Robert E. Whaley

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    whaley@vanderbilt.edu

    Derivatives: Markets, Valuation, Risk Management

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    Contents

    Traditional Library

    All

    ​

    Preface

    1. Derivatives contracts and markets

    2. Assumptions and interest rate mechanics

    3. Relation between return and risk

    4. No-arbitrage relations: Forwards, futures, swaps

    5. Risk management strategies: Futures

    6. No-arbitrage relations: Options

    7. Valuing standard options analytically

    8. Valuing non-standard options analytically

    9. Valuing options numerically

    10. Risk management strategies: Options

    11. Stock products

    12. Corporate securities

    13. Compensation agreements

    14. Stock index products: Futures and options

    15. Stock index products: Strategy-based

    16. Currency products

    17. Interest rate products: Futures and options

    18. Interest rate products: Swaps

    19. Credit products

    20. Valuing interest rate products numerically

    21. Commodity products

    22. Key lessons 

    ​​

    Appendix A: Elementary statistics

    Appendix B: Regression analysis

    Appendix C: Statistical tables

    Appendix D: Glossary

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    ​

    ​

    ©2020-22 by Robert E. Whaley.