LEADER 05138nam 2200541 450 001 9910808834303321 005 20220203235637.0 010 $a1-118-77321-7 010 $a1-119-95457-6 035 $a(CKB)2550000001134391 035 $a(EBL)1480871 035 $a(CaSebORM)9781119953715 035 $a(MiAaPQ)EBC1480871 035 $a(EXLCZ)992550000001134391 100 $a20131107d2014 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aPricing and hedging financial derivatives$b[electronic resource] $ea guide for practitioners /$fLeonardo Marroni and Irene Perdomo 205 $a1st edition 210 1$aChichester, England :$cWiley,$d2014. 210 4$dİ2014 215 $a1 online resource (252 pages) 225 0$aWiley finance series 300 $aDescription based upon print version of record. 320 $aIncludes bibliographical references and index. 327 $aPricing and Hedging Financial Derivatives: A Guide for Practitioners; Contents; Preface; Acknowledgements; 1 An Introduction to the Major Asset Classes; 1.1 EQUITIES; 1.1.1 Introduction; 1.1.2 Pricing equities; 1.1.3 Fundamental analysis; 1.1.4 Technical analysis; 1.1.5 Quantitative analysis; 1.1.6 The equity risk premium and the pre-FOMC announcement drift; 1.2 COMMODITIES; 1.2.1 Introduction; 1.2.2 Hedging; 1.2.3 Backwardation and contango; 1.2.4 Investment in commodities; 1.2.5 Commodity fundamentals; 1.2.6 Super-cycles in commodity prices; 1.2.7 Future regulation; 1.3 FIXED INCOME 327 $a1.3.1 Introduction 1.3.2 Credit risk; 1.3.3 The empirical pattern of yield curve moves; 1.3.4 Modelling interest rate movements; 1.3.5 Modelling the risks of default; 1.4 FOREIGN EXCHANGE; 1.4.1 Introduction; 1.4.2 How foreign exchange rates are quoted; SUMMARY; 2 Derivatives: Forwards, Futures and Swaps; 2.1 DERIVATIVES; 2.2 FORWARD CONTRACTS; 2.2.1 Definition; 2.2.2 Payoffs of forward contracts; 2.2.3 Forward price versus delivery price; 2.3 FUTURES CONTRACTS; 2.4 CALCULATING IMPLIED FORWARD PRICES AND VALUING EXISTING FORWARD CONTRACTS; 2.4.1 Calculating implied forward prices on equities 327 $a2.4.2 Calculating implied forward prices on foreign exchange rates 2.4.3 Calculating implied forward prices on commodities; 2.4.4 Valuing existing forward contracts; 2.5 PRICING FUTURES CONTRACTS; 2.6 SWAPS; 2.6.1 Introduction; 2.6.2 Interest rate swaps; 2.6.3 Commodity swaps; 2.6.4 Commodity swap valuation; 2.6.5 Commodity swaps with variable notional and price; 2.6.6 Currency swaps; 2.6.7 Equity swaps; SUMMARY; 3 Derivatives: Options and Related Strategies; 3.1 CALL OPTIONS; 3.1.1 Definition; 3.1.2 Examples; 3.1.3 Scenario analysis for the S&P 500 Index call option; 3.2 PUT OPTIONS 327 $a3.2.1 Definition 3.2.2 Examples; 3.2.3 Scenario analysis for put options; 3.3 BOUNDARY CONDITIONS FOR CALL AND PUT OPTIONS PRICES; 3.3.1 Introduction and basic notation; 3.3.2 A call option cannot be worth more than the price of the underlying asset; 3.3.3 The price of a put option cannot be higher than the present value of the strike price, K; 3.3.4 Lower boundaries for call options on non-dividend paying stocks; 3.3.5 Lower boundaries for put options on non-dividend paying stocks; 3.4 PUT-CALL PARITY; 3.5 SWAPTIONS; 3.6 OPTIONS STRATEGIES; 3.6.1 Introduction to option strategies 327 $a3.6.2 Option spreads 3.6.3 Directional strategies using vertical spreads; 3.6.4 Risk reversal and collars; 3.6.5 Volatility strategies with puts and calls; SUMMARY; 4 Binomial Option Pricing; 4.1 ONE-PERIOD BINOMIAL TREE: REPLICATION APPROACH; 4.2 RISK-NEUTRAL VALUATION; 4.2.1 Introduction to risk-neutral valuation; 4.2.2 An alternative way to think of the option price; 4.2.3 Risk-neutral probabilities; 4.3 TWO-PERIOD BINOMIAL TREE: VALUING BACK DOWN THE TREE; 4.4 THE BINOMIAL TREE: A GENERALIZATION; 4.5 EARLY EXERCISE AND AMERICAN OPTIONS; 4.6 VOLATILITY CALIBRATION; SUMMARY 327 $a5 The Fundamentals of Option Pricing 330 $aThe only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few 410 0$aWiley finance series. 606 $aDerivative securities$xPrices 606 $aHedging (Finance) 615 0$aDerivative securities$xPrices. 615 0$aHedging (Finance) 676 $a332.64/57 686 $aBUS027000$2bisacsh 700 $aMarroni$b Leonardo$f1980-$01681767 701 $aPerdomo$b Irene$f1977-$01681768 906 $aBOOK 912 $a9910808834303321 996 $aPricing and hedging financial derivatives$94051398 997 $aUNINA