Derivatives: Theory and Practice
- 15h 38m
- Dirk Nitzsche, Keith Cuthbertson, Niall O'Sullivan
- John Wiley & Sons (UK)
- 2020
Three experts provide an authoritative guide to the theory and practice of derivatives
Derivatives: Theory and Practice explores the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications.
Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more.
To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.
About the Authors
KEITH CUTHBERTSON is professor of Finance at CASS Business School, City, University of London. He has worked at H.M.Treasury, Bank of England, National Institute of Economic and Social Research NIESR and at business schools at Imperial College London and the University of Newcastle.
DIRK NITZSCHE is Senior Lecturer in Finance, Course Director for the Quants Masters Programmes, and Associate Dean for International Relations at CASS Business School, City, University of London.
NIALL O' SULLIVAN is professor of economics at Cork University Business School, University College Cork and former adjunct lecturer at Dublin City University Business School.
In this Book
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Derivative Securities
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Futures Markets
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Forward and Futures Prices
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Futures—Hedging and Speculation
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Index Futures
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Strategies—Stock Index Futures
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Currency Forwards and Futures
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Interest Rates
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Bond Markets
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Bonds—Duration and Convexity
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Interest Rate Futures
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Hedging with Interest Rate Futures
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T-Bond Futures
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Options Markets
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Uses of Options
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Black–Scholes Model
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Option Strategies
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Stock Options and Stock Index Options
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Foreign Currency Options
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Options on Futures
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BOPM—Introduction
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BOPM—Implementation
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BOPM—Extensions
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Analysis of Black–Scholes
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Pricing European Options
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Pricing Options—Monte Carlo Simulation
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Delta Hedging
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The Greeks
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Portfolio Insurance
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Other Options
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Exotic Options
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Energy and Weather Derivatives
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Interest Rate Swaps
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Pricing Interest Rate Swaps
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Other Interest Rate Swaps
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Currency Swaps
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Equity Swaps
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T-Bond Option, Caps, Floors and Collar
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Swaptions, Forward Swaps, and MBS
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Pricing Fixed Income Options—Black's Model and MCS
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Pricing Fixed Income Derivatives—BOPM
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Credit Default Swaps (CDS)
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Securitisation, ABSs and CDOs
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Value at Risk
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VaR—Other Portfolios
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VaR—Alternative Measures
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Asset Price Dynamics
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Black–Scholes PDE
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Equilibrium Models—Term Structure
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Glossary
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Bibliography
