Futures, Options, and Swaps / Edition 5

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Overview

A new and updated edition of the most readable, comprehensive text available on derivatives markets.


  • Utilizes an even more applied approach than previous editions
  • Provides an excellent balance between introductory and advanced topics
  • Extensively updated to incorporate and explicate development in the field including the areas of electronic trading platforms, globalization of markets, hedge funds, financial scandals involving derivatives, and government regulation
  • Revised to include over 50 text boxes with applied vignettes on topical issues, product profiles, and historical anecdotes
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Product Details

  • ISBN-13: 9781405150491
  • Publisher: Wiley
  • Publication date: 2/28/2007
  • Edition description: Revised
  • Edition number: 5
  • Pages: 840
  • Sales rank: 601,122
  • Product dimensions: 7.70 (w) x 10.00 (h) x 1.65 (d)

Meet the Author

Robert W. Kolb holds the Frank W. Considine Chair in Applied Ethics at Loyola University Chicago. He was formerly Assistant Dean for Business and Society (2003–2006) at the University of Colorado, and John S. and James L. Knight Professor of Finance at the University of Miami. He is author and co-author of numerous texts in finance, including Futures, Options, and Swaps, 5e (with James A. Overdahl, Blackwell, 2007) and Understanding Futures Markets, 6e (with James A. Overdahl, Blackwell, 2006).

James A. Overdahl is Chief Economist at the Commodity Futures Trading Commission in Washington, D.C., and has held senior positions at the Risk Analysis Division at the Office of the Comptroller of the Currency and at the Securities and Exchange Commission. He has been an adjunct professor of finance at Georgetown University, the University of Maryland, George Washington University, and Johns Hopkins University.

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Table of Contents

Preface
1 Introduction 1
2 Futures Markets 13
3 Futures Prices 50
4 Using Futures Markets 97
5 Interest Rate Futures: Introduction 128
6 Interest Rate Futures: Refinements 164
7 Stock Index Futures: Introduction 219
8 Stock Index Futures: Refinements 243
9 Foreign Currency Futures 275
10 The Options Market 309
11 Option Payoffs and Option Strategies 335
12 Bounds on Option Prices 389
13 European Option Pricing 421
14 Option Sensitivities and Option Hedging 467
15 American Option Pricing 507
16 Options on Stock Indexes, Foreign Currency, and Futures 537
17 The Options Approach to Corporate Securities 562
18 Exotic Options 577
19 Interest Rate Options 626
20 The Swaps Market: Introduction 670
21 Swaps: Economic Analysis and Pricing 715
22 Swaps: Applications 762
OPTION! Installation and Tutorial 837
Exercises for OPTION! 848
App. A Summary of Accounting Rules for Derivative Instruments 864
App. B Cumulative Distribution Function for the Standard Normal Random Variable 870
Answers to Selected End-of-Chapter Problems 871
Index 879
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