Derivatives : Valuation and Risk Management

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This new project will draw heavily on the author's previous work on derivative securities (published by McGraw-Hill): Options and Financial Futures. Because of increasing interest in the use (and misuse) of derivative securities in portfolio management, new courses have emerged that are called "risk management," but are primarily based on valuation and application of derivatives. Derivatives: Valuation and Risk Management will be reorganized in three parts: 1) Introduction to the securities and their use, 2) pricing of futures, swaps (new) and options, 3) using derivative securities to manage risk. It will be used in courses called "future and options" or "derivative securities" but will expand primarily into courses called "risk management" for which there is only one book, Smithson/Smith/Wilford: Managing Financial Risk (Irwin 1996). The author will prepare an Instructor's Manual (CRC) and a diskette on risk management. While we expect professional sales for the book, its primary market is for college courses, at the high end of the undergraduate and in MBA programs.
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Product details

  • Hardback | 672 pages
  • 190.5 x 233.68 x 38.1mm | 1,247.37g
  • Oxford University Press Inc
  • New York, United States
  • English
  • numerous figures and tables
  • 0195114701
  • 9780195114706
  • 1,757,590

Table of contents

1. An Overview of Derivative Contracts ; 2. Risk and Risk Management ; 3. Introduction to Forward Contracts ; 4. Using Forward Contracts to Manage Risk ; 5. Determining Forward Prices and Futures Prices ; 6. Introduction to Futures ; 7. Risk Management with Futures Contracts ; 8. Stock Index Futures ; 9. Treasury Bond and Treasury Note Futures ; 10. Treasury Bill and Eurodollar Features ; 11. An Introduction to Swaps ; 12. Using Swaps to Manage Risk ; 13. Pricing and Valuing Swaps ; 14. Introduction to Options ; 16. Arbitrage Restrictions on Option Prices ; 17. The Binomial Option Pricing Model ; 18. Continuous Time Option Pricing Models ; 19. Risk Management for Using Options ; 20. Current Topics in Risk Management
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