Derivatives: Markets, Valuation, Risk Management

Contents

All

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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 

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Appendix A: Elementary statistics

Appendix B: Regression analysis

Appendix C: Statistical tables

Appendix D: Glossary

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