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ویرایش: International ed. نویسندگان: Rangarajan K. Sundaram, Sanjiv Ranjan Das سری: ISBN (شابک) : 9780071244800, 0072949317 ناشر: McGraw-Hill/Irwin سال نشر: 2011 تعداد صفحات: 1002 زبان: English فرمت فایل : PDF (درصورت درخواست کاربر به PDF، EPUB یا AZW3 تبدیل می شود) حجم فایل: 8 مگابایت
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در صورت تبدیل فایل کتاب Derivatives : Principles and Practice به فرمت های PDF، EPUB، AZW3، MOBI و یا DJVU می توانید به پشتیبان اطلاع دهید تا فایل مورد نظر را تبدیل نمایند.
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Tittle Contents 1 Introduction 1.1 Forward and Futures Contracts 1.2 Options 1.3 Swaps 1.4 Using Derivatives: Some Comments 1.5 The Structure of this Book 1.6 Exercises PART ONE Futures and Forwards 2 Futures Markets 2.1 Introduction 2.2 The Changing Face of Futures Markets 2.3 The Functioning of Futures Exchanges 2.4 The Standardization of Futures Contracts 2.5 Closing Out Positions 2.6 Margin Requirements and Default Risk 2.7 Case Studies in Futures Markets 2.8 Exercises Appendix 2A Futures Trading and US Regulation: A Brief History Chapter 3 Pricing Forwards and Futures I: The Basic Theory 3.1 Introduction 3.2 Pricing Forwards by Replication 3.3 Examples 3.4 Forward Pricing on Currencies and Related Assets 3.5 Forward-Rate Agreements 3.6 Concept Check 3.7 The Marked-to-Market Value of a Forward Contract 3.8 Futures Prices 3.9 Exercises Appendix 3A Compounding Frequency Appendix 3B Forward and Futures Prices with Constant Interest Rates Appendix 3C Rolling Over Futures Contracts 4 Pricing Forwards and Futures II: Building on the Foundations 4.1 Introduction 4.2 From Theory to Reality 4.3 The Implied Repo Rate 4.4 Transactions Costs 4.5 Forward Prices and Future Spot Prices 4.6 Index Arbitrage 4.7 Exercises Appendix 4A Forward Prices with Convenience Yields 5 Hedging with Futures and Forwards 5.1 Introduction 5.2 A Guide to the Main Results 5.3 The Cash Flow from a Hedged Position 5.4 The Case of No Basis Risk 5.5 The Minimum-Variance Hedge Ratio 5.6 Examples 5.7 Implementation 5.8 Further Issues in Implementation 5.9 Index Futures and Changing Equity Risk 5.10 Fixed-Income Futures and Duration-Based Hedging 5.11 Exercises Appendix 5A Derivation of the Optimal Tailed Hedge Ratio h∗∗ 6 Interest-Rate Forwards and Futures 6.1 Introduction 6.2 Eurodollars and Libor Rates 6.3 Forward-Rate Agreements 6.4 Eurodollar Futures 6.5 Treasury Bond Futures 6.6 Treasury Note Futures 6.7 Treasury Bill Futures 6.8 Duration-Based Hedging 6.9 Exercises Appendix 6A Deriving the Arbitrage-Free FRA Rate Appendix 6B PVBP-Based Hedging Using Eurodollar Futures Appendix 6C Calculating the Conversion Factor Appendix 6D Duration as a Sensitivity Measure Appendix 6E The Duration of a Futures Contract PART TWO Options 7 Options Markets 7.1 Introduction 7.2 Definitions and Terminology 7.3 Options as Financial Insurance 7.4 Naked Option Positions 7.5 Options as Views on Market Direction and Volatility 7.6 Exercises Appendix 7A Options Markets 8 Options: Payoffs and Trading Strategies 8.1 Introduction 8.2 Trading Strategies I: Covered Calls and Protective Puts 8.3 Trading Strategies II: Spreads 8.4 Trading Strategies III: Combinations 8.5 Trading Strategies IV: Other Strategies 8.6 Which Strategies Are the Most Widely Used? 8.7 The Barings Case 8.8 Exercises Appendix 8A Asymmetric Butterfly Spreads 9 No-Arbitrage Restrictions on Option Prices 9.1 Introduction 9.2 Motivating Examples 9.3 Notation and Other Preliminaries 9.4 Maximum and Minimum Prices for Options 9.5 The Insurance Value of an Option 9.6 Option Prices and Contract Parameters 9.7 Numerical Examples 9.8 Exercises 10 Early Exercise and Put-Call Parity 10.1 Introduction 10.2 A Decomposition of Option Prices 10.3 The Optimality of Early Exercise 10.4 Put-Call Parity 10.5 Exercises 11 Option Pricing: An Introduction 11.1 Overview 11.2 The Binomial Model 11.3 Pricing by Replication in a One-Period Binomial Model 11.4 Comments 11.5 Riskless Hedge Portfolios 11.6 Pricing Using Risk-Neutral Probabilities 11.7 The One-Period Model in General Notation 11.8 The Delta of an Option 11.9 An Application: Portfolio Insurance 11.10 Exercises Appendix 11A Riskless Hedge Portfolios and Option Pricing Appendix 11B Risk-Neutral Probabilities and Arrow Security Prices Appendix 11C The Risk-Neutral Probability, No-Arbitrage, and Market Completeness Appendix 11D Equivalent Martingale Measures 12 Binomial Option Pricing 12.1 Introduction 12.2 The Two-Period Binomial Tree 12.3 Pricing Two-Period European Options 12.4 European Option Pricing in General n-Period Trees 12.5 Pricing American Options: Preliminary Comments 12.6 American Puts on Non-Dividend-Paying Stocks 12.7 Cash Dividends in the Binomial Tree 12.8 An Alternative Approach to Cash Dividends 12.9 Dividend Yields in Binomial Trees 12.10 Exercises Appendix 12A A General Representation of European Option Prices 13 Implementing the Binomial Model 13.1 Introduction 13.2 The Lognormal Distribution 13.3 Binomial Approximations of the Lognormal 13.4 Computer Implementation of the Binomial Model 13.5 Exercises Appendix 13A Estimating Historical Volatility 14 The Black-Scholes Model 14.1 Introduction 14.2 Option Pricing in the Black-Scholes Setting 14.3 Remarks on the Formula 14.4 Working with the Formulae I: Plotting Option Prices 14.5 Working with the Formulae II: Algebraic Manipulation 14.6 Dividends in the Black-Scholes Model 14.7 Options on Indices, Currencies, and Futures 14.8 Testing the Black-Scholes Model: Implied Volatility 14.9 The VIX and Its Derivatives 14.10 Exercises Appendix 14A Further Properties of the Black-Scholes Delta Appendix 14B Variance and Volatility Swaps 15 The Mathematics of Black-Scholes 15.1 Introduction 15.2 Geometric Brownian Motion Defined 15.3 The Black-Scholes Formula via Replication 15.4 The Black-Scholes Formula via Risk-Neutral Pricing 15.5 The Black-Scholes Formula via CAPM 15.6 Exercises 16 Options Modeling: Beyond Black-Scholes 16.1 Introduction 16.2 Jump-Diffusion Models 16.3 Stochastic Volatility 16.4 GARCH Models 16.5 Other Approaches 16.6 Implied Binomial Trees/Local Volatility Models 16.7 Summary 16.8 Exercises Appendix 16A Program Code for Jump- Diffusions Appendix 16B Program Code for a Stochastic Volatility Model Appendix 16C Heuristic Comments on Option Pricing under Stochastic Volatility Appendix 16D Program Code for Simulating GARCH Stock Prices Distributions Appendix 16E Local Volatility Models: The Fourth Period of the Example 17 Sensitivity Analysis: The Option “Greeks” 17.1 Introduction 17.2 Interpreting the Greeks: A Snapshot View 17.3 The Option Delta 17.4 The Option Gamma 17.5 The Option Theta 17.6 The Option Vega 17.7 The Option Rho 17.8 Portfolio Greeks 17.9 Exercises Appendix 17A Deriving the Black-Scholes Option Greeks 18 Exotic Options I: Path-Independent Options 18.1 Introduction 18.2 Forward Start Options 18.3 Binary Options 18.4 Chooser Options 18.5 Compound Options 18.6 Exchange Options 18.7 Quanto Options 18.8 Variants on the Exchange Option Theme 18.9 Exercises 19 Exotic Options II: Path-Dependent Options 19.1 Path-Dependent Exotic Options 19.2 Barrier Options 19.3 Asian Options 19.4 Lookback Options 19.5 Cliquets 19.6 Shout Options 19.7 Exercises Appendix 19A Barrier Option Pricing Formulae 20 Value-at-Risk 20.1 Introduction 20.2 Value-at-Risk 20.3 Risk Decomposition 20.4 Coherent Risk Measures 20.5 Exercises 21 Convertible Bonds 21.1 Introduction 21.2 Convertible Bond Terminology 21.3 Main Features of Convertible Bonds 21.4 Breakeven Analysis 21.5 Pricing Convertibles: A First Pass 21.6 Incorporating Credit Risk 21.7 Convertible Greeks 21.8 Convertible Arbitrage 21.9 Summary 21.10 Exercises Appendix 21A Octave Code for the Blended Discount Rate Valuation Tree Appendix 21B Octave Code for the Simplified Das-Sundaram Model 22 Real Options 22.1 Introduction 22.2 Preliminary Analysis and Examples 22.3 A Real Options “Case Study” 22.4 Creating the State Space 22.5 Applications of Real Options 22.6 Summary 22.7 Exercises Appendix 22A Derivation of Cash-Flow Value in the “Waiting-to-Invest” Example PART THREE Swaps 23 Interest Rate Swaps and Floating-Rate Products 23.1 Introduction 23.2 Floating-Rate Notes 23.3 Interest Rate Swaps 23.4 Uses of Swaps 23.5 Swap Payoffs 23.6 Valuing and Pricing Swaps 23.7 Extending the Pricing Arguments 23.8 Case Study: The Procter & Gamble–Bankers Trust “5/30” Swap 23.9 Case Study: A Long-Term Capital Management “Convergence Trade” 23.10 Credit Risk and Credit Exposure 23.11 Hedging Swaps 23.12 Caps, Floors, and Swaptions 23.13 The Black Model for Pricing Caps, Floors, and Swaptions 23.14 Summary 23.15 Exercises 24 Equity Swaps 24.1 Introduction 24.2 Uses of Equity Swaps 24.3 Payoffs from Equity Swaps 24.4 Valuation and Pricing of Equity Swaps 24.5 Summary 24.6 Exercises 25 Currency and Commodity Swaps 25.1 Introduction 25.2 Currency Swaps 25.3 Commodity Swaps 25.4 Summary 25.5 Exercises PART FOUR Interest Rate Modeling 26 The Term Structure of Interest Rates: Concepts 26.1 Introduction 26.2 The Yield-to-Maturity 26.3 The Term Structure of Interest Rates 26.4 Discount Functions 26.5 Zero-Coupon Rates 26.6 Forward Rates 26.7 Yield-to-Maturity, Zero-Coupon Rates, and Forward Rates 26.8 Constructing the Yield-to-Maturity Curve: An Empirical Illustration 26.9 Summary 26.10 Exercises Appendix 26A The Raw YTM Data 27 Estimating the Yield Curve 27.1 Introduction 27.2 Bootstrapping 27.3 Splines 27.4 Polynomial Splines 27.5 Exponential Splines 27.6 Implementation Issues with Splines 27.7 The Nelson-Siegel-Svensson Approach 27.8 Summary 27.9 Exercises Appendix 27A Bootstrapping by Matrix Inversion Appendix 27B Implementation with Exponential Splines 28 Modeling Term-Structure Movements 28.1 Introduction 28.2 Interest-Rate Modeling versus Equity Modeling 28.3 Arbitrage Violations: A Simple Example 28.4 A Gentle Introduction to No-Arbitrage Modeling 28.5 “No-Arbitrage” and “Equilibrium” Models 28.6 Summary 28.7 Exercises 29 Factor Models of the Term Structure 29.1 Overview 29.2 The Black-Derman-Toy Model 29.3 The Ho-Lee Model 29.4 One-Factor Models in Continuous Time 29.5 Multifactor Models 29.6 Affine Factor Models 29.7 Summary 29.8 Exercises Appendix 29A Deriving the Fundamental PDE in Factor Models 30 The Heath-Jarrow-Morton and Libor Market Models 30.1 Overview 30.2 The HJM Framework: Preliminary Comments 30.3 A One-Factor HJM Model 30.4 A Two-Factor HJM Setting 30.5 The HJM Risk-Neutral Drifts: An Algebraic Derivation 30.6 Libor Market Models 30.7 Mathematical Excursion: Martingales 30.8 Libor Rates: Notation 30.9 Risk-Neutral Pricing in the LMM 30.10 Simulation of the Market Model 30.11 Calibration 30.12 Swap Market Models 30.13 Swaptions 30.14 Summary 30.15 Exercises Appendix 30A Risk-Neutral Drifts and Volatilities in HJM PART FIVE Credit Risk 31 Credit Derivative Products 31.1 Introduction 31.2 Total Return Swaps 31.3 Credit Spread Options/Forwards 31.4 Credit Default Swaps 31.5 Credit-Linked Notes 31.6 Correlation Products 31.7 Summary 31.8 Exercises Appendix 31A The CDS Big Bang 32 Structural Models of Default Risk 32.1 Introduction 32.2 The Merton (1974) Model 32.3 Issues in Implementation 32.4 A Practitioner Model 32.5 Extensions of the Merton Model 32.6 Evaluation of the Structural Model Approach 32.7 Summary 32.8 Exercises Appendix 32A The Delianedis-Geske Model 33 Reduced-Form Models of Default Risk 33.1 Introduction 33.2 Modeling Default I: Intensity Processes 33.3 Modeling Default II: Recovery Rate Conventions 33.4 The Litterman-Iben Model 33.5 The Duffie-Singleton Result 33.6 Defaultable HJM Models 33.7 Ratings-Based Modeling: The JLT Model 33.8 An Application of Reduced-Form Models: Pricing CDS 33.9 Summary 33.10 Exercises Appendix 33A Duffie-Singleton in Discrete Time Appendix 33B Derivation of the Drift-Volatility Relationship 34 Modeling Correlated Default 34.1 Introduction 34.2 Examples of Correlated Default Products 34.3 Simple Correlated Default Math 34.4 Structural Models Based on Asset Values 34.5 Reduced-Form Models 34.6 Multiperiod Correlated Default 34.7 Fast Computation of Credit Portfolio Loss Distributions without Simulation 34.8 Copula Functions 34.9 Top-Down Modeling of Credit Portfolio Loss 34.10 Summary 34.11 Exercises Bibliography Name Index Subject Index