Financial Derivatives – Pricing and Risk Management

<p>Introduction xxii</p>
<p>Acknowledgments xxiv</p>
<p>PART I Overview of Financial Derivatives 1</p>
<p>1 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3<br /> G. D. Koppenhaver</p>
<p>2 The Derivatives Marketplace: Exchanges and the Over–the–Counter Market 21<br /> Sharon Brown–Hruska</p>
<p>3 Speculation and Hedging 43<br /> Greg Kuserk</p>
<p>4 The Social Functions of Financial Derivatives 57<br /> Christopher L. Culp</p>
<p>PART II Types of Financial Derivatives 73</p>
<p>5 Agricultural and Metallurgical Derivatives: Pricing 77<br /> Joan C. Junkus</p>
<p>6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89<br /> Joan C. Junkus</p>
<p>7 Equity Derivatives 103<br /> Jeffrey H. Harris and L. Mick Swartz</p>
<p>8 Foreign Exchange Derivatives 115<br /> Robert W. Kolb</p>
<p>9 Energy Derivatives 125<br /> Craig Pirrong</p>
<p>10 Interest Rate Derivatives 135<br /> Ian Lang</p>
<p>11 Exotic Options 143<br /> Robert W. Kolb</p>
<p>12 Event Derivatives 157<br /> Justin Wolfers and Eric Zitzewitz</p>
<p>13 Credit Default Swaps 177<br /> Steven Todd</p>
<p>14 Structured Credit Products 199<br /> Steven Todd</p>
<p>15 Executive Stock Options 211<br /> Robert W. Kolb</p>
<p>16 Emerging Derivative Instruments 221<br /> Steve Swidler</p>
<p>PART III The Structure of Derivatives Markets and Institutions 231</p>
<p>17 The Development and Current State of Derivatives Markets 233<br /> Michael A. Penick</p>
<p>18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249<br /> James L. Carley</p>
<p>19 Clearing and Settlement 263<br /> James T. Moser and David Reiffen</p>
<p>20 Counterparty Credit Risk 283<br /> James Overdahl</p>
<p>21 The Regulation of U.S. Commodity Futures and Options 295<br /> Walter L. Lukken</p>
<p>22 Accounting for Financial Derivatives 305<br /> Ira G. Kawaller</p>
<p>23 Derivative Scandals and Disasters 313<br /> John E. Marthinsen</p>
<p>PART IV Pricing of Derivatives: Essential Concepts 333</p>
<p>24 No–Arbitrage Pricing 335<br /> Robert A. Strong</p>
<p>25 The Pricing of Forward and Futures Contracts 351<br /> David Dubofsky</p>
<p>26 The Black–Scholes Option Pricing Model 371<br /> A. G. Malliaris</p>
<p>27 The Black–Scholes Legacy: Closed–Form Option PricingModels 387<br /> Ant&oacute;nio C&acirc;mara</p>
<p>28 The Pricing and Valuation of Swaps 405<br /> Gerald Gay and Anand Venkateswaran</p>
<p>PART V Advanced Pricing Techniques 423</p>
<p>29 Monte Carlo Techniques in Pricing and Using Derivatives 425<br /> Cara M. Marshall</p>
<p>30 Valuing Derivatives Using Finite Difference Methods 441<br /> Craig Pirrong</p>
<p>31 Stochastic Processes and Models 455<br /> George Chalamandaris and A. G. Malliaris</p>
<p>32 Measuring and Hedging Option Price Sensitivities 477<br /> R. Brian Balyeat</p>
<p>PART VI Using Financial Derivatives 501</p>
<p>33 Option Strategies 503<br /> Stewart Mayhew</p>
<p>34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525<br /> John F. Marshall and Cara M. Marshall</p>
<p>35 Hedge Funds and Financial Derivatives 541<br /> Tom Nohel</p>
<p>36 Real Options and Applications in Corporate Finance 559<br /> Betty Simkins and Kris Kemper</p>
<p>37 Using Derivatives to Manage Interest Rate Risk 575<br /> Steven L. Byers</p>
<p>Index 591</p>