Introduction to Derivatives: Options, Futures, and Swaps / Edition 1

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Overview

Since the 1970s, the U.S. economy has experienced relatively sharp swings in stock prices, interest rates, and exchange rates, which has increased the exposure of many debt, equity, and currency positions to market risk. Faced with this risk, many institutional investors have increased their use of futures, option contracts, and other derivative securities.

Introduction to Derivatives: Options, Futures, and Swaps provides a thorough explanation of derivatives from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and pricing models.

Including more than 300 end-of-chapter problems and web exercises at the end of most chapters, Derivatives is ideal for advanced undergraduate, MBA, and MS courses in finance, and serves as an excellent reference for professionals in equity and debt management.

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Product Details

  • ISBN-13: 9780195301656
  • Publisher: Oxford University Press, USA
  • Publication date: 6/23/2008
  • Edition description: New Edition
  • Edition number: 1
  • Pages: 816
  • Product dimensions: 7.90 (w) x 10.10 (h) x 1.30 (d)

Meet the Author

R. Stafford Johnson is Professor of Finance in the William College of Business at Xavier University. He has authored or co-authored over 50 journal articles in finance and economics.

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Table of Contents

List of Exhibits
List of Figures
List of Tables
Preface
PART I: OPTION STRATEGIES AND MARKETS
1: Option Concepts and Fundamental Strategies
2: The Option Market
3: Option Strategies
PART II: OPTION PRICING
4: Fundamental Option Price Relations
5: The Binomial Option Pricing Model
6: The Binomial Pricing of Options on Dividend-Paying Stocks and Stock Indices
7: The Binomial Pricing of Options on Currencies and Bonds
8: The Black Scholes Option Pricing Model
9: Applications of the Option Pricing Model, The Greeks, and Exotic Options
PART III: FUTURES AND FUTURES OPTION CONTRACTS
10: Futures and Forward Contracts
11: Pricing Futures and Forward Contracts
12: Options on Futures Contracts
PART IV: MANAGING EQUITY, CURRENCY, AND DEBT POSITIONS WITH DERIVATIVES
13: Managing Equity Positions with Stock Index Derivatives
14: Managing Foreign Currency Positions with Derivatives
15: Managing Fixed-Income Positions with Interest-Rate Derivatives
16: Managing Fixed-Income Positions with OTC Derivatives
PART IV: SWAPS
17: Interest Rate Swaps
18: Swap Derivatives: Forward Swaps and Swaptions
19: Swap Valuation
20: Currency and Credit Swaps
PART V: EMBEDDED OPTIONS AND ASSET-BACKED SECURITIES
21: Embedded Options
22: Mortgage and Asset-Backed Securities and Their Derivatives
APPENDIX A: Exponents and Logarithms
APPENDIX B: Statistical Concepts
APPENDIX C: Bond Fundamentals
APPENDIX D: Guide to Derivative Excel Programs
APPENDIX E: Guide to Bloomberg's Derivative Information and Programs
ANSWERS TO SELECTED END-OF-THE- PROBLEMS
GLOSSERY OF TERMS
Index

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