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Derivatives : Valuation and Risk Management - David A. Dubofsky

Derivatives

Valuation and Risk Management

Hardcover

Published: 1st December 2002
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Derivatives: Valuation and Risk Management, by David A. Dubofsky and Thomas W. Miller, Jr., enables students to acquire a strong working knowledge and thorough understanding of the rapidly growing field of financial derivatives. Students will learn essential risk management skills, such as how markets in these securities can be used to shift risk away from or toward the user.
With the purchase of this book, students will also have the unique opportunity to utilize Fincad XL-Dubofsky/Miller Edition, a limited version of FinancialCAD's comprehensive derivatives valuation toolkit, Fincad XL. The book features many examples using FinancialCAD's industry-leading package, affording students the chance to develop "real life" skills and helping business school students gain a competitive edge in the job market. Derivatives: Valuation and Risk Management is ideal for both undergraduate and graduate classes on derivatives, financial risk management, futures, or options.
Fincad XL is a software product currently used by thousands of financial practitioners and companies worldwide. Functions available in Fincad XL-Dubofsky/Miller Edition include: A- Swaps A- Forward Rates A- Vanilla Options A- Exotic Options A- Fixed Income A- Interest Rate Derivatives
To download your copy of Fincad XL-Dubofsky/Miller Edition, go to www.fincad.com/oxford. For more information on the complete version of Fincad XL, visit www.fincad.com.

Preface: Acknowledgments: PART 1. INTRODUCTION TO DERIVATIVES AND RISK MANAGEMENT 1. An Overview of Derivative Contracts 1.1: Forward Contracts and Futures Contracts 1.2: Swaps 1.3: Options 1.4: Why Is It Important to Learn About Derivatives? 1.5: Summary 2. Risk and Risk Management 2.1: What Is Risk? 2.2: How Is Risk Managed? 2.3: Should Firms Manage Risk? 2.4: What Should Be Done After Risk Exposures Have Been Identified? 2.5: Accounting for Derivatives: FAS 133 2.6: Summary PART 2. FORWARD CONTRACTS AND FUTURES CONTRACTS 3. Introduction to Forward Contracts 3.1: General Concepts 3.2: Forward Rate Agreements 3.3: Forward Foreign Exchange Contracts 3.4: Summary 4. Using Forward Contracts to Manage Risk 4.1: Using Forwards to Manage Commodity Price Risk 4.2: Using Forwards to Manage Interest Rate Risk 4.3: Using Forward Foreign Exchange Contracts to Manage Risk 4.4: What Quantity Should Be Bought or Sold Forward? 4.5: Summary 5. Determining Forward Prices and Futures Prices 5.1: Forward Commodity Prices 5.2: Forward Exchange Rates 5.3: Forward Interest Rates 5.4: Summary 6. Introduction to Futures 6.1: Futures Contracts and Forward Contracts 6.2: Margin Requirements for Futures Contracts 6.3: Marking to Market 6.4: Basis and Convergence 6.5: Should Futures Prices Equal Forward Prices? 6.6: Futures Contracts, Exchanges, and Regulation 6.7: The Purposes of Futures Markets 6.8: Reading Futures Prices in the Wall Street Journal 6.9: Limits on Price Fluctuations 6.10: Orders and Position Limits 6.11: Individuals in the Futures Industry 6.12: Taxes and Commissions 6.13: Summary 7. Risk Management with Futures Contracts 7.1: Introduction 7.2: Some Special Considerations in Hedging with Futures 7.3: The Hedge Ratio 7.4: Tailing the Hedge 7.5: Managing the Futures Hedge 7.6: Summary 8. Stock Index Futures 8.1: What Is An Index? 8.2: Pricing Stock Index Futures 8.3: Risk Management With Stock Index Futures 8.4: Summary 9. Treasury Bond and Treasury Note Futures 9.1: Features of the T-Bond Futures Contracts 9.2: Determining T-Bond and T-Note Futures Prices 9.3: Using T-Bond Futures to Shift Interest Rate Risk 9.4: Advanced Applications of T-Bond and T-Note Futures Contracts 9.5: Summary 10. Treasury Bill and Eurodollar Features 10.1: The Spot Treasury Bill Market 10.2: T-Bill Futures Contracts 10.3: The Eurodollar Cash Market 10.4: Eurodollar Futures Contracts 10.5: Two Useful Applications of Eurodollar Futures Contracts 10.6: Hedging with Short-Term Interest Rate Futures 10.7: Eurodollar Bundles and Packs 10.8: Summary PART 3. SWAPS 11. An Introduction to Swaps 11.1: Interest Rate Swaps 11.2: Currency Swaps 11.3: Commodity Swaps 11.4: Equity Index Swaps 11.5: Credit Risk in Swaps and Credit Swaps 11.6: Summary 12. Using Swaps to Manage Risk 12.1: Using Interest Rate Swaps 12.2: Using Currency Swaps 12.3: Using Commodity Swaps 12.4: Using Equity Swaps 12.5: Using Index Swaps 12.6: Using Diff Swaps 12.7: Summary 13. Pricing and Valuing Swaps 13.1: Pricing and Valuing Plain Vanilla Fixed Floating Interest Rate Swaps 13.2: Pricing a Currency Swap 13.3: Pricing a Commodity Swap 13.4: Summary PART 4. OPTIONS 14. Introduction to Options 14.1: Call Options 14.2: Put Options 14.3: In the Money, At the Money, Out of the Money 14.4: Intrinsic Value and Time Value 14.5: Payout Protection 14.6: Pricing at Expiration 14.7: A Brief Look at Option Pricing Before Expiration 14.8: Stock Options Markets 14.9: Reading Options Prices in the Financial Press 14.10: Transaction Costs 14.11: Margin 14.12: Taxes 14.13: Index Options 14.14: Foreign Exchange Options 14.15: Futures Options 14.16: Other Options 14.17: Summary 15. Options Strategies and Profit Diagrams 15.1: Profit Diagrams for Long Stock and Short Stock 15.2: Long Calls 15.3: Writing a Naked Call 15.4: Long Puts 15.5: Writing a Naked Put 15.6: Covered Call Writing 15.7: Vertical Spreads 15.8: Straddles and Strangles 15.9: Synthetic Forward 15.10: Other Strategies 15.11: Ratio-of-Return Diagrams 15.12: Profit Diagrams for Different Holding Periods 15.13: Several Caveats 15.14: Research on Option Strategies 15.15: Summary 16. Arbitrage Restrictions on Option Prices 16.1: Notation 16.2: Pricing Restrictions for Calls 16.3: Puts 16.4: Put-Call Parity 16.5: Box Spreads Using European Options 16.6: Summary 17. The Binomial Option Pricing Model 17.1: A Quiz 17.2: Deriving the Binomial Option Pricing Model for Calls on Non-Dividend-Paying Stocks 17.3: Using the Binomial Option Pricing Model to Value Calls on Dividend-Paying Stocks 17.4: Puts 17.5: Portfolio Insurance and Dynamic Trading 17.6: Other References on the BOPM and Dynamic Trading 17.7: Summary 18. Continuous Time Option Pricing Models 18.1: The Black-Scholes Option Pricing Model 18.2: The Black-Scholes Option Pricing Model and a Detailed Numerical Example 18.3: An Intuitive Look at the Black-Scholes Option Pricing Model 18.4: The Black-Scholes Option Pricing Model and European Put Prices 18.5: Two Handy Extensions of the Black-Scholes Option Pricing Model 18.6: The Relationship Between the Binomial Option Pricing Model and the Black-Scholes Option Pricing Model 18.7: The Nettlesome Task of Estimating a Security's Volatility 18.8: Generalizing the Black-Scholes Option Pricing Model 18.9: Options on Futures Contracts 18.10: American Call Options 18.11: Summary 19. Risk Management for Using Options 19.1: The Greeks 19.2: The Importance of Delta 19.3: Riskless Hedging 19.4: Position Deltas and Gammas 19.5: Caps, Floors, and Collars: Using Options to Manage Interest Rate Risk 19.6: Summary PART 5. DERIVATIVE FRONTIERS 20. Current Topics in Risk Management 20.1: Value at Risk (VaR) 20.2: Credit Derivatives and Options on Debt Instruments 20.3: Exotic Options 20.4: Summary Bibliography Index

ISBN: 9780195114706
ISBN-10: 0195114701
Audience: Tertiary; University or College
Format: Hardcover
Language: English
Number Of Pages: 672
Published: 1st December 2002
Publisher: Oxford University Press Inc
Country of Publication: US
Dimensions (cm): 24.3 x 19.6  x 3.6
Weight (kg): 0.79