风险管理中的期货和期权 英文版2025|PDF|Epub|mobi|kindle电子书版本百度云盘下载

风险管理中的期货和期权 英文版PDF格式电子书版下载

注意：本站所有压缩包均有解压码： 点击下载压缩包解压工具

1 An introduction to derivatives1

Definitions of various derivatives instruments2

The modern history of financial derivates6

The institutions and mechanisms of the futures markets7

Variation margin17

The mechanics of the options markets18

Recent development in the derivatives markets20

An intuitive introduciton to the uses of options,futures and swaps21

Description of the remainder of this book25

Summary26

Questions26

References27

2 An introduction to quantitative techniques29

Introduction30

Some basic mathematics30

The time value of money34

The mathematics of asset yields39

Frequency distributions of asset returns48

Statistical analysis of the size and variability of asset retums51

Probability distributions57

Covariance,correlation and regression69

An application of the mean,standard deviation and correlation coefficient74

Questions76

Summary76

References and further reading77

Appendix 2.1:The standardized normal distribution78

Appendix 2.2:Percentage points of the t-distribution79

3 The general principles of pricing forwards and futures contracts81

Spot and forward contracts82

Arbitrage and the pricing of financial instruments82

Distinction between value and price84

The pricing of forward and futures contracts on carryable financial assets85

The pricing of forward and futures contracts on non-carryable financial assets94

The differences between forward and futures prices96

Summary97

Questions98

References99

4 The general principles of valuing options101

Introduction102

Limits to an option s price102

Intuitive explanation of factors influencing option values103

Valuation of European options106

Option price ssensitivities118

Valuation of European put options127

The effects of a breakdown in the assumptions129

Questions130

Summary130

References and further reading131

Appendix 4.1:The trinomial equivalent of the binomial option-pricing model132

Appendix 4.2:Introduction to the stochastic calculus of the Black-Scholes model134

5 Volatility143

What is volatility?144

Types of volatility145

Esstimating volatility146

The empirical characteristics of volatility154

Forward volatilities157

Empirical evidence of volatility forecasts161

Summary162

Questions162

References and further reading163

Appendix 5.1:Bisection164

6 Option strategies167

Introduction167

Analysis of option strategies169

Managing the long option position178

Call option writing180

Put option writing187

Option strategies involving more than one option189

Questions199

Summary199

Further reading200

7 Equity options201

Introduction202

The application of equity option valuation models203

The effect of dividend payments on option valuation204

Valuation of American options205

The binomial model applied to American options209

Empirical tests of equity option-pricing models213

Long-term equity warrants218

Bonds with embedded equity options220

Summary222

References and further reading223

Questions223

8 Futures and options on equity indices225

Introduction226

The structure of equity indices226

Futures on equity indices228

Options on equity indices235

Empirical analysis of index option-pricing models247

Index futures and options in equity risk management248

Applications of options on equity indices and on index futures263

Summary273

Questions274

References275

Appendix 8.1:Bivariate GARCH276

Appendix 8.2:Proof of the derivation of the hedge ratio h277

9 Currency forwards and futures279

Introduction280

The quotation of exchange rates280

Foward exchange contracts and currency futures compared282

The determination of forward exchange rates and currency futures prices283

Managing currency risk with forwards or futures290

Summary298

Questions298

References and further reading299

10 Currency options301

Introduction302

Valuation of currency options303

Validity of the models assumptions311

Options on currency futures and forwards314

Applications of currency options to currency risk management318

Summary323

Questions323

References324

11 Short-term interest rate futures327

Introduction327

The exchange-traded and the over-the-counter markets328

Money market interest rate conventions328

Futures and forwards on short-term interest rates336

Applications of interest rate futures and FRAs348

Summary365

Questions365

References and further reading366

12 Bond futures367

Types of bond futures and contract specifications368

Special features of bond futures contracts369

The pricing of bond futures contracts372

Summary of bond futures pricing procedures374

The concept of basis378

Embedded options and the fair price of a future383

Summary of factors affecting embedded options387

Applications of bond futures to risk management388

Summary408

Questions409

References and further reading409

13 Options on debt instruments and interest rates412

Introduction412

Are interest rate options different to other options?412

Applying Black-Scholes-type models to interest rate options414

Applications of short-term interest rate options to risk management420

Term structure models of option pricing430

The nature of debt instruments with embedded options446

Applying the Black-Derman-Toy model to bonds with embedded options449

Summary455

Questions455

References and further reading456

14 Swaps459

Introduction460

The reasons for the swap market s existence460

The analysis of interest rate swaps464

The analysis of currency swaps466

The pricing and valuing of swaps468

Calculating the price of an interest rate472

Valuation of interest rate swaps480

Non-generic interest rate swaps483

Pricing and valuing of currency swaps483

The risks associated with swaps484

Applications of swaps to risk management486

Asset swaps:synthetic instruments for asset management488

Equity swaps489

Commodity swaps492

Options of swaps:swaptions493

Applications of swaptions to risk management496

Summary498

Questions499

Appendix 14.1:Deriving the swap zero coupon curve from the par swap yield curve500

References and further reading500

15 Exotic options505

Introduction506

Path dependence and independence506

Correlation risk506

Types of exotic options507

Correlation risk533

Questions536

References and further reading537

Appendix 15.1:Monte Carlo simulation537

A general introduction to the theory of risk543

16 Managing risk in derivatives portfolios543

Data for measuring risk548

Managing risks applicable to all derivatives portfolios550

Managing exposure to default risk551

Mitigating exposure to default risk553

Managing exposure to interest rate risk557

Managing interest rate risk568

Hedging options portfolios575

Critical analysis and internal control of model application580

Value-at-risk models583

Questions589

References590

Index591