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Derivatives

Course Codes : BFF5915

Derivatives

ISBN 9780078034732
Edition 2
Publication Date
Publisher Mcgraw Hill
Author(s)
Overview
Chapter 1: Introduction

Part 1: Futures and Forwards Chapter 2: Futures Markets Chapter 3: Pricing Forwards and Futures I: The Basic Theory Chapter 4: Pricing Forwards and Futures II Chapter 5: Hedging with Futures & Forwards Chapter 6: Interest-Rate Forwards & Futures

Part II: Equity Derivatives Chapter 7: Options Markets Chapter 8: Options: Payoffs & Trading Strategies Chapter 9: No-Arbitrage Restrictions on Option Prices Chapter 10: Early Exercise and Put-Call Parity Chapter 11: Option Pricing: An Introduction Chapter 12: Binomial Option Pricing Chapter 13: Implementing the Binomial Model Chapter 14: The Black-Scholes Model Chapter 15: The Mathematics of Black-Scholes Chapter 16: Options Modeling: Beyond Black-Scholes Chapter 17: Sensitivity Analysis: The Option “Greeks” Chapter 18: Exotic Options I: Path-Independent Options Chapter 19: Exotic Options II: Path-Dependent Options Chapter 20: Value-at-Risk Chapter 21: Convertible Bonds Chapter 22: Real Options

Part III: Swaps Chapter 23: Interest-Rate Swaps and Floating Rate Products Chapter 24: Equity Swaps Chapter 25: Currency Swaps

Part IV: Interest Rate Modeling Chapter 26: The Term Structure of Interest Rates: Concepts Chapter 27: Estimating the Yield Curve Chapter 28: Modeling Term Structure Movements Chapter 29: Factor Models of the Term Structure Chapter 30: The Heath-Jarrow-Morton and Libor Market Models

Part V: Credit Derivative Products Chapter 31: Credit Derivative Products Chapter 32: Structural Models of Default Risk Chapter 33: Reduced Form Models of Default Risk Chapter 34: Modeling Correlated Default

Part VI: Computation Chapter 35: Derivative Pricing with Finite Differencing Chapter 36: Derivative Pricing with Monte Carol Simulation Chapter 37: Using Octave

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