ISBN 13 : 978-0-071244800

Sommaire :
1 Introduction

PART ONE: Futures and Forwards
Chapter 2 Futures Markets
Chapter 3 Pricing Forwards and Futures I: The Basic Theory
Chapter 4 Pricing Forwards and Futures II: Building on the Foundations
Chapter 5 Hedging with Futures and Forwards
Chapter 6 Interest-Rate Forwards and Futures

PART TWO Options
Chapter 7 Options Markets
Chapter 8 Options: Payoffs and 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

PART THREE Swaps
Chapter 23 Interest Rate Swaps and Floating-Rate Products
Chapter 24 Equity Swaps
Chapter 25 Currency and Commodity Swaps

PART FOUR Interest Rate Modeling
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

PART FIVE Credit Derivatives
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

Bibliography

PART SIX Computation

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque