책 이미지
책 정보
· 분류 : 외국도서 > 경제경영 > 금융/재정 > 금융공학
· ISBN : 9781119595595
· 쪽수 : 912쪽
· 출판일 : 2019-12-16
목차
About the Authors
About the Companion Site
Preface
Chapter 1. Derivative Securities
1. Forwards and Futures
2. Options
3. Swaps
4. Hedging, Speculation and Arbitrage
5. Short-Selling
6. Summary
Part I: Forwards and Futures
Chapter 2. Futures Markets
1. Trading on Futures Markets
2. Margins and Marking-to-Market
3. Summary
Chapter 3. Forward and Futures Prices
1. Pricing Forward Contracts
2. Dividends, Storage Cost and Convenience Yield
3. Commodity Futures
4. Value of a Forward Contract
5. Summary
Chapter 4. Futures: Hedging and Speculation
1. Hedging Using Futures
2. Cross-Hedge
3. Rolling Hedge
4. Novel Futures Contracts
5. Speculation
6. Summary
Chapter 5. Index Futures
1. Stock Index Futures
2. Index Arbitrage
3. Hedging
4. Tailing the hedge
5. Summary
6. Appendix: Hedge Ratios
Chapter 6. Strategies Using Stock Index Futures
1. Underpriced Stocks
2. Overpriced Stocks
3. Market-neutral Hedge Fund
4. Long-Short Hedge Fund
5. Changing Stock Market Exposure
6. Merger Arbitrage
7. Summary
Appendix I. Stock Picking & Market Risk
Appendix II. Market Timing
Appendix III. Hedging: Long-Short Portfolio
Chapter 7. Currency Forwards and Futures
1. FX-Futures Contracts
2. Pricing FX-Forward Contracts
3. Pricing FX-Futures Contracts
4. Hedging & Speculation: Forwards
5. Hedging & Speculation: Futures
6. Summary
Appendix. Hedging Using FX Futures
Part II: Fixed Income: Cash Markets
Chapter 8. Interest Rates
1. LIBOR, Repos, Fed Funds & OIS Rates
2. Day-Count Conventions
3. Forward Rates
4. Forward Rate Agreements, FRAs
5. Summary
Chapter 9. Bond Markets
1. Prices, Yields and Returns
2. Pricing Coupon-Bonds
3. Summary
Chapter 10. Duration and Convexity
1. Yield Curves
2. Duration & Convexity
3. Summary
4. Appendix: Duration & Convexity
Part III: Fixed-Income Futures Contracts
Chapter 11. Interest rate futures
1. Three-Month Eurodollar Futures Contract
2. Sterling 3-Month Futures Contract
3. T-Bill Futures Contract
4. Futures Price & Forward Rates
5. Pricing Interest Rate Futures
6. Arbitrage: Implied Repo Rate
7. Speculation
8. Spread Trades
9. Summary
10. Appendix: Futures Prices & Interest Rates
Chapter 12. Hedging Using Interest Rate Futures
1. Number of Futures Contracts
2. Different Types of Hedge
3. Hedging: T-Bill & Eurodollar Futures
4. Eurodollar Stack Hedge
5. Summary
6. Appendix: Hedge Ratios
Chapter 13. T-Bond Futures
1. Contract Specifications
2. Conversion Factor & Cheapest to Deliver
3. Hedging using T-Bonds
4. Hedging: Further Issues
5. Market Timing
6. Wild Card Play
7. Pricing T-Bond Futures
8. T-Bond Futures Spreads
9. Summary
Appendix I: Duration & Market Timing
Appendix II: Implied Repo Rate & Arbitrage
Part IV: Options
Chapter 14. Options Markets
1. Market Organisation
2. Call Options
3. Put Options
4. Intrinsic Value & Time Value
5. Summary
Chapter 15. Uses of Options
1. Protective Put
2. Put-Call Parity: European Options
3. Guaranteed Bond
4. Other Options
5. Summary
Chapter 16. Black-Scholes Model
1. Determinants of Options Prices
2. Black-Scholes
3. Are Stocks Less Risky In The Long Run?
4. Delta-Hedging
5. Implied Volatility
6. Summary
7. Appendix I: Price Bounds on European Options
Chapter 17. Option Strategies
1. Synthetic Securities
2. Bull & Bear Spreads
3. Straddle, Strangle, Butterfly & Condor
4. Horizontal (Time, Calendar) Spreads
5. Summary
Chapter 18. Stock Options and Stock Index Options
1. Options on Stocks
2. Stock Index Options, SIO
3. Summary
4. Appendix I: Static Hedge: Index Puts
5. Appendix II: Dynamic Delta-Hedge
Chapter 19. Foreign Currency Options
1. Contract Specifications
2. Speculation
3. Hedging Foreign Currency Exposure
4. Other Currency Options
5. Summary
Chapter 20. Options on Futures
1. Market Conventions
2. Price Bounds on Futures Options
3. Trading Strategies
4. Summary
Part V: Options Pricing
Chapter 21. BOPM: Introduction
1. One-Period BOPM
2. Risk-Neutral Valuation
3. Determinants of Call Premium
4. Pricing a European Put Option
5. Summary
6. Appendix: No-Arbitrage Conditions
Chapter 22. BOPM: Implementation
1. Generalising the BOPM
2. Replication Portfolio
3. BOPM to Black-Scholes
4. Summary
5. Appendix: Delta-Hedging & Arbitrage
Chapter 23. BOPM: Extensions
1. American Options
2. Options on Other Underlying Assets
3. Options on Futures Contracts
4. Options on Dividend-Paying Stocks
5. Summary
6. Appendix: BOPM & Risk-Neutral Valuation
Chapter 24. Analysis of Black Scholes
1. Volatility
2. Testing Black-Scholes
3. Limitations of Black-Scholes
4. Summary
Chapter 25. Pricing European Options
1. European Options: Dividend-Paying Stocks
2. Foreign Currency & Futures Options
3. Put-Call Parity
4. Summary
Chapter 26. Pricing Options: Monte-Carlo Simulation
1. Brownian Motion: Parallel Universe
2. Variance Reduction Methods
3. The Greeks
4. Multiple Stochastic Factors
5. Path-Dependent Options
6. Summary
7. Appendix I: MCS, Several Stochastic Variables
Part VI: The Greeks
Chapter 27. Delta Hedging
1. Delta
2. Dynamic Delta-Hedging
3. Summary
Chapter 28. The Greeks
1. Different Greeks
2. Hedging with the Greeks
3. Greeks and the BOPM
4. Summary
5. Appendix: Black-Scholes & the Greeks
Chapter 29. Portfolio Insurance
1. Static Hedge
2. Dynamic Portfolio Insurance
3. Summary
Part VII: Advanced Options
Chapter 30. Other Options
1. Corporate Equity & Debt
2. Warrants
3. Equity Collar
4. Summary
Chapter 31. Exotic Options
1. Three-Period BOPM
2. Asian Options
3. Other Exotics: Lookbacks, Barrier, Compound & Chooser
4. Summary
Chapter 32. Energy and Weather Derivatives
1. Energy Contracts
2. Hedging with Energy Futures
3. Energy Swaps
4. Weather Derivatives
5. Reinsurance & CAT Bonds
6. Summary
Part VIII: Swaps
Chapter 33. Interest Rate Swaps
1. Using Interest Rate Swaps
2. Cash Flows in a Swap
3. Settlement and Price Quotes
4. Terminating a Swap
5. Comparative Advantage
6. Summary
7. Appendix: Comparative Advantage with Swap Dealer
Chapter 34. Pricing Interest Rate Swaps
1. Cash Flows in A Swap
2. Floating Rate Note, FRN
3. Pricing a Swap (Short-Method)
4. Pricing a Swap (Forward-Rate Method)
5. Market Value of a Swap
6. Swap-Delta and PVBP
7. Summary
8. Appendix: Value of an FRN using Arbitrage
Chapter 35. Other Interest Rate Swaps
1. Uses
2. Pricing a Fixed-Fixed Currency Swap
3. Valuing a Fixed-Fixed Currency Swap
4. Summary
Appendix I: Pricing a Currency Swap
Appendix II: Valuation of a Currency Swap
Chapter 36. Currency Swaps
1. Swap Deals
2. Pricing Non-Standard Swaps
3. Hedging Interest Rate Swaps
4. Credit Risk
5. Summary
Chapter 37. Equity Swaps
1. Equity-for-LIBOR: Fixed Notional Principal
2. Unhedged Cross-Currency Equity Swap
3. Hedged Cross-Currency Equity Swap
4. Pricing Equity Swaps
5. Summary
Appendix I: Valuation of Equity-for-LIBOR Swap
Part IX: Fixed Income Derivatives
Chapter 38. T-Bond Option, Caps, Floors and Collar
1. Options on T-Bonds and Eurodollars
2. Caplets and Floorlets
3. Interest Rate Cap
4. Interest Rate Floor
5. Interest Rate Collar
6. Summary
Chapter 39. Swaption, Forward Swap & MBS
1. Swaptions
2. Forward Swap
3. Mortgage-Backed Securities, MBS
4. Hedging Fixed-Income Derivatives
5. Summary
Chapter 40. Pricing: Black’s Model and MCS
1. Black’s Model: European Options
2. Pricing a Cap Using MCS
3. European Swaption: Black’s Model
4. Summary
Chapter 41. Pricing Fixed Income Derivatives: BOPM
1. No-Arbitrage Approach
2. Pricing a Coupon Bond
3. Pricing Options
4. Pricing a Callable Bond
5. Pricing Caps
6. Pricing FRAs
7. Pricing a Swaption
8. Pricing FRNs with Embedded Options
9. More Lattices
10. Summary
Part X: Credit Derivatives
Chapter 42. Credit Default Swaps, CDS
1. Credit Risk and CDS
2. Speculation with CDS
3. Contract Details
4. Pricing and Valuation
5. Bond Yields and the CDS Spread
6. Credit Indices and other CDS Contracts
7. Derivatives on the CDS Spread
8. Summary
Chapter 43. Securitisation: ABS and CDOS
1. ABS and ABS-CDOs
2. Credit Enhancement
3. Losses on ABS and ABS-CDOs
4. Sub-Prime Crisis, 2007-8
5. Synthetic CDOs
6. Single-Tranche Trading
7. Total-Return Swap
8. Summary
Part XI: Market Risk
Chapter 44. Value at Risk: VaR
1. Introduction
2. Value at Risk: VaR
3. Forecasting Volatility
4. Backtesting
5. Capital Adequacy
6. Summary
Chapter 45. VaR: Other Portfolios
1. Single-Index Model
2. VaR for Coupon-Bonds
3. VaR: Options
4. Summary
5. Appendix: VaR for Foreign Assets
Chapter 46. VaR: Alternative Measures
1. Historical Simulation
2. Bootstrapping
3. Monte-Carlo Simulation
4. Alternative Methods
5. Summary
Part XII: Price Dynamics
Chapter 47. Asset Price Dynamics
1. Stochastic Processes
2. Geometric Brownian Motion and Ito’s Lemma
3. Distribution of Log Stock Price and Stock Price
4. Summary
5. Appendix: Ito’s Lemma
Chapter 48. Black-Scholes PDE
1. Risk-Neutral Valuation and Black-Scholes PDE
2. Finite Difference Methods
3. Summary
4. Appendix: Derivation of Black-Scholes PDE
Chapter 49. Equilibrium Models: Term Structure
1. Risk-Neutral Valuation
2. Models of the Short-Rate
3. Pricing using Continuous Time Models
4. Bond Prices and Derivatives Prices
5. Summary
Glossary
Bibliography
Index
