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Essays in Derivatives

Опубликовано на портале: 03-10-2004
New Hope: Frank J. Fabozzi Associates, 1998
Тематический раздел:
This book is a collection of 70 short, non-technical essays on a variety of topics in derivatives. If you have previously read some of my internet essays in my series called DRU, these are the published versions of them. In fact, DRU is no longer available. However, these essays have been polished and are in much better shape than what you previously saw.

Доступны для скачивания 3 эссе из различных разделов и вступление.
Essays in Derivatives
  • Derivatives and Their Markets
    • The Structure of Derivative Markets
    • Forward Contracts and Futures Contracts
    • Options
    • Swaps
    • A Brief History of Derivatives
  • The Basic Instruments
    • Interest Rate Derivatives: FRAs and Options
    • Interest Rate Derivatives: Swaps
    • Currency Swaps
    • Structured Notes
    • Mortgage-Backed and Asset-Backed Securities
    • Equity Swaps
    • Equity-Linked Debt
    • Commodity Swaps
    • American vs. European Options
    • Swaptions
  • Derivative Pricing
    • Put-Call Parity for European Options on Assets
    • Put-Call Parity for American Options on Assets
    • Call Options as Insurance and Margin
    • A Non-Technical Introduction to Brownian Motion (доступно для скачивания)
    • Building a Model of Brownian Motion in the Stock Market
    • Option Pricing: The Black-Scholes Model
    • Option Pricing: The Binomial Model
    • Option Pricing: Numerical Methods
    • Dynamic Option Replication
    • Risk Neutral Pricing of Derivatives: I
    • Risk Neutral Pricing of Derivatives: II
    • It's All Greek to Me
    • Implied Volatility
    • American Call Option Pricing
    • American Put Option Pricing
    • Forward and Futures Pricing
    • Swap Pricing
  • Derivative Strategies
    • Asset Allocation with Derivatives
    • Protective Puts and Portfolio Insurance
    • Misconceptions About Covered Call Writing (доступно для скачивания)
    • Managed Futures
    • Spreads, Risk Reversals, and Collars
    • Box Spreads
  • Exotic Instruments
    • Barrier Options
    • Straddles and Chooser Options
    • Compound and Installment Options
    • Digitla Options
    • Geographic Options
    • Multi-Asset Options
    • Range Forwards
    • Break Forwards
    • Lookback Options
    • Deferred Start and Contingent Premium Options
  • Fixed Income Securities and Derivatives
    • Duration
    • Limitations of Duration and the Concept of Convexity
    • The Term Structure of Interest Rates: Basic Concepts
    • Theories of the Term Structure: I
    • Theories of the Term Structure: II
    • Simple Models of the Term Structure: Vasicek and Cox-Ingersoll-Ross
    • No-Arbitrage Models of the Term Structure: Ho-Lee and Heath-Jarrow-Morton
    • Tree Pricing of Bonds and Interest Rate Derivatives: I
    • Tree Pricing of Bonds and Interest Rate Derivatives: II
    • Tree Pricing of Bonds and Interest Rate Derivatives: III (доступно для скачивания)
    • Tree Pricing of Bonds and Interest Rate Derivatives: IV
    • Tree Pricing of Bonds and Interest Rate Derivatives: V
  • Other Topics and Issues
    • The Value of Risk Management
    • Value at Risk
    • Stock as an Option
    • Credit Risk in Derivatives
    • Credit Derivatives
    • Delivery Options
    • Accounting for Derivatives
    • Derivatives Disclosure
    • Losing Money with Derivatives
    • The Revolution in Derivatives and Risk Management: A Perspective
    • The Strange Relationship Between Academics and Practitioners in Derivatives and Risk Management
  • Recommended Reading List


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