04597nam 2200697Ia 450 991081129510332120240410143124.01-281-02650-697866110265090-08-050389-6(CKB)1000000000350634(EBL)299022(OCoLC)213298495(SSID)ssj0000293686(PQKBManifestationID)11213276(PQKBTitleCode)TC0000293686(PQKBWorkID)10302663(PQKB)10025454(PQKBManifestationID)10219248(PQKB)21729686(MiAaPQ)EBC299022(Au-PeEL)EBL299022(CaPaEBR)ebr10185795(CaONFJC)MIL102650(PPN)170237974(EXLCZ)99100000000035063420020408d2003 uy 0engurcn|||||||||txtccrDerivative instruments a guide to theory and practice /Brian A. Eales, Moorad Choudhry1st ed.Oxford ;Boston Butterworth-Heinemann20031 online resource (273 p.)Quantitative finance seriesDescription based upon print version of record.0-7506-5419-8 Includes bibliographical references and index.Front Cover; Derivative Instruments: A Guide to Theory and Practice; Copyright Page; Contents; Foreword; Preface; About the Authors; Chapter 1. Introduction to Derivatives; 1.1 Exchange-based futures contracts; 1.2 Forward contracts; 1.3 Options; 1.4 Swaps; 1.5 The future?; Chapter 2. Overview of Fixed Income Securities; 2.1 Basic concepts; 2.2 Bond price in continuous time; 2.3 Forward rates; Appendix 2.1 The integral; Appendix 2.2 The derivation of the bond price equation in continuous time; Chapter 3. Forwards and Futures Valuation; 3.1 Introduction; 3.2 Forwards and futures3.3 The forward-spot parity 3.4 The basis and implied repo rate; Chapter 4. FRAs and Interest Rate Futures; 4.1 Forward rate agreements; 4.2 FRA mechanics; 4.3 Forward contracts; 4.4 Short-term interest rate futures; Chapter 5. Bond Futures; 5.1 Introduction; 5.2 Futures pricing; 5.3 Hedging using bond futures; 5.4 The margin process; Appendix 5.1 The conversion factor for the long gilt future; Chapter 6. Swaps; 6.1 Interest rate swaps; 6.2 Generic swap valuation; 6.3 Non-vanilla interest rate swaps; 6.4 Currency swaps; 6.5 Swaptions; 6.6 An overview of interest rate swap applicationsChapter 7. Credit Derivatives 7.1 Credit risk; 7.2 Credit risk and credit derivatives; 7.3 Credit event; 7.4 An introduction to collateralised debt obligations (CDOs); Appendix 7.1 Credit ratings; Chapter 8. Equity Futures Contracts; 8.1 Exchange-traded equity index and universal stock futures; 8.2 Operational characteristics of equity futures contracts; Chapter 9. Equity Swaps; 9.1 A basic equity swap; 9.2 Single-currency, fixed notional principal, equity index/sterling LIBOR swap; 9.3 Equity swap: fair pricing; Chapter 10. Equity and Equity Index Options; 10.1 Call options; 10.2 Put optionsChapter 11. Option Pricing 11.1 Introduction; 11.2 The Black and Scholes model; 11.3 Alternative pricing frameworks; 11.4 Monte Carlo simulation; Chapter 12. Equity-linked Structured Products; 12.1 Introduction; 12.2 Convertible bonds; 12.3 Currency considerations; 12.4 Guaranteed equity products; IndexThe authors concentrate on the practicalities of each class of derivative, so that readers can apply the techniques in practice. Product descriptions are supported by detailed spreadsheet models, illustrating the techniques employed, some which are available on the accompanying CD-ROM. This book is ideal reading for derivatives traders, salespersons, financial engineers, risk managers, and other professionals involved to any extent in the application and analysis of OTC derivatives.* Combines theory with valuation to provide overall coverage of the topic area* ProvidesQuantitative finance series.Derivative securitiesSecuritiesDerivative securities.Securities.332.645332.645Eales Brian Anthony621074Choudhry Moorad151558MiAaPQMiAaPQMiAaPQBOOK9910811295103321Derivative instruments3937961UNINA