Derivatives Markets

Description

Derivatives Markets is a thorough and well-presented textbook that offers readers an introduction to derivatives instruments, with a gentle introduction to mathematical finance, and provides a working knowledge of derivatives to a wide area of market participants. This new and accessible book provides a lucid, down-to-earth, theoretically rigorous but applied introduction to derivatives.　Many... Read more

Derivatives Markets is a thorough and well-presented textbook that offers readers an introduction to derivatives instruments, with a gentle introduction to mathematical finance, and provides a working knowledge of derivatives to a wide area of market participants.

This new and accessible book provides a lucid, down-to-earth, theoretically rigorous but applied introduction to derivatives.　Many insights have been discovered since the seminal work in the 1970s and the text provides a bridge to and incorporates them. It develops the skill sets needed to both understand and to intelligently use derivatives. These skill sets are developed in part by using concept checks that test the reader's understanding of the material as it is presented.

The text discusses some fairly sophisticated topics not usually discussed in introductory derivatives texts. For example, real-world electronic market trading platforms such as CME’s Globex. On the theory side, a much needed and detailed discussion of what risk-neutral valuation really means in the context of the dynamics of the hedge portfolio.　

The text is a balanced, logical presentation of the major derivatives classes including　 forward and futures contracts in Part I, swaps in Part II, and options in Part III. The material is unified by providing a modern conceptual framework and exploiting the no-arbitrage relationships between the different derivatives classes.

Some of the elements explained in detail in the text are:

Hedging, Basis Risk, Spreading, and Spread Basis Risk　
Financial Futures Contracts, their Underlying Instruments, Hedging and Speculating
OTC　 Markets and Swaps
Option Strategies: Hedging and Speculating
Risk-Neutral Valuation and the Binomial Option Pricing Model
Equivalent Martingale Measures: The Modern Approach to Option Pricing
Option Pricing in Continuous Time: from Bachelier to Black-Scholes and Beyond.

Professor Goldenberg’s clear and concise explanations and end-of-chapter problems, guide the reader through the derivatives markets, developing the reader’s skill sets needed in order to incorporate and manage derivatives in a corporate or risk management setting. This textbook is for students, both undergraduate and postgraduate, as well as for those with an interest in how and why these markets work and thrive.

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1. Derivatives Markets 2. Background in Portfolio Analysis 3. Forward and Futures Contracts 4. Hedging and Basis Risk 5. Financial Futures Contracts 6. Options Markets 7. Rational Option Pricing 8. Option Trading Strategies 9. Valuing European Options in Discrete Time: the Binomial Option Pricing Model 10. Valuing European Options in Continuous Time: the Black Scholes Model 11. Valuing American Put and Call Options 12. Risk Management of an Option Portfolio 13. Futures Options and Currency Options 14. Swaps 15. Interest Rate Options 16. Miscellaneous topics: Exotic Options

Author(s)

Biography

David H. Goldenberg is an independent researcher in New York , USA.

Derivatives Markets

Description

Table of Contents

Author(s)

Biography

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