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Derivative instruments : a guide to theory and practice / / Brian A. Eales, Moorad Choudhry



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Autore: Eales Brian Anthony Visualizza persona
Titolo: Derivative instruments : a guide to theory and practice / / Brian A. Eales, Moorad Choudhry Visualizza cluster
Pubblicazione: Oxford ; ; Boston, : Butterworth-Heinemann, 2003
Edizione: 1st ed.
Descrizione fisica: 1 online resource (273 p.)
Disciplina: 332.645
Soggetto topico: Derivative securities
Securities
Altri autori: ChoudhryMoorad  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references and index.
Nota di contenuto: 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 futures
3.3 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
Chapter 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
Chapter 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
Sommario/riassunto: The 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
Titolo autorizzato: Derivative instruments  Visualizza cluster
ISBN: 1-281-02650-6
9786611026509
0-08-050389-6
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910811295103321
Lo trovi qui: Univ. Federico II
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Serie: Quantitative finance series.