Essays in Derivatives: Risk-Transfer Tools and Topics Made Easy, Second Edition

Copyright © 2008 Don M. Chance. All rights reserved.

Essays in Derivatives: Risk-Transfer Tools and Topics Made Easy, Second Edition

Author(s): Don M. Chance

Published Online: 20 DEC 2011 03:50PM EST

Print ISBN: 9780470086254

Online ISBN: 9781118266885

DOI: 10.1002/9781118266885

About this Book

Product Information

About The Product

In the updated second edition of Don Chance's well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.

Table of contents

    1. You have free access to this content
      Front Matter (pages i–xviii)

  2. Part I: Derivatives And Their Markets

    1. Chapter 1

      The Structure of Derivative Markets (pages 1–5)

    2. Chapter 2

      A Brief History of Derivatives (pages 7–14)

    3. Chapter 3

      Why Derivatives? (pages 15–23)

    4. Chapter 5

      Options (pages 29–31)

    5. Chapter 6

      Swaps (pages 33–35)

  3. Part I: Derivatives and Their Markets

    1. Chapter 4

      Forward Contracts and Futures Contracts (pages 25–28)

    2. Chapter 7

      Types of Risks (pages 37–40)

  4. Part II: The Basic Instruments

    1. Chapter 8

      Interest Rate Derivatives: Fras and Options (pages 41–47)

    2. Chapter 9

      Interest Rate Derivatives: Swaps (pages 49–52)

    3. Chapter 10

      Currency Swaps (pages 53–56)

    4. Chapter 11

      Structured Notes (pages 57–60)

    5. Chapter 12

      Securitized Instruments (pages 61–65)

    6. Chapter 13

      Equity Swaps (pages 67–69)

    7. Chapter 14

      Equity-Linked Debt (pages 71–73)

    8. Chapter 15

      Commodity Swaps (pages 75–77)

    9. Chapter 16

      American Versus European Options (pages 79–82)

    10. Chapter 17

      Swaptions (pages 83–87)

    11. Chapter 18

      Credit Derivatives (pages 89–93)

    12. Chapter 19

      Volatility Derivatives (pages 95–98)

    13. Chapter 20

      Weather and Environmental Derivatives (pages 99–102)

  5. Part III: Derivative Pricing

    1. Chapter 21

      Forward and Futures Pricing (pages 103–110)

    2. Chapter 22

      Put-Call Parity for European Options on Assets (pages 111–114)

    3. Chapter 23

      Put-Call Parity for American Options on Assets (pages 115–118)

    4. Chapter 24

      Call Options as Insurance and Margin (pages 119–121)

    5. Chapter 25

      A Nontechnical Introduction to Brownian Motion (pages 123–127)

    6. Chapter 26

      Building a Model of Brownian Motion in the Stock Market (pages 129–132)

    7. Chapter 27

      Option Pricing: The Black-Scholes-Merton Model (pages 133–137)

    8. Chapter 28

      Option Pricing: The Binomial Model (pages 139–142)

    9. Chapter 29

      Option Pricing: Numerical Methods (pages 143–146)

    10. Chapter 30

      Dynamic Option Replication (pages 147–151)

    11. Chapter 31

      Risk-Neutral Pricing of Derivatives: I (pages 153–157)

    12. Chapter 32

      Risk-Neutral Pricing of Derivatives: II (pages 159–163)

    13. Chapter 33

      It'S All Greek to Me (pages 165–168)

    14. Chapter 34

      Implied Volatility (pages 169–173)

    15. Chapter 35

      American Call Option Pricing (pages 175–179)

    16. Chapter 36

      American Put Option Pricing (pages 181–184)

    17. Chapter 37

      Swap Pricing (pages 185–189)

  6. Part IV: Derivative Strategies

    1. Chapter 38

      Asset Allocation with Derivatives (pages 191–195)

    2. Chapter 39

      Protective Puts and Portfolio Insurance (pages 197–200)

    3. Chapter 40

      Misconceptions about Covered Call Writing (pages 201–203)

    4. Chapter 41

      Hedge Funds and Other Privately Managed Accounts (pages 205–208)

    5. Chapter 42

      Spreads, Collars, and Prepaid Forwards (pages 209–212)

    6. Chapter 43

      Box Spreads (pages 213–216)

  7. Part V: Exotic Instruments

    1. Chapter 44

      Barrier Options (pages 217–221)

    2. Chapter 45

      Straddles and Chooser Options (pages 223–226)

    3. Chapter 46

      Compound and Installment Options (pages 227–230)

    4. Chapter 47

      Digital Options (pages 231–234)

    5. Chapter 48

      Geographic Options (pages 235–237)

    6. Chapter 49

      Multi-Asset Options (pages 239–242)

    7. Chapter 50

      Range Forwards and Break Forwards (pages 243–248)

    8. Chapter 51

      Lookback Options (pages 249–251)

    9. Chapter 52

      Deferred Start and Contingent Premium Options (pages 253–256)

  8. Part VI: Fixed Income Securities and Derivatives

    1. Chapter 53

      Duration (pages 257–262)

    2. Chapter 54

      Limitations of Duration and the Concept of Convexity (pages 263–267)

    3. Chapter 55

      The Term Structure of Interest Rates (pages 269–272)

    4. Chapter 56

      Theories of the Term Structure: I (pages 273–277)

    5. Chapter 57

      Theories of the Term Structure: II (pages 279–283)

    6. Chapter 58

      Simple Models of the Term Structure: Vasicek and Cox-Ingersoll-Ross (pages 285–289)

    7. Chapter 59

      No-Arbitrage Models of the Term Structure: Ho-Lee and Heath-Jarrow-Morton (pages 291–295)

    8. Chapter 60

      Tree Pricing of Bonds and Interest Rate Derivatives: I (pages 297–300)

    9. Chapter 61

      Tree Pricing of Bonds and Interest Rate Derivatives: II (pages 301–305)

    10. Chapter 62

      Tree Pricing of Bonds and Interest Rate Derivatives: III (pages 307–311)

    11. Chapter 63

      Tree Pricing of Bonds and Interest Rate Derivatives: IV (pages 313–317)

    12. Chapter 64

      Tree Pricing of Bonds and Interest Rate Derivatives: V (pages 319–323)

  9. Part VII: Other Topics and Issues

    1. Chapter 65

      Stock Options (pages 325–333)

    2. Chapter 66

      Value at Risk (pages 335–340)

    3. Chapter 67

      Stock as an Option (pages 341–344)

    4. Chapter 68

      The Credit Risk of Derivatives (pages 345–348)

    5. Chapter 69

      Operational Risk (pages 349–353)

    6. Chapter 70

      Risk Management in an Organization (pages 355–359)

    7. Chapter 71

      Accounting and Disclosure of Derivatives (pages 361–366)

    8. Chapter 72

      Worst Practices in Derivatives (pages 367–373)

    9. Chapter 73

      Best Practices in Derivatives (pages 375–377)

    1. You have free access to this content
      Recommended Reading (pages 379–380)

    1. You have free access to this content
      Answers to End-Of-Essay Questions (pages 381–414)

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