Practical Readings in Financial Derivatives / Edition 1

Practical Readings in Financial Derivatives / Edition 1

by Robert W. Kolb, Kolb
     
 

ISBN-10: 1577180844

ISBN-13: 9781577180845

Pub. Date: 02/12/1998

Publisher: Wiley

Two central themes govern the content—the pricing of financial derivatives and their practical application in risk management.  See more details below

Overview

Two central themes govern the content—the pricing of financial derivatives and their practical application in risk management.

Product Details

ISBN-13:
9781577180845
Publisher:
Wiley
Publication date:
02/12/1998
Edition description:
New Edition
Pages:
366
Product dimensions:
6.89(w) x 9.70(h) x 0.79(d)

Table of Contents

Part I: Instruments and Pricing:.

Futures and Forwards:.

1. Determining the Relevant Fair Value(s) of S & P 500 Futures: A Case Study Approach: Ira G. Kawaller.

2. Cash-and-Carry Trading and the Pricing of Treasury Bill Futures: Ira G. Kawaller and Timothy W. Koch.

Options:.

3. How to Use the Holes in Black and Scholes: Fischer Black.

Swaps:.

4. Beyond Plain Vanilla: A Taxonomy of Swaps: Peter A. Abken.

5. The Pricing of Interest Rate Swaps: John F. Marshall and Kenneth R. Kapner. 6. Over-the-Counter Interest Rate Derivatives: Anatoli Kuprianov.

Exotics:.

7. Path-Dependent Options: William C. Hunter and David W. Stowe.

8. Path-Dependent Options: Valuation and Applications: William C. Hunter and David W. Stowe.

9. An Introduction to Special-Purpose Derivatives: Path-Dependent Options: Gary Gastineau.

Part II: Risk Management Applications:.

Overview:.

10. Managing Financial Risk: Clifford W. Smith, Jr. Charles W. Smithson, and D. Sykes Wilford.

Debt Markets:.

11. Improving Hedging Performance Using Interest Rate Futures: Robert W. Kolb and Raymond Chiang.

12. Immunizing Bond Portfolios with Interest Rate Futures: Robert W. Kolb and Gerald D. Gay.

13. Interest Rate Swaps versus Eurodollar Strips: Ira G. Kawaller.

Equity Markets:.

14. The Mechanics of Portfolio Insurance: Thomas J. O'Brien.

15. Alternative Paths to Portfolio Insurance: Mark Rubinstein.

16. The October Crash: Some Evidence on the Cascade Theory: G. J. Santoni.

17. Portfolio Insurance and the Market Crash: Mark Rubinstein.

Over-the-Counter Markets:.

18. The Role of Interest Rate Swaps in Corporate Finance: Anatoli Kuprianov.

19. A Tale of Two Bond Swaps: Andrew Kalotay and Bruce Tuckman.

20. Over-the-Counter Financial Derivatives: Risky Business?: Peter A. Abken.

Preface.

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