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Derivatives : principles and practice / Rangarajan K. Sundaram, Sanjiv R. Das.

By: Contributor(s): Material type: TextTextPublication details: New York : McGraw-Hill Irwin, c2011.Description: xxii, 900, [25] p. : ill. ; 26 cmISBN:
  • 9780071244800
  • 0071244808
Subject(s): DDC classification:
  • 332.6457   22
Contents:
Chapter 1: Introduction -- Chapter 2: Futures Markets -- Chapter 3: Pricing Forwards and Futures I: The Basic Theory -- Chapter 4: Pricing Forwards and Futures II -- Chapter 5: Hedging with Futures & Forwards -- Chapter 6: Interest-Rate Forwards & Futures -- Chapter 7: Options Markets -- Chapter 8: Options: Payoffs & Trading Strategies -- Chapter 9: No-Arbitrage Restrictions on Option Prices -- Chapter 10: Early Exercise and Put-Call Parity -- Chapter 11: Option Pricing: An Introduction -- Chapter 12: Binomial Option Pricing -- Chapter 13: Implementing the Binomial Model -- Chapter 14: The Black-Scholes Model -- Chapter 15: The Mathematics of Black-Scholes -- Chapter 16: Options Modeling: Beyond Black-Scholes -- Chapter 17: Sensitivity Analysis: The Option 'Greeks' -- Chapter 18: Exotic Options I: Path-Independent Options -- Chapter 19: Exotic Options II: Path-Dependent Options -- Chapter 20: Value-at-Risk -- Chapter 21: Convertible Bonds -- Chapter 22: Real Options -- Chapter 23: Interest-Rate Swaps and Floating Rate Products -- Chapter 24: Equity Swaps -- Chapter 25: Currency Swaps -- Chapter 26: The Term Structure of Interest Rates: Concepts -- Chapter 27: Estimating the Yield Curve -- Chapter 28: Modeling Term Structure Movements -- Chapter 29: Factor Models of the Term Structure -- Chapter 30: The Heath-Jarrow-Morton and Libor Market Models -- Chapter 31: Credit Derivative Products Chapter 32: Structural Models of Default Risk -- Chapter 33: Reduced Form Models of Default Risk -- Chapter 34: Modeling Correlated Default -- Chapter 35: Derivative Pricing with Finite Differencing -- Chapter 36: Derivative Pricing with Monte Carol Simulation -- Chapter 37: Using Octave.
Summary: It has been the authors' experience that the overwhelming majority of students in MBA derivatives courses go on to careers where a deep conceptual, rather than solely mathematical, understanding of products and models is required. The first edition of Derivatives looks to create precisely such a blended approach, one that is formal and rigorous, yet intuitive and accessible.
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Books Books Main library General Stacks 332.6457 / SU.D 2011 (Browse shelf(Opens below)) 1 Available 011862

Includes bibliographical references and indexes.

Chapter 1: Introduction -- Chapter 2: Futures Markets -- Chapter 3: Pricing Forwards and Futures I: The Basic Theory -- Chapter 4: Pricing Forwards and Futures II -- Chapter 5: Hedging with Futures & Forwards -- Chapter 6: Interest-Rate Forwards & Futures -- Chapter 7: Options Markets -- Chapter 8: Options: Payoffs & Trading Strategies -- Chapter 9: No-Arbitrage Restrictions on Option Prices -- Chapter 10: Early Exercise and Put-Call Parity -- Chapter 11: Option Pricing: An Introduction -- Chapter 12: Binomial Option Pricing -- Chapter 13: Implementing the Binomial Model -- Chapter 14: The Black-Scholes Model -- Chapter 15: The Mathematics of Black-Scholes -- Chapter 16: Options Modeling: Beyond Black-Scholes -- Chapter 17: Sensitivity Analysis: The Option 'Greeks' -- Chapter 18: Exotic Options I: Path-Independent Options -- Chapter 19: Exotic Options II: Path-Dependent Options -- Chapter 20: Value-at-Risk -- Chapter 21: Convertible Bonds -- Chapter 22: Real Options -- Chapter 23: Interest-Rate Swaps and Floating Rate Products -- Chapter 24: Equity Swaps -- Chapter 25: Currency Swaps -- Chapter 26: The Term Structure of Interest Rates: Concepts -- Chapter 27: Estimating the Yield Curve -- Chapter 28: Modeling Term Structure Movements -- Chapter 29: Factor Models of the Term Structure -- Chapter 30: The Heath-Jarrow-Morton and Libor Market Models -- Chapter 31: Credit Derivative Products Chapter 32: Structural Models of Default Risk -- Chapter 33: Reduced Form Models of Default Risk -- Chapter 34: Modeling Correlated Default -- Chapter 35: Derivative Pricing with Finite Differencing -- Chapter 36: Derivative Pricing with Monte Carol Simulation -- Chapter 37: Using Octave.

It has been the authors' experience that the overwhelming majority of students in MBA derivatives courses go on to careers where a deep conceptual, rather than solely mathematical, understanding of products and models is required. The first edition of Derivatives looks to create precisely such a blended approach, one that is formal and rigorous, yet intuitive and accessible.

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