Derivative Products and Pricing. The Das Swaps and Financial Derivatives Library. 3rd Edition Revised. Wiley Finance

  • ID: 2213771
  • Book
  • 872 Pages
  • John Wiley and Sons Ltd
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Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over–the–counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.

ROLE AND FUNCTION OF DERIVATIVES.

1. Financial Derivatives Building Blocks  Forward & Option Contracts.

DERIVATIVE INSTRUMENTS.

2. Exchange–Traded Products  Futures & Options On Futures Contracts.

3. Over–The–Counter Products  FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options.

PRICING & VALUING DERIVATIVE INSTRUMENTS.

4. Derivatives Pricing Framework.

5. Interest Rates & Yield Curves.

6. Pricing Forward & Futures Contracts.

7. Option Pricing.

8. Interest Rate Options Pricing.

9. Estimating Volatility & Correlation.

10. Pricing Interest Rate & Currency Swaps.

11. Swap Spreads.

DERIVATIVE TRADING & PORTFOLIO MANAGEMENT.

12. Derivatives Trading & Portfolio Management.

13. Hedging Interest Rate Risk  Individual Instruments.

14. Hedging Interest Rate Risk  Portfolios.

15. Measuring Option Price Sensitivities  The Greek Alphabet of Risk.

16. Delta Hedging/Management of Option Portfolios.

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Introduction.

ROLE AND FUNCTION OF DERIVATIVES.

1. Financial Derivatives Building Blocks  Forward & Option Contracts.

DERIVATIVE INSTRUMENTS.

2. Exchange–Traded Products Futures & Options On Futures Contracts.

3. Over–The–Counter Products FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options.

PRICING & VALUING DERIVATIVE INSTRUMENTS.

4. Derivatives Pricing Framework.

5. Interest Rates & Yield Curves.

6. Pricing Forward & Futures Contracts.

7. Option Pricing.

8. Interest Rate Options Pricing.

9. Estimating Volatility & Correlation.

10. Pricing Interest Rate & Currency Swaps.

11. Swap Spreads.

DERIVATIVE TRADING & PORTFOLIO MANAGEMENT.

12. Derivatives Trading & Portfolio Management.

13. Hedging Interest Rate Risk Individual Instruments.

14. Hedging Interest Rate Risk Portfolios.

15. Measuring Option Price Sensitivities The Greek Alphabet of Risk.

16. Delta Hedging/Management of Option Portfolios.

Index.

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Satyajit Das
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