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Derivatives: Markets, Valuation, and Risk Management


Description: Filled with in-depth insight and practical advice, Derivatives provides readers with a comprehensive understanding of derivatives markets, derivatives valuation, and risk management using derivative contracts. With this book, author Robert Whaley-a leading authority in this field-details the derivatives markets and why and how they have flourished. Chapter by chapter, Whaley provides the underpinnings of derivatives valuation and risk measurement, shows how derivatives can be used effectively in managing risk exposures related to commodities, stocks, stock portfolios, bonds, currencies, interest rates, and credit, and offers readers valuable guidance that cannot be found anywhere else.

This book details the derivatives markets and why and how they flourish. Derivative contracts are incredibly powerful tools for managing expected return and risk. In order to take full advantage of the opportunities they afford, we need to have a thorough understanding of how derivative contracts are valued. Without an understanding of the economic factors that drive valuation, we cannot measure risk accurately, and, if we cannot measure risk accurately, we certainly cannot manage it effectively.

There are 10 chapter sections in this book, along with three appendices. Section I sketches the derivatives landscape. Section II, together with Appendixes A and B, review the basic principles of security valuation. The purpose of this section is to ensure that everyone is on the same page as readers enter the discussions of derivative contract valuation and risk measurement. Sections III and IV focus exclusively on derivatives valuation and risk measurement. These principles are developed in an environment in which the underlying asset is generic. Whaley does this to emphasize the fact that the valuation and risk measurement principles are generally not asset-specificthe valuation equations/methods and risk management strategies for foreign currency derivatives are no different than those used for stock derivatives, stock index derivatives, interest rate derivatives, and commodity derivatives. With the general valuation/risk measurement framework in hand, Whaley then focuses in Sections V through IX on derivative contracts in specific asset categories. Aside from pointing out any asset market idiosyncrasies that may affect valuation, specific risk management strategies/practices, as they apply to the particular asset market, are discussed. Section X attempts to provide a broad perspective on derivatives use, integrating many of the ideas that are developed in the book. The three appendices then cover overviews and contain a glossary of terms.

About the author
Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaleys research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific-Basin Finance Journal, and Advances in Futures and Options Research.




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