Derivative Instruments: A Guide to Theory and Practice

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Butterworth-Heinemann, Mar 24, 2003 - Business & Economics - 272 pages
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The authors concentrate on the practicalities of each class of derivative, so that readers can apply the techniques in practice. Product descriptions are supported by detailed spreadsheet models, illustrating the techniques employed.

This book is ideal reading for derivatives traders, salespersons, financial engineers, risk managers, and other professionals involved to any extent in the application and analysis of OTC derivatives.
  • Combines theory with valuation to provide overall coverage of the topic area
  • Covers all the latest developments in derivatives
 

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Contents

Chapter 1 Introduction to Derivatives
1
Chapter 2 Overview of Fixed Income Securities
14
Chapter 3 Forwards and Futures Valuation
31
Chapter 4 FRAs and Interest Rate Futures
41
Chapter 5 Bond Futures
57
Chapter 6 Swaps
73
Chapter 7 Credit Derivatives
101
Chapter 8 Equity Futures Contracts
124
Chapter 9 Equity Swaps
145
Chapter 10 Equity and Equity Index Options
155
Chapter 11 Option Pricing
189
Chapter 12 Equitylinked Structured Products
219
Index
249
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About the author (2003)

Brian Eales is a principal lecturer in the Department of Economics, Finance and Business at London Metropolitan University. He is also a consultant and trainer at FOW, the derivatives training and consulting firm. Brian Eales worked in the securities department of the Commerzbank in Frankfurt. He is a graduate of the London School of Economics. Brian’s previous publications include Financial Engineering and Financial Risk Management.

Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at KBC Financial Products, ABN Amro Hoare Govett Limited and Hambros Bank Limited. He has a PhD from Birkbeck, University of London and an MBA from Henley Business School. Moorad lives in Surrey, England.

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