Derivatives
by Sundaram, Rangarajan; Das, SanjivEdition: 2nd
Format: Hardcover
Pub. Date: 2015-01-19
Publisher(s): McGraw Hill
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Summary
Derivatives makes a special effort throughout the text to explain what lies behind the formal mathematics of pricing and hedging. Questions ranging from ‘how are forward prices determined?’ to ‘why does the Black-Scholes formula have the form it does?’ are answered throughout the text. The authors use verbal and pictorial expositions, and sometimes simple mathematical models, to explain underlying principles before proceeding to formal analysis. Extensive uses of numerical examples for illustrative purposes are used throughout to supplement the intuitive and formal presentations.
Table of Contents
Chapter 1: IntroductionPart 1: Futures and ForwardsChapter 2: Futures MarketsChapter 3: Pricing Forwards and Futures I: The Basic TheoryChapter 4: Pricing Forwards and Futures IIChapter 5: Hedging with Futures & ForwardsChapter 6: Interest-Rate Forwards & FuturesPart II: Equity DerivativesChapter 7: Options MarketsChapter 8: Options: Payoffs & Trading StrategiesChapter 9: No-Arbitrage Restrictions on Option PricesChapter 10: Early Exercise and Put-Call ParityChapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 2: Futures MarketsChapter 3: Pricing Forwards and Futures I: The Basic TheoryChapter 4: Pricing Forwards and Futures IIChapter 5: Hedging with Futures & ForwardsChapter 6: Interest-Rate Forwards & FuturesPart II: Equity DerivativesChapter 7: Options MarketsChapter 8: Options: Payoffs & Trading StrategiesChapter 9: No-Arbitrage Restrictions on Option PricesChapter 10: Early Exercise and Put-Call ParityChapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 4: Pricing Forwards and Futures IIChapter 5: Hedging with Futures & ForwardsChapter 6: Interest-Rate Forwards & FuturesPart II: Equity DerivativesChapter 7: Options MarketsChapter 8: Options: Payoffs & Trading StrategiesChapter 9: No-Arbitrage Restrictions on Option PricesChapter 10: Early Exercise and Put-Call ParityChapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 6: Interest-Rate Forwards & FuturesPart II: Equity DerivativesChapter 7: Options MarketsChapter 8: Options: Payoffs & Trading StrategiesChapter 9: No-Arbitrage Restrictions on Option PricesChapter 10: Early Exercise and Put-Call ParityChapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 7: Options MarketsChapter 8: Options: Payoffs & Trading StrategiesChapter 9: No-Arbitrage Restrictions on Option PricesChapter 10: Early Exercise and Put-Call ParityChapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 9: No-Arbitrage Restrictions on Option PricesChapter 10: Early Exercise and Put-Call ParityChapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 11: Option Pricing: An IntroductionChapter 12: Binomial Option PricingChapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 13: Implementing the Binomial ModelChapter 14: The Black-Scholes ModelChapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 15: The Mathematics of Black-ScholesChapter 16: Options Modeling: Beyond Black-ScholesChapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 17: Sensitivity Analysis: The Option “Greeks”Chapter 18: Exotic Options I: Path-Independent OptionsChapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 19: Exotic Options II: Path-Dependent OptionsChapter 20: Value-at-RiskChapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 21: Convertible BondsChapter 22: Real OptionsPart III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Part III: SwapsChapter 23: Interest-Rate Swaps and Floating Rate ProductsChapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 24: Equity SwapsChapter 25: Currency SwapsPart IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Part IV: Interest Rate ModelingChapter 26: The Term Structure of Interest Rates: ConceptsChapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 27: Estimating the Yield CurveChapter 28: Modeling Term Structure MovementsChapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 29: Factor Models of the Term StructureChapter 30: The Heath-Jarrow-Morton and Libor Market ModelsPart V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Part V: Credit Derivative ProductsChapter 31: Credit Derivative ProductsChapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 32: Structural Models of Default RiskChapter 33: Reduced Form Models of Default RiskChapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 34: Modeling Correlated DefaultPart VI: ComputationChapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 35: Derivative Pricing with Finite DifferencingChapter 36: Derivative Pricing with Monte Carol SimulationChapter 37: Using Octave
Chapter 37: Using Octave
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