Derivatives Markets: 1st Edition (Hardback) book cover

Derivatives Markets

1st Edition

By David Goldenberg

Routledge

666 pages | 97 Color Illus.

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Hardback: 9780415599016
pub: 2016-03-10
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pub: 2016-03-02
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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 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.

Table of Contents

Introduction Part 1 Forward Contracts and Futures Contracts 1. Spot, Forward and Futures Contracting 2. Hedging with Forward Contracts 3. Valuation of Forward Contracts on Underlyings without a Dividend Yield 4. Forward Contracts on Underlyings with a Dividend Yield and Currency Forwards 5. Futures Contracts: Market Organization 6. Hedging, Basis Risk, Spreading and Spread Basis Risk 7. Financial Futures Contracts, their Underlying Instruments, Hedging and Speculating Part 2 Trading Structures Based on Forward Contracts 8. OTC Markets and Swaps Part 3 Options 9. Introduction to Options Markets 10. Rational Option Pricing : Put-Call Parity and Static Replication 11. Option Strategies: Hedging and Speculating 12. Option Pricing in Discrete Time Part I: Static Hedging and the Single- Period Binomial Option Pricing Model 13. Risk-Neutral Valuation and the Binomial Option Pricing Model 14. Option Pricing in Discrete Time Part II: Dynamic Hedging and the Multi-Period Binomial Option Pricing Model 15. Equivalent Martingale Measures: The Modern Approach to Option Pricing 16. Option Pricing in Continuous Time: from Bachelier to Black-Scholes and Beyond. 17. Risk Neutral Valuation, EMMs, The BOPM. and Black Scholes

About the Author

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

Subject Categories

BISAC Subject Codes/Headings:
BUS000000
BUSINESS & ECONOMICS / General
BUS036000
BUSINESS & ECONOMICS / Investments & Securities
BUS039000
BUSINESS & ECONOMICS / Economics / Macroeconomics
BUS050020
BUSINESS & ECONOMICS / Personal Finance / Investing

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