Derivatives: Markets, Valuation, and Risk Management

Praise for Derivatives
"This book is the culmination of twenty years of experience teaching and consulting in the area of futures and options. You will find in it the combination of recent theoretical developments and Bob′s intimate practical knowledge of derivative markets."
—Bernard Dumas, Rothschild Professor of Banking, Professor of Finance, INSEAD
"This is the definitive work on derivatives. It is a comprehensive treatment of the theory, practice, and institutional detail of derivatives; excellent both as a learning tool and as a reference work. Rare for such a work, it is also fun to read."
—T. Eric Kilcollin, Managing Member, Sanborn Kilcollin Partners, LLC former president and CEO, Chicago Mercantile Exchange
"A definitive book by one of the great teachers of derivatives and risk management. It is thoughtful and comprehensive, yet accessible to both students and practitioners of finance. Derivatives fills a glaring lacuna and should be required reading for those serious about derivatives and risk management."
—Campbell R. Harvey, J. Paul Sticht Professor of International Business Fuqua School of Business, Duke University
"An all–encompassing presentation of the world of derivatives, Bob′s book promises to illuminate the subject for the theoretician and practitioner alike. Few other books on the subject are as comprehensive—and as comprehensible. It clearly demonstrates why he is widely recognized as the definitive expert on derivative instruments."
—Joe Levin, Vice President, Research and Product Development Chicago Board Options Exchange
"Bob Whaley′s new derivatives book is accessible and innovative. Students, professors, and practitioners will benefit from Bob′s concise, well–organized, and logical presentation. The book′s many illustrative numeric examples support and extend the reader′s understanding of complex issues."
̵ 2;Dwight Grant, Professor of Global Finance, Thunderbird The Garvin School of International Management

Spis treści:
Preface.
Acknowledgments.
About the Author.
PART ONE: Derivative Markets.
Chapter 1: Derivative Contracts and Markets.
PART TWO: Fundamentals of Valuation.
Chapter 2: Assumptions and Interest Rate Mechanics.
Chapter 3: Relation between Return and Risk.
PART THREE: Forwards/Futures/Swap Valuation.
Chapter 4: No–Arbitrage Price Relations: Forwards, Futures, Swaps.
Chapter 5: Risk Management Strategies: Futures.
PART FOUR: Option Valuation.
Chapter 6: No–Arbitrage Price Relations: Options.
Chapter 7: Valuing Standard Options Analytically.
Chapter 8: Valuing Nonstandard Options Analytically.
Chapter 9: Valuing Options Numerically.
Chapter 10: Risk Management Strategies: Options.
PART FIVE: Stock Derivatives.
Chapter 11: Stock Products.
Chapter 12: Corporate Securities.
Chapter 13: Compensation Agreements.
PART SIX: Stock Index Derivatives.
Chapter 14: Stock Index Products: Futures and Options.
Chapter 15: Stock Index Products: Strategy Based.
PART SEVEN: Currency Derivatives.
Chapter 16: Currency Products.
PART EIGHT: Interest Rate Derivatives.
Chapter 17: Interest Rate Products: Futures and Options.
Chapter 18: Interest Rate Products: Swaps.
Chapter 19: Credit Products.
Chapter 20: Valuing Interest Rate Products Numerically.
PART NINE: Commodity Derivatives.
Chapter 21: Commodity Products.
PART TEN: Lessons Learned.
Chapter 22: Key Lessons 773
APPENDICES.
A. Elementary Statistics.
B. Regression Analysis.
C. Statistical Tables.
D. Glossary.
ABOUT THE CD–ROM.
INDEX.

Nota biograficzna:
Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management , Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaley′s research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific–Basin Finance Journal, and Advances in Futures and Options Research.

Okładka tylna:
Praise for Derivatives
"This book is the culmination of twenty years of experience teaching and consulting in the area of futures and options. You will find in it the combination of recent theoretical developments and Bob′s intimate practical knowledge of derivative markets."
—Bernard Dumas, Rothschild Professor of Banking, Professor of Finance, INSEAD
"This is the definitive work on derivatives. It is a comprehensive treatment of the theory, practice, and institutional detail of derivatives; excellent both as a learning tool and as a reference work. Rare for such a work, it is also fun to read."
—T. Eric Kilcollin, Managing Member, Sanborn Kilcollin Partners, LLC former president and CEO, Chicago Mercantile Exchange
"A definitive book by one of the great teachers of derivatives and risk management. It is thoughtful and comprehensive, yet accessible to both students and practitioners of finance. Derivatives fills a glaring lacuna and should be required reading for those serious about derivatives and risk management."
—Campbell R. Harvey, J. Paul Sticht Professor of International Business Fuqua School of Business, Duke University
"An all–encompassing presentation of the world of derivatives, Bob′s book promises to illuminate the subject for the theoretician an d practitioner alike. Few other books on the subject are as comprehensive—and as comprehensible. It clearly demonstrates why he is widely recognized as the definitive expert on derivative instruments."
—Joe Levin, Vice President, Research and Product Development Chicago Board Options Exchange
"Bob Whaley′s new derivatives book is accessible and innovative. Students, professors, and practitioners will benefit from Bob′s concise, well–organized, and logical presentation. The book′s many illustrative numeric examples support and extend the reader′s understanding of complex issues."
—Dwight Grant, Professor of Global Finance, Thunderbird The Garvin School of International Management