LEADER 04596nam 2200685Ia 450 001 9910811295103321 005 20240410143124.0 010 $a1-281-02650-6 010 $a9786611026509 010 $a0-08-050389-6 035 $a(CKB)1000000000350634 035 $a(EBL)299022 035 $a(OCoLC)213298495 035 $a(SSID)ssj0000293686 035 $a(PQKBManifestationID)11213276 035 $a(PQKBTitleCode)TC0000293686 035 $a(PQKBWorkID)10302663 035 $a(PQKB)10025454 035 $a(PQKBManifestationID)10219248 035 $a(PQKB)21729686 035 $a(MiAaPQ)EBC299022 035 $a(Au-PeEL)EBL299022 035 $a(CaPaEBR)ebr10185795 035 $a(CaONFJC)MIL102650 035 $a(PPN)170237974 035 $a(EXLCZ)991000000000350634 100 $a20020408d2003 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aDerivative instruments$b[electronic resource] $ea guide to theory and practice /$fBrian A. Eales, Moorad Choudhry 205 $a1st ed. 210 $aOxford ;$aBoston $cButterworth-Heinemann$d2003 215 $a1 online resource (273 p.) 225 1 $aQuantitative finance series 300 $aDescription based upon print version of record. 311 $a0-7506-5419-8 320 $aIncludes bibliographical references and index. 327 $aFront 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 futures 327 $a3.3 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 applications 327 $aChapter 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 options 327 $aChapter 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; Index 330 $aThe authors concentrate on the practicalities of each class of derivative, so that readers can apply the techniques in practice. Product descriptions are supported by detailed spreadsheet models, illustrating the techniques employed, some which are available on the accompanying CD-ROM. This book is ideal reading for derivatives traders, salespersons, financial engineers, risk managers, and other professionals involved to any extent in the application and analysis of OTC derivatives.* Combines theory with valuation to provide overall coverage of the topic area* Provides 410 0$aQuantitative finance series. 606 $aDerivative securities 606 $aSecurities 615 0$aDerivative securities. 615 0$aSecurities. 676 $a332.645 700 $aEales$b Brian Anthony$0621074 701 $aChoudhry$b Moorad$0151558 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910811295103321 996 $aDerivative instruments$93937961 997 $aUNINA