Practical Readings in Financial Derivatives

Two central themes govern the content--the pricing of financial derivatives and their practical application in risk management.

Robert W. Kolb has 17 years' experience teaching finance at university level. A prolific writer of scholarly publications, he has published 50 journal articles and over 20 textbooks in the area of finance. His principal areas of research interest are financial derivatives, investments, and bond portfolios.

Preface

vii

I Instruments and Pricing

3

(152)

Introduction

3

(4)

A Futures and Forwards

7

(20)

1 Determining the Relevant Fair Value(s) of S&P 500 Futures: A Case Study Approach

9

(9)

Ira G. Kawaller

2 Cash-and-carry Trading and the Pricing of Treasury Bill Futures

18

(9)

Ira G. Kawaller

Timothy W. Koch

B Options

27

(12)

3 How to Use the Holes in Black-Scholes

29

(10)

Fischer Black

C Swaps

39

(72)

4 Beyond Plain Vanilla: A Taxonomy of Swaps

41

(24)

Peter A. Abken

5 The Pricing of Interest Rate Swaps

65

(20)

John F. Marshall

Kenneth R. Kapner

6 Over-the-counter Interest Rate Derivatives

85

(26)

Anatoli Kuprianov

D Exotics

111

(44)

7 Path-dependent Options

113

(8)

William C. Hunter

David W. Stowe

8 Path-dependent Options: Valuation and Applications

121

(17)

William C. Hunter

David W. Stowe

9 An Introduction to Special-purpose Derivatives: Path-dependent Options

138

(17)

Gary Gastineau

II Risk Management Applications

155

(201)

Introduction

155

(4)

A Overview

159

(32)

10 Managing Financial Risk

161

(30)

Clifford W. Smith, Jr.

Charles W. Smithson

D. Sykes Wilford

B Debt Markets

191

(38)

11 Improving Hedging Performance Using Interest Rate Futures

193

(12)

Robert W. Kolb

Raymond Chiang

12 Immunizing Bond Portfolios with Interest Rate Futures

205

(15)

Robert W. Kolb

Gerald D. Gay

13 Interest Rate Swaps versus Eurodollar Strips

220

(9)

Ira G. Kawaller

C Equity Markets

229

(64)

14 The Mechanics of Portfolio Insurance

231

(14)

Thomas J. O'Brien

15 Alternative Paths to Portfolio Insurance

245

(14)

Mark Rubinstein

16 The October Crash: Some Evidence on the Cascade Theory

259

(20)

G.J. Santoni

17 Portfolio Insurance and the Market Crash

279

(14)

Mark Rubinstein

D Over-the-counter Markets

293

(63)

18 The Role of Interest Rate Swaps in Corporate Finance

295

(17)

Anatoli Kuprianov

19 A Tale of Two Bond Swaps

312

(13)

Andrew Kalotay

Bruce Tuckman

20 Over-the-counter Financial Derivatives: Risky Business?

325

(31)

Peter A. Abken

Sources

356

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Practical Readings in Financial Derivatives

Summary

Author Biography

Table of Contents

Supplemental Materials

FREE SHIPPING

Rent More, Save More! Use code: BBRENTAL

5% off 1 book, 7% off 2 books, 10% off 3+ books

Practical Readings in Financial Derivatives

Summary

Author Biography

Table of Contents

Supplemental Materials

Digital License