Derivatives: Markets, Valuation, and Risk Management
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
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Markets Valuation and Risk Management Part III ForwardsFuturesSwap Valuation
Markets Valuation and Risk Management Part IV Option Valuation
Markets Valuation and Risk Management Part V Stock Derivatives
Markets Valuation and Risk Management Part VI Stock Index Derivatives
Markets Valuation and Risk Management Part VII Currency Derivatives
Markets Valuation and Risk Management Part VIII Interest Rate Derivatives
Markets Valuation and Risk Management Part IX Commodity Derivatives
Markets Valuation and Risk Management Part X Lessons Learned
Markets Valuation and Risk Management Appendices
Markets Valuation and Risk Management About the CDROM
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arbitrage Assume bond’s call option cash dividends cash flows Chapter commodity compute contract month cost of carry costless arbitrage coupon default delivery derivative contract discount bond early exercise equal estimate Eurodollar European-style call European-style put exercise price expected return expiration Figure firm firm’s fixed rate floating rate forward contract futures contract futures options futures price hedge ILLUSTRATION implied volatility index futures index level index options interest rate swap maturity option contracts option price option value OPTVAL function parameters payment portfolio value present value put option put-call parity rate of interest rate of return regression risk management risk-free bonds risk-free interest rate risk-free rate risk-neutral securities sell soybean standard deviation stock index stock options stock price strategy T-bond Table term terminal asset price terminal value tion U.S. dollar underlying asset variable variance volatility rate yield curve zero-coupon yield curve
Page 2 - An options contract bestows upon its owner the right, but not the obligation, to buy or sell the underlying futures contract at a specified time and "strike
Page 40 - A commodity option is a unilateral contract giving the purchaser of the option the right, but not the obligation, to buy (in the case of a call) or sell (in the case of a put) an underlying futures contract or physicial commodity at specified price (the strike price) for a specified period of time.
Page 10 - ... the field has been cultivated and he receives the harvest according to agreement. 48. If any one owe a debt for a loan, and a storm prostrates the grain, or the harvest fail, or the grain does not grow for lack of water; in that year he need not give his creditor any grain, he washes his debt-tablet in water and pays no rent for this year.