Derivatives Essentials : an Introduction to Forwards, Futures, Options and Swaps.
"A clear, practical guide to working effectively with derivative securities products Derivatives Essentials is an accessible, yet detailed guide to derivative securities. With an emphasis on mechanisms over formulas, this book promotes a greater understanding of the topic in a straightforward m...
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Full text (MCPHS users only) |
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| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Somerset :
Wiley,
2016
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| Subjects: | |
| Local Note: | ProQuest Ebook Central |
Table of Contents:
- Title Page; Copyright; Table of Contents; Preface; Acknowledgments; About the Author; Part One: Introduction to Forwards, Futures, and Options; Chapter 1: Forwards and Futures; Introduction; 1.1 Forward contract characteristics; 1.2 Long forward payoff; 1.3 Long forward P & L; 1.4 Short forward payoff; 1.5 Short forward P & L; 1.6 Long forward P & L diagram; 1.7 Short forward P & L diagram; 1.8 Forwards are zero-sum games; 1.9 Counterparty credit risk; 1.10 Futures contracts; Key Points; Chapter 2: Call Options; Introduction; 2.1 Call option characteristics; 2.2 Long call payoff; 2.3 Long call P & L.
- 2.4 Short call payoff2.5 Short call P & L; 2.6 Long call P & L diagram; 2.7 Short call P & L diagram; 2.8 Call options are zero-sum games; 2.9 Call option moneyness; 2.10 Exercising a call option early; 2.11 Comparison of call options and forwards/futures; Key Points; Chapter 3: Put Options; Introduction; 3.1 Put option characteristics; 3.2 Long put payoff; 3.3 Long put P & L; 3.4 Short put payoff; 3.5 Short put P & L; 3.6 Long put P & L diagram; 3.7 Short put P & L diagram; 3.8 Put options are zero-sum games; 3.9 Put option moneyness; 3.10 Exercising a put option early.
- 3.11 Comparison of put options, call options, and forwardsKey Points; Part Two: Pricing and Valuation; Chapter 4: Useful Quantitative Concepts; Introduction; 4.1 Compounding conventions; 4.2 Calculating future value and present value; 4.3 Identifying continuously compounded interest rates; 4.4 Volatility and historical standard deviation; 4.5 Interpretation of standard deviation; 4.6 Annualized standard deviation; 4.7 The standard normal cumulative distribution function; 4.8 The z-score; Key Points; Chapter 5: Introduction to Pricing and Valuation; Introduction.
- 5.1 The concepts of price and value of a forward contract5.2 The concepts of price and value of an option; 5.3 Comparison of price and value concepts for forwards and options; 5.4 Forward value; 5.5 Forward price; 5.6 Option value: The Black-Scholes model; 5.7 Calculating the Black-Scholes model; 5.8 Black-Scholes model assumptions; 5.9 Implied volatility; Key Points; Chapter 6: Understanding Pricing and Valuation; Introduction; 6.1 Review of payoff, price, and value equations; 6.2 Value as the present value of expected payoff; 6.3 Risk-neutral valuation.
- 6.4 Probability and expected value concepts6.5 Understanding the Black-Scholes equation for call value; 6.6 Understanding the Black-Scholes equation for put value; 6.7 Understanding the equation for forward value; 6.8 Understanding the equation for forward price; Key Points; Chapter 7: The Binomial Option Pricing Model; Introduction; 7.1 Modeling discrete points in time; 7.2 Introduction to the one-period binomial option pricing model; 7.3 Option valuation, one-period binomial option pricing model; 7.4 Two-period binomial option pricing model, European-style option.
