Financial Derivatives: An Introduction to Futures, Forwards, Options and Swaps
This text provides a broad-based introduction to both the technical aspects of the main classes of derivatives - futures, forwards, options and swaps - and the markets in which they are traded, and the underlying concepts. Financial Derivatives balances out rigour and accessibility through the clarity of explanations, a graduated mathematical treatment and a variety of teaching and learning features, including chapter introductions, conclusions and annotated further reading; numerous integrated examples and worked activities to illustrate the application of techniques and facilitate self-assessment; and an extensive glossary of terms to assist quick reference and revision. The text is suitable for undergraduate and postgraduate modules in financial derivatives or investments, and students taking the examinations of professional bodies including the ACCA, Securities Institute and Association of Corporate Treasurers. It will also be of interest to practitioners wishing to acquire a working knowledge of financial derivatives.
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The margin system
Removing or enhancing exposures
23 other sections not shown
arbitrage profit asset at-the-money bank basis risk beta bond futures bond prices borrowing buyer buying call option cash flows cash market cash-and-carry cash-and-carry arbitrage cheapest-to-deliver conversion cost coupon yield December delivery delta Delta hedging deposit discount dollar equal eurodollar example exchange rate exercise price expected expiry date exposure fair futures price Figure Financial Futures fund Futures and Options futures contracts futures maturity date futures position gilt government bond hedge ratio hedger Ianuary implied interest rate futures intrinsic value investment involves Iune LIBOR loss million months no-arbitrage band number of contracts offset ofthe option contract option price payment period portfolio price factor price fall price movements proﬁt profit/loss profile purchase put option receipts risk-free selling futures share price short-term interest rate six-month spot price stock index futures stock price strategy strike price swap synthetic three-month interest rate trading transactions underlying instrument value at risk variation margin volatility yield curve zero