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Financial Derivatives. Pricing and Risk Management. Robert W. Kolb Series

  • ID: 2241742
  • Book
  • 624 Pages
  • John Wiley and Sons Ltd
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The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance, and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Financial Derivatives aims to provide a comprehensive understanding of financial derivatives and how you can prudently use them within the context of your underlying business activities.

For the public at large, financial derivatives have long been the most mysterious and least understood of all financial instruments. Through in–depth insights gleaned from years of financial experience, the contributors in this collection clearly explain what derivatives are without getting bogged down by the mathematics surrounding their pricing and valuation.

Financial Derivatives offers a broad overview of the different types of derivatives futures, options, swaps, and structured products while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with in–depth analysis and examples, Financial Derivatives offers readers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products.

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Introduction xxii

Acknowledgments xxiv

PART I Overview of Financial Derivatives 1

1 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3
G. D. Koppenhaver

2 The Derivatives Marketplace: Exchanges and the Over–the–Counter Market 21
Sharon Brown–Hruska

3 Speculation and Hedging 43
Greg Kuserk

4 The Social Functions of Financial Derivatives 57
Christopher L. Culp

PART II Types of Financial Derivatives 73

5 Agricultural and Metallurgical Derivatives: Pricing 77
Joan C. Junkus

6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89
Joan C. Junkus

7 Equity Derivatives 103
Jeffrey H. Harris and L. Mick Swartz

8 Foreign Exchange Derivatives 115
Robert W. Kolb

9 Energy Derivatives 125
Craig Pirrong

10 Interest Rate Derivatives 135
Ian Lang

11 Exotic Options 143
Robert W. Kolb

12 Event Derivatives 157
Justin Wolfers and Eric Zitzewitz

13 Credit Default Swaps 177
Steven Todd

14 Structured Credit Products 199
Steven Todd

15 Executive Stock Options 211
Robert W. Kolb

16 Emerging Derivative Instruments 221
Steve Swidler

PART III The Structure of Derivatives Markets and Institutions 231

17 The Development and Current State of Derivatives Markets 233
Michael A. Penick

18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249
James L. Carley

19 Clearing and Settlement 263
James T. Moser and David Reiffen

20 Counterparty Credit Risk 283
James Overdahl

21 The Regulation of U.S. Commodity Futures and Options 295
Walter L. Lukken

22 Accounting for Financial Derivatives 305
Ira G. Kawaller

23 Derivative Scandals and Disasters 313
John E. Marthinsen

PART IV Pricing of Derivatives: Essential Concepts 333

24 No–Arbitrage Pricing 335
Robert A. Strong

25 The Pricing of Forward and Futures Contracts 351
David Dubofsky

26 The Black–Scholes Option Pricing Model 371
A. G. Malliaris

27 The Black–Scholes Legacy: Closed–Form Option PricingModels 387
António Câmara

28 The Pricing and Valuation of Swaps 405
Gerald Gay and Anand Venkateswaran

PART V Advanced Pricing Techniques 423

29 Monte Carlo Techniques in Pricing and Using Derivatives 425
Cara M. Marshall

30 Valuing Derivatives Using Finite Difference Methods 441
Craig Pirrong

31 Stochastic Processes and Models 455
George Chalamandaris and A. G. Malliaris

32 Measuring and Hedging Option Price Sensitivities 477
R. Brian Balyeat

PART VI Using Financial Derivatives 501

33 Option Strategies 503
Stewart Mayhew

34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525
John F. Marshall and Cara M. Marshall

35 Hedge Funds and Financial Derivatives 541
Tom Nohel

36 Real Options and Applications in Corporate Finance 559
Betty Simkins and Kris Kemper

37 Using Derivatives to Manage Interest Rate Risk 575
Steven L. Byers

Index 591

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Robert W. Kolb
James A. Overdahl
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