Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, And Credit Default Swaps

by George Michael Constantinides

Overview

Derivatives markets are an important and growing segment of financial markets and play an important role in the management of risk.This invaluable set of lecture notes is meant to be used in conjunction with a standard textbook on derivatives in an advanced undergraduate or MBA elective course on futures, forwards, swaps, options, corporate securities, and credit default swaps. It covers the foundations of derivatives pricing in arbitrage-free markets, develops the methodology of risk-neutral valuation, and discusses hedging and the management of risk.

Product Details

ISBN-13:	9789814618427
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	02/24/2015
Series:	World Scientific Lecture Notes In Economics , #1
Pages:	232
Product dimensions:	5.90(w) x 8.90(h) x 0.70(d)

Table of Contents

About the Author ix

Preface xi

Chapter 1 Introduction to Forward and Futures Contracts 1

Chapter 2 Pricing Forwards and Futures 13

Chapter 3 Interest Rate and Currency Swaps 39

Chapter 4 Introduction to Options and No-Arbitrage Restrictions 61

Chapter 5 Trading Strategies and Slope and Convexity Restrictions 81

Chapter 6 Optimal Early Exercise of American Options 95

Chapter 7 Binomial Option Pricing 107

Chapter 8 Using the Binomial Model 123

Chapter 9 The Black-Scholes-Merton Option Pricing Formula 139

Chapter 10 Options on Futures 151

Chapter 11 Risk Management 161

Chapter 12 Empirical Evidence and Fixes 179

Chapter 13 Corporate Securities and Credit Risk 197