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Practical Readings in Financial Derivatives - Robert W. Kolb

Practical Readings in Financial Derivatives

Paperback Published: 4th February 1998
ISBN: 9781577180845
Number Of Pages: 366

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Practical Readings in Financial Derivatives is a collection of 20 articles spanning major developments in the field in theory and practice. Two central themes govern the content. These are the pricing of financial derivatives and their application in risk management. Section I, Instruments and Pricing, sets forth the derivatives and the principles for pricing them. Section II, Risk Management Applications, illustrates how financial derivatives may be used singly, or in combination, to manage the types of risk encountered in business today. The applied orientation and contemporary selection make Practical Readings in Financial Derivatives a strong supplement to any course on futures, options, swaps, or financial engineering. Readers will welcome the accessible nature of the articles which approach financial derivatives from a "real world" perspective, rather than a strictly technical view.

Part I: Instruments and Pricing:.

Futures and Forwards:.

1. Determining the Relevant Fair Value(s) of S & P 500 Futures: A Case Study Approach: Ira G. Kawaller.

2. Cash-and-Carry Trading and the Pricing of Treasury Bill Futures: Ira G. Kawaller and Timothy W. Koch.

Options:.

3. How to Use the Holes in Black and Scholes: Fischer Black.

Swaps:.

4. Beyond Plain Vanilla: A Taxonomy of Swaps: Peter A. Abken.

5. The Pricing of Interest Rate Swaps: John F. Marshall and Kenneth R. Kapner. 6. Over-the-Counter Interest Rate Derivatives: Anatoli Kuprianov.

Exotics:.

7. Path-Dependent Options: William C. Hunter and David W. Stowe.

8. Path-Dependent Options: Valuation and Applications: William C. Hunter and David W. Stowe.

9. An Introduction to Special-Purpose Derivatives: Path-Dependent Options: Gary Gastineau.

Part II: Risk Management Applications:.

Overview:.

10. Managing Financial Risk: Clifford W. Smith, Jr. Charles W. Smithson, and D. Sykes Wilford.

Debt Markets:.

11. Improving Hedging Performance Using Interest Rate Futures: Robert W. Kolb and Raymond Chiang.

12. Immunizing Bond Portfolios with Interest Rate Futures: Robert W. Kolb and Gerald D. Gay.

13. Interest Rate Swaps versus Eurodollar Strips: Ira G. Kawaller.

Equity Markets:.

14. The Mechanics of Portfolio Insurance: Thomas J. O'Brien.

15. Alternative Paths to Portfolio Insurance: Mark Rubinstein.

16. The October Crash: Some Evidence on the Cascade Theory: G. J. Santoni.

17. Portfolio Insurance and the Market Crash: Mark Rubinstein.

Over-the-Counter Markets:.

18. The Role of Interest Rate Swaps in Corporate Finance: Anatoli Kuprianov.

19. A Tale of Two Bond Swaps: Andrew Kalotay and Bruce Tuckman.

20. Over-the-Counter Financial Derivatives: Risky Business?: Peter A. Abken.

Preface.

ISBN: 9781577180845
ISBN-10: 1577180844
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 366
Published: 4th February 1998
Country of Publication: GB
Dimensions (cm): 24.73 x 17.18  x 2.09
Weight (kg): 0.59
Edition Number: 1