032
  • Product dimensions: 7.30 (w) x 10.00 (h) x 2.00 (d)

Meet the Author

Robert W. Kolb is the Frank W. Considine Chair of Applied Ethics and Professor of Finance at Loyola University Chicago. Before this, he was the assistant dean, Business and Society, and director, Center for Business and Society, at the University of Colorado at Boulder, and department chairman at the University of Miami. Kolb has authored over twenty books on finance, derivatives, and futures, as well as numerous articles in leading finance journals.

James A. Overdahl, a specialist in financial derivatives, is the Chief Economist of the United States Securities and Exchange Commission. He had previously served as chief economist of the Commodity Futures Trading Commission and has nearly two decades of experience in senior positions at various federal financial regulatory agencies. He has taught economics and finance at the University of Texas at Dallas, Georgetown University, Johns Hopkins University, and George Washington University. Overdahl earned his PhD in economics from Iowa State University.

Read More Show Less

Table of Contents

Part I: Overview of Financial Derivatives.

Chapter One: Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products.

Introduction.

A Generalist's Approach to Derivative Contracts.

Structured Products and an Application to Derivative Contracts.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Two: The Derivatives Marketplace: Exchanges and the Over-the-Counter Market.

Introduction.

Standardization vs. Customized Products: Differences in Structure and Approach.

Competition and Consolidation: Impetus for Change.

Moving from Bilateral to Multilateral Risk Management.

Transparency and Information in the Exchange and OTC Marketplaces.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Three: Speculation and Hedging.

Hedging Transactions.

Speculation.

From Hedging to Speculation.

The Interaction between Hedgers and Speculators.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Four: The Social Functions of Financial Derivatives.

Hedging and Risk Transfer.

Price Discovery.

Intertemporal Resource Allocation.

Asset Finance.

Synthetic Asset Allocation.

Endnotes.

References.

About the Author.

Part II: Types of Financial Derivatives.

Chapter Five: Agricultural and Metallurgical Derivatives: Pricing.

Introduction.

Commodities.

Seasonality in Spot and Futures Prices.

Futures Pricing.

Conclusion.

References.

Suggested Further Reading.

About the Author.

Chapter Six: Agricultural and Metallurgical Derivatives: Speculation and Hedging.

Introduction.

Commodities.

Derivatives.

Commodity Investment Strategies.

Hedging.

Spreads.

Conclusion.

References.

Suggested Further Reading.

About the Author.

Chapter Seven: Equity Derivatives.

Introduction.

Stock Options.

Equity Futures.

Equity Swaps.

The Future of Equity Derivatives.

References.

About the Authors.

Chapter Eight: Foreign Exchange Derivatives.

Basic Pricing Principles.

Foreign Exchange Forward and Futures Contracts.

Foreign Exchange Options.

FX Option Pricing.

Plain Vanilla Foreign Exchange Swaps.

Flavored Currency Swaps.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Nine: Energy Derivatives.

Introduction.

Products: An Overview.

History.

Petroleum Derivatives: Details.

Natural Gas Derivatives: Details.

Electricity Derivatives: Details.

Pricing.

Clearing.

Recent Developments.

References.

About the Author.

Chapter Ten: Interest Rate Derivatives.

Exchange Traded (Listed) Derivatives.

Over the Counter Derivatives.

Further Reading.

About the Author.

Chapter Eleven: Exotic Options.

Overview.

Forward-Start Options.

Compound Options.

Chooser Options.

Barrier Options.

Binary Options.

Lookback Options.

Asian or Average Price Options.

Exchange Options.

Rainbow Options.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Twelve: Event Derivatives.

Types of Prediction Markets.

Applications and Evidence.

Accuracy of Prediction Markets.

Possibilities for Arbitrage.

Can Event Markets Be Easily Manipulated?

Market Design.

Making Inferences from Prediction Markets.

Innovative Future Applications?

Acknowledgements.

Endnotes.

References.

About the Author.

Chapter Thirteen: Credit Default Swaps.

Credit Default Swaps on Corporate Debt.

Credit Default Swaps on Asset-Backed Securities.

Credit Default Swaps on Collateralized Debt Obligations.

The Basis.

CDS Indices.

Tranches of CDS Indices.

Trading strategies using indexes and tranches.

Market Dynamics: CDS and CDOs.

Synthetic CDOs and Bespokes.

Correlation.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Fourteen: Structured Credit Products.

ABS.

CDOs.

CMBS.

Endnotes.

References.

About the Author.

Chapter Fifteen: Executive Stock Options.

Introduction.

Basic Features of Executive Stock Options (ESOs).

Conclusion.

Endnotes.

References.

About the Author.

Chapter Sixteen: Emerging Derivative Instruments.

Economic Derivatives.

Real Estate Derivatives.

The Next Frontier.

Endnotes.

References.

Suggested Further Reading.

About the Author.

Part III: The Structure of Derivatives Markets and Institutions.

Chapter Seventeen: The Development and Current State of Derivatives Markets.

Introduction: The Situation in the 1960s.

Financial Futures and Options.

Foreign Markets.

OTC Markets.

Energy Derivatives.

The Rise of Electronic Trading.

Current Conditions: Consolidation and Crisis.

Endnotes.

References.

About the Author.

Chapter Eighteen: Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds.

Intermediaries for Exchange-traded Derivatives.

Intermediaries for OTC Derivatives.

Endnotes.

References.

About the Author.

Chapter Nineteen: Clearing and Settlement.

Introduction.

The Functions of Clearinghouses.

Clearing and Liquidity.

Competition Between Exchanges.

Conclusion.

Endnotes.

References.

About the Authors.

Chapter Twenty: Counterparty Credit Risk.

Measuring Counterparty Credit Risk Exposure.

Managing Counterparty Credit Risk.

Infrastructure Improvements Aimed at Mitigating Counterparty Credit Risk.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Twenty One: The Regulation of U.S. Commodity Futures and Options.

Tiered Regulatory Design.

Statutory Exclusions for Certain OTC Derivatives.

Security Futures Products (SFPs).

Retail Foreign Currency Fraud.

Exempt Commercial Markets.

CFTC Reauthorization Act of 2008.

Future Legislative Reforms.

Endnotes.

About the Author.

Chapter Twenty Two: Accounting for Financial Derivatives.

Alternative Accounting Categories.

Conclusion.

References.

About the Author.

Chapter Twenty Three: Derivative Scandals and Disasters.

Introduction.

Anatomy of Derivative-Related Failures.

Investment Strategies and Exogenous Shocks behind Our Five Derivative Fiascos.

Lessons Learned from Derivative Scandals and Disasters.

Broader Implications of Derivative Scandals and Disasters.

Conclusion.

Acknowledgements.

Endnotes.

References.

Suggested Further Reading.

About the Author.

Part IV: Pricing of Derivatives: Essential Concepts.

Chapter Twenty Four: No-Arbitrage Pricing.

Free Lunches.

The Theory of Put/Call Parity.

The Binomial Option Pricing Model.

Put Pricing in the Presence of Call Options: Further Study.

Binomial Put Pricing.

Binomial Pricing with Asymmetric Branches.

The Effect of Time.

The Effect of Volatility.

Intuition Into Black-Scholes.

Endnotes.

References.

Further Reading.

About the Author.

Chapter Twenty Five: The Pricing of Forward and Futures Contracts.

The cost of carry model.

The Carry Return.

Commodity Futures.

The Convenience Yield.

Delivery Options.

Interest rate futures and forwards: Eurodollar futures and Forward Rate Agreements.

Interest rate futures and forwards: Treasury Bond and Treasury Note futures.

Should futures and forward prices be the same?

The Expectations Model: An alternative theory for the pricing of forwards and futures.

Electricity Forwards and Futures.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Twenty Six: The Black-Scholes Option Pricing Model.

Introduction.

Brief history.

The Black-Scholes Formula.

Assumptions of the Black-Scholes Model.

Discussion of Assumptions.

Itô Process.

An Example.

An Excel Application.

Simple Derivation of Black-Scholes.

A Numerical Example.

The Greeks.

Risk-neutral Pricing.

Conclusion.

References.

About the Author.

Chapter Twenty Seven: The Black-Scholes Legacy: Closed-Form Option Pricing Models.

Introduction.

The Black-Scholes Model.

First Generation of Models (One lognormal underlying).

Second Generation of Models (Two lognormal underlyings).

Third Generation of Models (One non-longnormal underlying).

Fourth Generatino of Models.

Conclusion.

References.

About the Author.

Chapter Twenty Eight: The Pricing and Valuation of Swaps.

Introduction.

A framework for pricing and valuation.

Steps for swap pricing.

Other swaps.

Endnotes.

References.

About the Authors.

Part V: Advanced Pricing Techniques.

Chapter Twenty Nine: Monte Carlo Techniques in Pricing and Using Derivatives.

Monte Carlo Simulation in the Pricing of Derivatives.

Pricing a Classic Black-Scholes Option.

Pricing a Rainbow Option.

Endnotes.

References.

About the Author.

Chapter Thirty: Valuing Derivatives Using Finite Difference Models.

Introduction.

An Overview.

Basic Models.

Higher Dimension Problems.

The Pros and Cons of Finite Difference Models.

Suggested Further Reading.

References.

About the Author.

Chapter Thirty One: Stochastic Processes and Models.

Introduction.

Stochastic Processes.

Basic Elements of Stochastic Calculus.

Binomial Tree – Another Way of Visualizing a Stochastic Process.

Conclusion.

References.

Appendix: Heuristic Derivation of Ito’s Formula.

About the Authors.

Chapter Thirty Two: Measuring and Hedging Option Price Sensitivities.

Delta.

Gamma.

Theta.

Vega.

Rho and Other Option Sensitivities.

Hedging Delta, Gamma, and Vega.

Conclusion.

References.

About the Author.

Part VI: Using Financial Derivatives.

Chapter Thirty Three: Option Strategies.

Building Blocks.

Covered Calls and Protective Puts.

Synthetic Positions.

Bull and Bear Spreads.

Cylinders.

Straddles, Strangles, Strips, and Straps.

Ratio Spreads.

Box Spreads.

Butterflies, Condors, and Seagulls.

Time Strategies.

Multi-Asset Strategies.

References.

About the Author.

Chapter Thirty Four: The Use of Derivatives in Financial Engineering: Hedge Fund Applications.

Queens College The Use of Derivatives in Financial Engineering: Hedge Fund Applications.

Convertible Bond Arbitrage.

Capital Structure Arbitrage.

Endnotes.

References.

About the Authors.

Chapter Thirty Five: Hedge Funds and Financial Derivatives.

Introduction.

A Survey of Derivative Use by Hedge Funds.

Modeling Hedge Fund Risks.

Description of Some Popular Hedge Fund Strategies.

Some Unusual Derivatives Trades Made by Hedge Funds.

Conclusion.

Endnotes.

References.

About the Author.

Chapter Thirty Six: Real Options and Applications in Corporate Finance.

Introduction.

A Brief History of Real Options.

Distinction Between Financial Options and Real Options.

Types of Real Options and Examples in the Energy Industry.

Valuing Real Options.

Conclusion.

Endnotes.

References.

About the Authors.

Chapter Thirty Seven: Using Derivatives to Manage Interest Rate Risk.

Introduction.

Forward-Based Instruments.

Option-Based Instruments.

Conclusion.

Suggested Further Reading.

About the Author.

Read More Show Less

Customer Reviews

Average Rating 5
( 1 )
Rating Distribution

5 Star

(1)

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
Sort by: Showing 1 Customer Reviews
  • Anonymous

    Posted April 22, 2010

    No text was provided for this review.

Sort by: Showing 1 Customer Reviews

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