Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Autorentext
ROBERT E. WHALEY is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaley's research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific-Basin Finance Journal, and Advances in Futures and Options Research.
Klappentext
Derivatives markets continue to grow at a rapid rate, with thousands of new products or product variations being introduced every year. In order to make sense of this dynamic environment you need a firm understanding of derivative contract valuation and risk management as well as the structure of the markets within which they trade.
Author Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives will show you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
- Part One provides a broad overview of derivative contracts and the markets within which they trade
- Part Two reviews the basic principles of security valuation and helps prepare you for the upcoming discussion of derivative contract valuation and risk measurement
- Part Three focuses on the valuation of forward contracts and the risk management strategies associated with them
- Part Four focuses on the valuation of option contracts and the risk management strategies associated with them
With a general valuation/risk measurement framework in hand, you'll then be introduced to derivative contracts in specific asset categories. The remaining parts (5–9) of this comprehensive guide are arranged by the nature of the asset underlying the derivatives contract—stocks are discussed first, then stock indexes, currencies, interest rates or bonds, and finally, commodities. In each part, Whaley provides a flavor of the history of each derivatives market. He also examines any contract idiosyncrasies that may affect valuation principles and explores specific risk management strategies/practices as they apply to the markets for particular asset categories.
Derivatives can be used to manage the different types of risks faced by individuals, corporations, and governments. But to effectively implement them takes discipline. Filled with in-depth insights, practical advice, and a companion website that features OPTVAL™ Excel add-ins and spreadsheets, Derivatives offers valuable guidance on applying this key financial tool to a variety of real-world situations.
Inhalt
Preface ix
Acknowledgments xxv
About the Author xxvii
Part One Derivative Markets 1
Chapter 1 Derivative Contracts and Markets 3
Part Two Fundamentals of Valuation 49
Chapter 2 Assumptions and Interest Rate Mechanics 51
Chapter 3 Relation between Return and Risk 89
Part Three Forwards/Futures/Swap Valuation 119
Chapter 4 No-Arbitrage Price Relations: Forwards, Futures, Swaps 121
Chapter 5 Risk Management Strategies: Futures 143
Part Four Option Valuation 173
Chapter 6 No-Arbitrage Price Relations: Options 175
Chapter 7 Valuing Standard Options Analytically 201
Chapter 8 Valuing Nonstandard Options Analytically 261
Chapter 9 Valuing Options Numerically 303
Chapter 10 Risk Management Strategies: Options 347
Part Five Stock Derivatives 381
Chapter 11 Stock Products 383
Chapter 12 Corporate Securities 419
Chapter 13 Compensation Agreements 451
Part Six Stock Index Derivatives 467
Chapter 14 Stock Index Products: Futures and Options 469
Chapter 15 Stock Index Products: Strategy Based 517
Part Seven Currency Derivatives 563
Chapter 16 Currency Products 565
Part Eight Interest Rate Derivatives 601
Chapter 17 Interest Rate Products: Futures and Options 603
Chapter 18 Interest Rate Products: Swaps 637
Chapter 19 Credit Products 679
Chapter 20 Valuing Interest Rate Products Numerically 705
Part Nine Commodity Derivatives 729
Chapter 21 Commodity Products 731
Part Ten Lessons Learned 771
Chapter 22 Key Lessons 773
Appendices
A. Elementary Statistics 779
B. Regression Analysis 821
C. Statistical Tables 861
D. Glossary 869