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Cover

Introduction to Derivatives

Options, Futures, and Swaps

R. Stafford Johnson

Publication Date - June 2008

ISBN: 9780195301656

816 pages
Hardcover
7 x 10 inches

Retail Price to Students: $164.99

This book provides a thorough explanation of derivatives from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and pricing models.

Description

Since the 1970s, the U.S. economy has experienced relatively sharp swings in stock prices, interest rates, and exchange rates, which has increased the exposure of many debt, equity, and currency positions to market risk. Faced with this risk, many institutional investors have increased their use of futures, option contracts, and other derivative securities.

Introduction to Derivatives: Options, Futures, and Swaps provides a thorough explanation of derivatives from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and pricing models.

Including more than 300 end-of-chapter problems and web exercises at the end of most chapters, Derivatives is ideal for advanced undergraduate, MBA, and MS courses in finance, and serves as an excellent reference for professionals in equity and debt management.

About the Author(s)

R. Stafford Johnson is Professor of Finance in the William College of Business at Xavier University. He has authored or co-authored over 50 journal articles in finance and economics.

Table of Contents

    List of Exhibits
    List of Figures
    List of Tables
    Preface
    PART I: OPTION STRATEGIES AND MARKETS
    1: Option Concepts and Fundamental Strategies
    2: The Option Market
    3: Option Strategies
    PART II: OPTION PRICING
    4: Fundamental Option Price Relations
    5: The Binomial Option Pricing Model
    6: The Binomial Pricing of Options on Dividend-Paying Stocks and Stock Indices
    7: The Binomial Pricing of Options on Currencies and Bonds
    8: The Black Scholes Option Pricing Model
    9: Applications of the Option Pricing Model, The Greeks, and Exotic Options
    PART III: FUTURES AND FUTURES OPTION CONTRACTS
    10: Futures and Forward Contracts
    11: Pricing Futures and Forward Contracts
    12: Options on Futures Contracts
    PART IV: MANAGING EQUITY, CURRENCY, AND DEBT POSITIONS WITH DERIVATIVES
    13: Managing Equity Positions with Stock Index Derivatives
    14: Managing Foreign Currency Positions with Derivatives
    15: Managing Fixed-Income Positions with Interest-Rate Derivatives
    16: Managing Fixed-Income Positions with OTC Derivatives
    PART IV: SWAPS
    17: Interest Rate Swaps
    18: Swap Derivatives: Forward Swaps and Swaptions
    19: Swap Valuation
    20: Currency and Credit Swaps
    PART V: EMBEDDED OPTIONS AND ASSET-BACKED SECURITIES
    21: Embedded Options
    22: Mortgage and Asset-Backed Securities and Their Derivatives
    APPENDIX A: Exponents and Logarithms
    APPENDIX B: Statistical Concepts
    APPENDIX C: Bond Fundamentals
    APPENDIX D: Guide to Derivative Excel Programs
    APPENDIX E: Guide to Bloomberg's Derivative Information and Programs
    ANSWERS TO SELECTED END-OF-THE- PROBLEMS
    GLOSSERY OF TERMS
    Index

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