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| 內容簡介： |
●Full-lengthcasestudies:Severalfull-lengthcasestudiesareintegratedthroughoutthetextincludingsomeofthemostinfamousderivativesdisastersinhistory.TheseincludeAmaranth,Barings,LTCM,Metallgesellschaft,Procter&Gamble,andothers.Thesearesupplementedbyothercasestudiesavailableonthisbook＂swebsite,includingAshanti,Sumitomo,theSon-of-Bosstaxshelters,andAIG.
●Extensiveuseofnumericalexamplesforillustrativepurposes:Toenablecomparability,thenumericalexamplesareoftenbuiltaroundacommonparameterization.Forexample,inthechapteronoptiongreeks,abaselinesetofparametervaluesischosen,andthebehaviorofeachgreekisillustratedusingdeparturesfromthesebaselines.
●End-of-chapterproblems:Thebookoffersalargenumberofend-of-chapterproblems.Theseproblemsareofthreetypes:
1Someareconceptual,mostlyaimedatensuringthatthebasicdefinitionshavebeenunderstood,butoccasionallyinvolvingalgebraicmanipulations.
2Thesecondgroupcomprisesnumericalexercises;problemsthatcanbesolvedwithacalculatororaspreadsheet.
3Thelastgroupcontainstheprogrammingquestions;questionsthatchallengethestudentstowritecodetoimplementspecificmodels.WewerefortunatetohavemanySiliconValleyengineersasstudents,fromwhomwereceivedvaluablefeedbackonthesequestions.
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| 關於作者： |
RangarajanK.Sundaram
現職：NewYorkUniversity
SanjivR.Das
現職：SantaClaraUniversity
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| 目錄：
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Ch1Introduction
PARTI:FUTURESANDFORWARDS
Ch2FuturesMarkets
Ch3PricingForwardsandFuturesI:TheBasicTheory
Ch4PricingForwardsandFuturesII
Ch5HedgingwithFutures&Forwards
Ch6Interest-RateForwards&Futures
PARTII:EQUITYDERIVATIVES
Ch7OptionsMarkets
Ch8Options:Payoffs&TradingStrategies
Ch9No-ArbitrageRestrictionsonOptionPrices
Ch10EarlyExerciseandPut-CallParity
Ch11OptionPricing:AnIntroduction
Ch12BinomialOptionPricing
Ch13ImplementingtheBinomialModel
Ch14TheBlack-ScholesModel
Ch15TheMathematicsofBlack-Scholes
Ch16OptionsModeling:BeyondBlack-Scholes
Ch17SensitivityAnalysis:TheOption“Greeks”
Ch18ExoticOptionsI:Path-IndependentOptions
Ch19ExoticOptionsII:Path-DependentOptions
Ch20Value-at-Risk
Ch21ConvertibleBonds
Ch22RealOptions
PARTIII:SWAPS
Ch23Interest-RateSwapsandFloatingRateProducts
Ch24EquitySwaps
Ch25CurrencySwaps
PARTIVINTERESTRATEMODELING
Ch26TheTermStructureofInterestRates:Concepts
Ch27EstimatingtheYieldCurve
Ch28ModelingTermStructureMovements
Ch29FactorModelsoftheTermStructure
Ch30TheHeath-Jarrow-MortonandLiborMarketModels
PARTV:CREDITDERIVATIVEPRODUCTS
Ch31CreditDerivativeProducts
Ch32StructuralModelsofDefaultRisk
Ch33ReducedFormModelsofDefaultRisk
Ch34ModelingCorrelatedDefault
ThefollowingWebchaptersareavailableatwww.mhhe.comsd2e
PARTVI:COMPUTATION
Ch35DerivativePricingwithFiniteDifferencing
Ch36DerivativePricingwithMonteCarolSimulation
Ch37UsingOctave
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