Vor Ort
Merkzettel Warenkorb
  • Produktbild: Derivatives Essentials
  • Produktbild: Derivatives Essentials

Derivatives Essentials An Introduction to Forwards, Futures, Options and Swaps

Aus der Reihe Wiley Finance Editions

69,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.07.2016

Verlag

John Wiley & Sons

Seitenzahl

352

Maße (L/B/H)

23,5/15,7/2,3 cm

Gewicht

663 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-16349-7

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.07.2016

Verlag

John Wiley & Sons

Seitenzahl

352

Maße (L/B/H)

23,5/15,7/2,3 cm

Gewicht

663 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-119-16349-7

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

Noch keine Bewertungen vorhanden

Verfassen Sie die erste Bewertung zu diesem Artikel

Helfen Sie anderen Kundinnen und Kunden durch Ihre Meinung.

Kundinnen und Kunden meinen

Bewertungen (0)
Die Leseprobe wird geladen.
  • Produktbild: Derivatives Essentials
  • Produktbild: Derivatives Essentials
  • Preface xiii
     
    Acknowledgements xvii
     
    About the Author xix
     
    PART ONE Introduction to Forwards, Futures, and Options
     
    CHAPTER 1 Forwards and Futures 3
     
    1.1 Forward contract characteristics 3
     
    1.2 Long forward payoff 6
     
    1.3 Long forward P&L 8
     
    1.4 Short forward payoff 9
     
    1.5 Short forward P&L 10
     
    1.6 Long forward P&L diagram 12
     
    1.7 Short forward P&L diagram 13
     
    1.8 Forwards are zero-sum games 15
     
    1.9 Counterparty credit risk 17
     
    1.10 Futures contracts 19
     
    CHAPTER 2 Call Options 22
     
    2.1 Call option characteristics 22
     
    2.2 Long call payoff 25
     
    2.3 Long call P&L 27
     
    2.4 Short call payoff 29
     
    2.5 Short call P&L 30
     
    2.6 Long call P&L diagram 32
     
    2.7 Short call P&L diagram 33
     
    2.8 Call options are zero-sum games 35
     
    2.9 Call option moneyness 37
     
    2.10 Exercising a call option early 38
     
    2.11 Comparison of call options and forwards/futures 40
     
    CHAPTER 3 Put Options 44
     
    3.1 Put option characteristics 44
     
    3.2 Long put payoff 47
     
    3.3 Long put P&L 49
     
    3.4 Short put payoff 50
     
    3.5 Short put P&L 52
     
    3.6 Long put P&L diagram 53
     
    3.7 Short put P&L diagram 55
     
    3.8 Put options are zero-sum games 57
     
    3.9 Put option moneyness 58
     
    3.10 Exercising a put option early 59
     
    3.11 Comparison of put options, call options, and forwards/futures 60
     
    PART TWO Pricing and Valuation
     
    CHAPTER 4 Useful Quantitative Concepts 65
     
    4.1 Compounding conventions 66
     
    4.2 Calculating future value and present value 68
     
    4.3 Identifying continuously compounded interest rates 71
     
    4.4 Volatility and historical standard deviation 72
     
    4.5 Interpretation of standard deviation 77
     
    4.6 Annualized standard deviation 80
     
    4.7 The standard normal cumulative distribution function 81
     
    4.8 The z-score 83
     
    CHAPTER 5 Introduction to Pricing and Valuation 86
     
    5.1 The concepts of price and value of a forward contract 87
     
    5.2 The concepts of price and value of an option 88
     
    5.3 Comparison of price and value concepts for forwards and options 90
     
    5.4 Forward value 91
     
    5.5 Forward price 92
     
    5.6 Option value: The Black-Scholes model 94
     
    5.7 Calculating the Black-Scholes model 96
     
    5.8 Black-Scholes model assumptions 98
     
    5.9 Implied volatility 99
     
    CHAPTER 6 Understanding Pricing and Valuation 105
     
    6.1 Review of payoff, price, and value equations 106
     
    6.2 Value as the present value of expected payoff 108
     
    6.3 Risk-neutral valuation 109
     
    6.4 Probability and expected value concepts 112
     
    6.5 Understanding the Black-Scholes equation for call value 117
     
    6.6 Understanding the Black-Scholes equation for put value 120
     
    6.7 Understanding the equation for forward value 122
     
    6.8 Understanding the equation for forward price 123
     
    CHAPTER 7 The Binomial Option Pricing Model 126
     
    7.1 Modeling discrete points in time 126
     
    7.2 Introduction to the one-period binomial option pricing model 127
     
    7.3 Option valuation, one-period binomial option pricing model 131
     
    7.4 Two-period binomial option pricing model, European-style option 135
     
    7.5 Two-period binomial model, American-style option 138
     
    7.6 Multi-period binomial option pricing models 140
     
    PART THREE The Greeks
     
    CHAPTER 8 Introduction to the Greeks 145
     
    8.1 Definit