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基本説明
Includes Real-world extracts from the Finanical Times and Wall Street Journal and numerical example.
Full Description
This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications.
Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.
This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real-world emphasis throughout, and include features such as:
* topic boxes, worked examples and learning objectives
* Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases
* supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
Contents
Preface xvii
Part 1: Derivatives: An Overview
Part 2: Forwards and Futures
Part 3: Options and Swaps
Part 4: Advanced Derivatives and Stochastic Processes
Part 5: Risk and Regulation
Glossary 735
List of Symbols 753
List of 'Topic Boxes' 759
Internet Sites 761
References 765
Author Index 769
Subject Index 771