Derivative Instruments: A Guide to Theory and Practice
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.
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arbitrage bank basis points binomial bond futures bond price borrowing calculated call option cash flows cash market chapter conversion factor convertible bond cost counterparty coupon bond coupon period credit default swap credit derivatives credit risk credit spread current market price delivery month discount factor equation equity index example exchange exercise price expiration expiry date Figure fixed-rate floating-rate forward contract forward rate FTSE FTSE 100 index fund manager futures contract futures price gilt holder illustrated index point instruments interest rate swap intrinsic value investor issue issuer last trading day LIBOR LIFFE loan margin maturity date node option premium option price parity payment present value profit purchase put option PVBP reference asset repo rate sell share price specified spot rate strategy strike price swap rate swaption Table total return TR swap transaction underlying asset underlying security underlying share volatility yield curve zero zero-coupon bond