Elementary Financial Derivatives: A Guide to Trading and Valuation with Applications

A step–by–step approach to the mathematical financial theory and quantitative methods needed to implement and apply state–of–the–art valuation techniques Written as an accessible and appealing introduction to financial derivatives, Elementary Financial Derivatives: A Guide to Trading and Valuation with Applications provides the necessary techniques for teaching and learning complex valuation techniques. Filling the current gap in financial engineering literature, the book emphasizes an easy–to–understand approach to the methods and applications of complex concepts without focusing on the underlying statistical and mathematical theories. Organized into three comprehensive sections, the book discusses the essential topics of the derivatives market with sections on options, swaps, and financial engineering concepts applied primarily, but not exclusively, to the futures market.  Providing a better understanding of how to assess risk exposure, the book also includes: A wide range of real–world applications and examples detailing the theoretical concepts discussed throughout Numerous homework problems, highlighted equations, and Microsoft Office® Excel®  modules for valuation Pedagogical elements such as solved case studies, select answers to problems, and key terms and concepts to aid comprehension of the presented material A companion website that contains an Instructor?s Solutions Manual, sample lecture PowerPoint® slides, and related Excel files and data sets Elementary Financial Derivatives: A Guide to Trading and Valuation with Applications is an excellent introductory textbook for upper–undergraduate courses in financial derivatives, quantitative finance, mathematical finance, and financial engineering. The book is also a valuable resource for practitioners in quantitative finance, industry professionals who lack technical knowledge of pricing options, and is appropriate for readers preparing for the CFA exam. INDICE: Table of Figures 7 .1. Derivative Instruments Concepts and Definitions 13 .1.1 Key Derivative Instruments Definitions 14 .1.2 The Role, Risks & Benefits of Derivatives Markets 14 .1.3 Arbitrage 17 .1.4 Miscellaneous 18 .2. Forwards and Futures 24 .2.1 Futures Fundamentals 24 .2.2 Forward Rate Agreements 49 .2.3 Currency Forwards 69 .Problems  2.3 88 .3. Swaps 91 .3.1 Swaps Fundamentals 91 .3.1.1 Interest Rate Swap 92 .Problems 3.1.1 108 .3.2.1 Equity Swaps 109 .Problems 3.2.1 122 .3.2.2 Currency/FX Swap 125 .Problems 3.2.2 136 .3.3.1 Basis Swap 137 .Problems 3.3.1 146 .3.3.2 Credit Default Swap 148 .Problems 3.3.2 161 .4. Options 163 .4.1 Options Fundamentals 163 .4.1.1 Basic Information 163 .4.1.2 Options Trading Strategies 173 .Problems 4.1.2 186 .4.2 Pricing 188 .4.2.1 Binomial Tree Option–Pricing Model 188 .4.2.1.1 One–Period Binomial Mode l189 .Problems 4.2.1 One–period Binomial Trees 203 .4.2.1.2 N – Period Binomial Model 204 .Problems 4.2.1 N–period Binomial Trees 230 .4.2.2 Black–Scholes Formula 232 .Problems 4.2.2 252 .4.3 Greeks 254 .4.3.1 Delta 254 .4.3.2 Gamma 259 .4.3.3 Rho 261 .4.3.4 Vega 264 .4.3.5 Theta 267 .Problems 4.3 271 .4.4 Volatility 273 .4.4.1 Delta Hedging 273 .4.4.2 Greek Neutrality 277 .4.4.3 Implied Volatility 284 .Problems 4.4. 286 .4.5 Exotics 288 .4.5.1 Asian Options 288 .4.5.2. Barrier Option 288 .4.5.3. Basket Options 289 .4.5.4. Binary Options 289 .4.5.5. Chooser Options 291 .4.5.6. Forward Start Options 291 .4.5.7. Look–back Options 291 .Problems 4.5 293 .Index 295 .Literature 299 

• ISBN: 978-1-119-07675-9
• Editorial: Wiley–Blackwell
• Encuadernacion: Cartoné
• Páginas: 296
• Fecha Publicación: 13/11/2015
• Nº Volúmenes: 1
• Idioma: Inglés