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●Full-length case studies: Several full-length case studies are integrated throughout the text including some of the most (in)famous derivatives disasters in history. These include Amaranth, Barings, LTCM, Metallgesellschaft, Procter & Gamble, and others. These are supplemented by other case studies available on this book's website, including Ashanti, Sumitomo, the Son-of-Boss tax shelters, and AIG.

　　●Extensive use of numerical examples for illustrative purposes: To enable comparability, the numerical examples are often built around a common parameterization. For example, in the chapter on option greeks, a baseline set of parameter values is chosen, and the behavior of each greek is illustrated using departures from these baselines.

　　●End-of-chapter problems: The book offers a large number of end-of-chapter problems. These problems are of three types:

　　(1)Some are conceptual, mostly aimed at ensuring that the basic definitions have been understood, but occasionally involving algebraic manipulations.
　　(2)The second group comprises numerical exercises; problems that can be solved with a calculator or a spreadsheet.
　　(3)The last group contains the programming questions; questions that challenge the students to write code to implement specific models. We were fortunate to have many Silicon Valley engineers as students, from whom we received valuable feedback on these questions.

作者簡介

Rangarajan K. Sundaram
　　
　　現職：New York University

Sanjiv R. Das

　　現職：Santa Clara University

Ch 1 Introduction

PART I: FUTURES AND FORWARDS
Ch 2 Futures Markets
Ch 3 Pricing Forwards and Futures I: The Basic Theory
Ch 4 Pricing Forwards and Futures II
Ch 5 Hedging with Futures & Forwards
Ch 6 Interest-Rate Forwards & Futures

PART II: EQUITY DERIVATIVES
Ch 7 Options Markets
Ch 8 Options: Payoffs & Trading Strategies
Ch 9 No-Arbitrage Restrictions on Option Prices
Ch10 Early Exercise and Put-Call Parity
Ch11 Option Pricing: An Introduction
Ch12 Binomial Option Pricing
Ch13 Implementing the Binomial Model
Ch14 The Black-Scholes Model
Ch15 The Mathematics of Black-Scholes
Ch16 Options Modeling: Beyond Black-Scholes
Ch17 Sensitivity Analysis: The Option “Greeks”
Ch18 Exotic Options I: Path-Independent Options
Ch19 Exotic Options II: Path-Dependent Options
Ch20 Value-at-Risk
Ch21 Convertible Bonds
Ch22 Real Options

PART III: SWAPS
Ch 23 Interest-Rate Swaps and Floating Rate Products
Ch 24 Equity Swaps
Ch 25 Currency Swaps

PART IV INTEREST RATE MODELING
Ch 26 The Term Structure of Interest Rates: Concepts
Ch 27 Estimating the Yield Curve
Ch 28 Modeling Term Structure Movements
Ch 29 Factor Models of the Term Structure
Ch 30 The Heath-Jarrow-Morton and Libor Market Models

PART V: CREDIT DERIVATIVE PRODUCTS
Ch 31 Credit Derivative Products
Ch 32 Structural Models of Default Risk
Ch 33 Reduced Form Models of Default Risk
Ch 34 Modeling Correlated Default

(The following Web chapters are available at www.mhhe.com/sd2e)
PART VI: COMPUTATION
Ch 35 Derivative Pricing with Finite Differencing
Ch 36 Derivative Pricing with Monte Carol Simulation
Ch 37 Using Octave

None

Derivatives：Principles and Practice(二版) 電子書 下載 mobi epub pdf txt 2024

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