Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities

Front Cover
Island Press, 1996 - Business & Economics - 394 pages
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The growth of derivative markets during the past decade has been nothing short of astounding and so, of late, has been the misunderstanding of their use. This book is the definitive resource on derivatives. It is the first to explain all four major classes of derivative instruments - options, futures, interest rate swaps, and mortgage securities - in terms of their market structure, applications, and pricing, with a focus on the valuation methods used most commonly by professional market participants. Unlike most treatments of derivatives, this book offers detailed explanations of the institutional procedure and market practice for each class of derivative as well as the pricing and hedging of mortgage-backed securities and the central role of prepayment in both activities. It also covers a wide variety of topics such as the structuring of CMOs, PACs, and TACs; smile option pricing; and pricing and hedging of long-dated swaps.
 

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Contents

IV
3
V
10
VI
19
VII
22
VIII
26
IX
29
X
31
XI
32
LVII
203
LVIII
207
LIX
210
LX
214
LXI
216
LXII
222
LXIII
225
LXIV
227

XII
37
XIII
42
XIV
56
XV
58
XVI
60
XVII
75
XVIII
76
XIX
77
XX
82
XXI
88
XXII
91
XXIII
93
XXIV
98
XXV
100
XXVI
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XXVII
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XXVIII
110
XXIX
113
XXX
115
XXXI
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XXXII
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XXXIII
131
XXXIV
133
XXXV
137
XXXVI
138
XXXVII
147
XXXIX
149
XL
150
XLI
155
XLII
161
XLIII
166
XLIV
169
XLV
173
XLVI
177
XLVII
178
XLVIII
183
XLIX
189
L
191
LI
195
LII
197
LIII
198
LIV
199
LV
200
LVI
202
LXV
235
LXVI
236
LXVIII
241
LXIX
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LXX
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LXXI
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LXXII
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LXXIII
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LXXIV
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LXXV
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LXXVI
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LXXVII
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LXXVIII
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LXXIX
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LXXX
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LXXXI
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LXXXII
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LXXXIII
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LXXXIV
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LXXXV
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LXXXVI
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LXXXVII
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LXXXVIII
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LXXXIX
305
XC
307
XCI
312
XCII
313
XCIII
317
XCIV
320
XCV
327
XCVI
334
XCVII
336
XCVIII
339
XCIX
341
C
345
CI
351
CII
357
CIII
360
CIV
362
CV
364
CVI
366
CVII
375
CVIII
387
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References to this book

Essays in Derivatives
Don M. Chance
No preview available - 1998

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