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Derivatives [[electronic resource] ] : markets, valuation, and risk management / / Robert E. Whaley
| Derivatives [[electronic resource] ] : markets, valuation, and risk management / / Robert E. Whaley |
| Autore | Whaley Robert E |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (962 p.) |
| Disciplina |
332.644
332.6457 |
| Collana | The Wiley finance series |
| Soggetto topico |
Derivative securities - Marketing
Derivative securities - Valuation Financial risk management |
| ISBN |
1-119-20198-5
1-280-82197-3 9786610821976 0-470-08638-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Derivatives: Markets, Valuation, and Risk Management; Contents; Preface; DERIVATIVE MARKETS; FUNDAMENTALS OF VALUATION; FORWARD/FUTURES/SWAP VALUATION; OPTION VALUATION; STOCK DERIVATIVES; STOCK INDEX DERIVATIVES; CURRENCY DERIVATIVES; INTEREST RATE DERIVATIVES; COMMODITY DERIVATIVES; LESSONS LEARNED; OPTVAL; REFERENCES; Acknowledgments; About the Author; Part I: Derivative Markets; Chapter 1: Derivative Contracts and Markets; FORWARDS; OPTIONS; WHY DO DERIVATIVES MARKETS EXIST?; EVOLUTION OF DERIVATIVES MARKETS; ATTRIBUTES OF EXCHANGE-TRADED DERIVATIVE MARKETS
ATTRIBUTES OF OTC DERIVATIVE MARKETSSUMMARY; REFERENCES AND SUGGESTED READINGS; APPENDIX 1: SQUEEZING THE SOYBEAN MARKET40; Part II: Fundamentals of Valuation; Chapter 2: Assumptions and Interest Rate Mechanics; UNDERLYING ASSUMPTIONS; INTEREST RATE MECHANICS; DISCOUNT BONDS; COUPON-BEARING BONDS; TERM STRUCTURE OF INTEREST RATES; STOCK VALUATION; SUMMARY; REFERENCES AND SUGGESTIONS FOR FURTHER READING; APPENDIX 2A: TAYLOR SERIES EXPANSION OF BOND VALUE; APPENDIX 2B: SUM OF A GEOMETRIC PROGRESSION; Chapter 3: Relation between Return and Risk; UTILITY THEORY; PORTFOLIO THEORY CAPITAL ASSET PRICING MODELPORTFOLIO PERFORMANCE MEASUREMENT; SUMMARY; REFERENCES AND SUGGESTED READINGS; Part III: Forwards/Futures/Swap Valuation; Chapter 4: No-Arbitrage Price Relations: Forwards, Futures, Swaps; UNDERSTANDING CARRY COSTS/BENEFITS; VALUING FORWARDS; VALUING FUTURES; IMPLYING FORWARD NET CARRY RATES; VALUING SWAPS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 5: Risk Management Strategies: Futures; EXPECTED RETURN AND RISK; HEDGING PRICE RISK; HEDGING REVENUE RISK; HEDGING MARGIN RISK; HEDGING PORTFOLIO VALUE; HEDGING MULTIPLE SOURCES OF RISK; ESTIMATION ISSUES SUMMARYREFERENCES AND SUGGESTED READINGS; Part IV: Option Valuation; Chapter 6: No-Arbitrage Price Relations: Options; OPTIONS AND FORWARDS; CONTINUOUS RATES; DISCRETE FLOWS; NO-ARBITRAGE FUTURES OPTIONS RELATIONS; NO-ARBITRAGE INTER-MARKET RELATIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 7: Valuing Standard Options Analytically; INTUITION OF RISK-NEUTRAL VALUATION; LOG-NORMAL PRICE DISTRIBUTION; VALUING A EUROPEAN-STYLE CALL OPTION; VALUING A EUROPEAN-STYLE PUT OPTION; MEASURING RISK OF EUROPEAN-STYLE OPTIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS APPENDIX 7A: APPLICATIONS OF ITO'S LEMMAAPPENDIX 7B: RELATION BETWEEN THE CONTINUOUSLY COMPOUNDED MEAN RETURN AND THE MEAN CONTINUOUSLY COMPOUNDED RETURN; APPENDIX 7C: APPROXIMATION OF THE UNIVARIATE NORMAL PROBABILITY; APPENDIX 7D: DERIVATION OF BLACK-SCHOLES/MERTON OPTION VALUATION FORMULA; APPENDIX 7E: DERIVATION OF THE " GREEKS"; Chapter 8: Valuing Nonstandard Options Analytically; ALL-OR-NOTHING OPTIONS; GAP OPTIONS; CONTINGENT PAY OPTIONS; FORWARD-START OPTIONS; RATCHET OPTIONS; CHOOSER OPTIONS; EXCHANGE OPTIONS; OPTIONS ON THE MAXIMUM AND THE MINIMUM; COMPOUND OPTIONS; LOOKBACK OPTIONS BARRIER OPTIONS |
| Record Nr. | UNINA-9910143421703321 |
Whaley Robert E
|
||
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Derivatives [[electronic resource] ] : markets, valuation, and risk management / / Robert E. Whaley
| Derivatives [[electronic resource] ] : markets, valuation, and risk management / / Robert E. Whaley |
| Autore | Whaley Robert E (Robert Edward), <1953-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (962 p.) |
| Disciplina |
332.644
332.6457 |
| Collana | The Wiley finance series |
| Soggetto topico |
Derivative securities - Marketing
Derivative securities - Valuation Financial risk management |
| ISBN |
1-119-20198-5
1-280-82197-3 9786610821976 0-470-08638-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Derivatives: Markets, Valuation, and Risk Management; Contents; Preface; DERIVATIVE MARKETS; FUNDAMENTALS OF VALUATION; FORWARD/FUTURES/SWAP VALUATION; OPTION VALUATION; STOCK DERIVATIVES; STOCK INDEX DERIVATIVES; CURRENCY DERIVATIVES; INTEREST RATE DERIVATIVES; COMMODITY DERIVATIVES; LESSONS LEARNED; OPTVAL; REFERENCES; Acknowledgments; About the Author; Part I: Derivative Markets; Chapter 1: Derivative Contracts and Markets; FORWARDS; OPTIONS; WHY DO DERIVATIVES MARKETS EXIST?; EVOLUTION OF DERIVATIVES MARKETS; ATTRIBUTES OF EXCHANGE-TRADED DERIVATIVE MARKETS
ATTRIBUTES OF OTC DERIVATIVE MARKETSSUMMARY; REFERENCES AND SUGGESTED READINGS; APPENDIX 1: SQUEEZING THE SOYBEAN MARKET40; Part II: Fundamentals of Valuation; Chapter 2: Assumptions and Interest Rate Mechanics; UNDERLYING ASSUMPTIONS; INTEREST RATE MECHANICS; DISCOUNT BONDS; COUPON-BEARING BONDS; TERM STRUCTURE OF INTEREST RATES; STOCK VALUATION; SUMMARY; REFERENCES AND SUGGESTIONS FOR FURTHER READING; APPENDIX 2A: TAYLOR SERIES EXPANSION OF BOND VALUE; APPENDIX 2B: SUM OF A GEOMETRIC PROGRESSION; Chapter 3: Relation between Return and Risk; UTILITY THEORY; PORTFOLIO THEORY CAPITAL ASSET PRICING MODELPORTFOLIO PERFORMANCE MEASUREMENT; SUMMARY; REFERENCES AND SUGGESTED READINGS; Part III: Forwards/Futures/Swap Valuation; Chapter 4: No-Arbitrage Price Relations: Forwards, Futures, Swaps; UNDERSTANDING CARRY COSTS/BENEFITS; VALUING FORWARDS; VALUING FUTURES; IMPLYING FORWARD NET CARRY RATES; VALUING SWAPS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 5: Risk Management Strategies: Futures; EXPECTED RETURN AND RISK; HEDGING PRICE RISK; HEDGING REVENUE RISK; HEDGING MARGIN RISK; HEDGING PORTFOLIO VALUE; HEDGING MULTIPLE SOURCES OF RISK; ESTIMATION ISSUES SUMMARYREFERENCES AND SUGGESTED READINGS; Part IV: Option Valuation; Chapter 6: No-Arbitrage Price Relations: Options; OPTIONS AND FORWARDS; CONTINUOUS RATES; DISCRETE FLOWS; NO-ARBITRAGE FUTURES OPTIONS RELATIONS; NO-ARBITRAGE INTER-MARKET RELATIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 7: Valuing Standard Options Analytically; INTUITION OF RISK-NEUTRAL VALUATION; LOG-NORMAL PRICE DISTRIBUTION; VALUING A EUROPEAN-STYLE CALL OPTION; VALUING A EUROPEAN-STYLE PUT OPTION; MEASURING RISK OF EUROPEAN-STYLE OPTIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS APPENDIX 7A: APPLICATIONS OF ITO'S LEMMAAPPENDIX 7B: RELATION BETWEEN THE CONTINUOUSLY COMPOUNDED MEAN RETURN AND THE MEAN CONTINUOUSLY COMPOUNDED RETURN; APPENDIX 7C: APPROXIMATION OF THE UNIVARIATE NORMAL PROBABILITY; APPENDIX 7D: DERIVATION OF BLACK-SCHOLES/MERTON OPTION VALUATION FORMULA; APPENDIX 7E: DERIVATION OF THE " GREEKS"; Chapter 8: Valuing Nonstandard Options Analytically; ALL-OR-NOTHING OPTIONS; GAP OPTIONS; CONTINGENT PAY OPTIONS; FORWARD-START OPTIONS; RATCHET OPTIONS; CHOOSER OPTIONS; EXCHANGE OPTIONS; OPTIONS ON THE MAXIMUM AND THE MINIMUM; COMPOUND OPTIONS; LOOKBACK OPTIONS BARRIER OPTIONS |
| Record Nr. | UNINA-9910831085503321 |
|
Whaley Robert E (Robert Edward), <1953->
|
||
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Derivatives : markets, valuation, and risk management / / Robert E. Whaley
| Derivatives : markets, valuation, and risk management / / Robert E. Whaley |
| Autore | Whaley Robert E |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2006 |
| Descrizione fisica | 1 online resource (962 p.) |
| Disciplina | 332.64/57 |
| Collana | The Wiley finance series |
| Soggetto topico |
Derivative securities - Marketing
Derivative securities - Valuation Financial risk management |
| ISBN |
1-119-20198-5
1-280-82197-3 9786610821976 0-470-08638-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Derivatives: Markets, Valuation, and Risk Management; Contents; Preface; DERIVATIVE MARKETS; FUNDAMENTALS OF VALUATION; FORWARD/FUTURES/SWAP VALUATION; OPTION VALUATION; STOCK DERIVATIVES; STOCK INDEX DERIVATIVES; CURRENCY DERIVATIVES; INTEREST RATE DERIVATIVES; COMMODITY DERIVATIVES; LESSONS LEARNED; OPTVAL; REFERENCES; Acknowledgments; About the Author; Part I: Derivative Markets; Chapter 1: Derivative Contracts and Markets; FORWARDS; OPTIONS; WHY DO DERIVATIVES MARKETS EXIST?; EVOLUTION OF DERIVATIVES MARKETS; ATTRIBUTES OF EXCHANGE-TRADED DERIVATIVE MARKETS
ATTRIBUTES OF OTC DERIVATIVE MARKETSSUMMARY; REFERENCES AND SUGGESTED READINGS; APPENDIX 1: SQUEEZING THE SOYBEAN MARKET40; Part II: Fundamentals of Valuation; Chapter 2: Assumptions and Interest Rate Mechanics; UNDERLYING ASSUMPTIONS; INTEREST RATE MECHANICS; DISCOUNT BONDS; COUPON-BEARING BONDS; TERM STRUCTURE OF INTEREST RATES; STOCK VALUATION; SUMMARY; REFERENCES AND SUGGESTIONS FOR FURTHER READING; APPENDIX 2A: TAYLOR SERIES EXPANSION OF BOND VALUE; APPENDIX 2B: SUM OF A GEOMETRIC PROGRESSION; Chapter 3: Relation between Return and Risk; UTILITY THEORY; PORTFOLIO THEORY CAPITAL ASSET PRICING MODELPORTFOLIO PERFORMANCE MEASUREMENT; SUMMARY; REFERENCES AND SUGGESTED READINGS; Part III: Forwards/Futures/Swap Valuation; Chapter 4: No-Arbitrage Price Relations: Forwards, Futures, Swaps; UNDERSTANDING CARRY COSTS/BENEFITS; VALUING FORWARDS; VALUING FUTURES; IMPLYING FORWARD NET CARRY RATES; VALUING SWAPS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 5: Risk Management Strategies: Futures; EXPECTED RETURN AND RISK; HEDGING PRICE RISK; HEDGING REVENUE RISK; HEDGING MARGIN RISK; HEDGING PORTFOLIO VALUE; HEDGING MULTIPLE SOURCES OF RISK; ESTIMATION ISSUES SUMMARYREFERENCES AND SUGGESTED READINGS; Part IV: Option Valuation; Chapter 6: No-Arbitrage Price Relations: Options; OPTIONS AND FORWARDS; CONTINUOUS RATES; DISCRETE FLOWS; NO-ARBITRAGE FUTURES OPTIONS RELATIONS; NO-ARBITRAGE INTER-MARKET RELATIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS; Chapter 7: Valuing Standard Options Analytically; INTUITION OF RISK-NEUTRAL VALUATION; LOG-NORMAL PRICE DISTRIBUTION; VALUING A EUROPEAN-STYLE CALL OPTION; VALUING A EUROPEAN-STYLE PUT OPTION; MEASURING RISK OF EUROPEAN-STYLE OPTIONS; SUMMARY; REFERENCES AND SUGGESTED READINGS APPENDIX 7A: APPLICATIONS OF ITO'S LEMMAAPPENDIX 7B: RELATION BETWEEN THE CONTINUOUSLY COMPOUNDED MEAN RETURN AND THE MEAN CONTINUOUSLY COMPOUNDED RETURN; APPENDIX 7C: APPROXIMATION OF THE UNIVARIATE NORMAL PROBABILITY; APPENDIX 7D: DERIVATION OF BLACK-SCHOLES/MERTON OPTION VALUATION FORMULA; APPENDIX 7E: DERIVATION OF THE " GREEKS"; Chapter 8: Valuing Nonstandard Options Analytically; ALL-OR-NOTHING OPTIONS; GAP OPTIONS; CONTINGENT PAY OPTIONS; FORWARD-START OPTIONS; RATCHET OPTIONS; CHOOSER OPTIONS; EXCHANGE OPTIONS; OPTIONS ON THE MAXIMUM AND THE MINIMUM; COMPOUND OPTIONS; LOOKBACK OPTIONS BARRIER OPTIONS |
| Record Nr. | UNINA-9910877845303321 |
|
Whaley Robert E
|
||
| Hoboken, N.J., : Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Derivatives markets and analysis / / R. Stafford Johnson
| Derivatives markets and analysis / / R. Stafford Johnson |
| Autore | Johnson R. Stafford |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2017] |
| Descrizione fisica | 1 online resource (1 volume) : illustrations |
| Disciplina | 332.64/57 |
| Collana |
Bloomberg financial series
THEi Wiley ebooks |
| Soggetto topico |
Derivative securities - Marketing
Investments BUSINESS & ECONOMICS / Investments & Securities |
| ISBN |
1-118-24072-3
1-118-69525-9 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910270871703321 |
|
Johnson R. Stafford
|
||
| Hoboken, New Jersey : , : Wiley, , [2017] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Derivatives markets and analysis / / R. Stafford Johnson
| Derivatives markets and analysis / / R. Stafford Johnson |
| Autore | Johnson R. Stafford |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , [2017] |
| Descrizione fisica | 1 online resource (1 volume) : illustrations |
| Disciplina | 332.64/57 |
| Collana |
Bloomberg financial series
THEi Wiley ebooks |
| Soggetto topico |
Derivative securities - Marketing
Investments BUSINESS & ECONOMICS / Investments & Securities |
| ISBN |
1-118-24072-3
1-118-69525-9 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910824927703321 |
|
Johnson R. Stafford
|
||
| Hoboken, New Jersey : , : Wiley, , [2017] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
