Derivative Products and Pricing: The Das Swaps and Financial Derivatives Library, 3rd Edition Revised
ROLE AND FUNCTION OF DERIVATIVES.
1. Financial Derivatives Building Blocks – Forward & Option Contracts.
2. Exchange-Traded Products – Futures & Options On Futures Contracts.
3. Over-The-Counter Products – FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options.
PRICING & VALUING DERIVATIVE INSTRUMENTS.
4. Derivatives Pricing Framework.
5. Interest Rates & Yield Curves.
6. Pricing Forward & Futures Contracts.
7. Option Pricing.
8. Interest Rate Options Pricing.
9. Estimating Volatility & Correlation.
10. Pricing Interest Rate & Currency Swaps.
11. Swap Spreads.
DERIVATIVE TRADING & PORTFOLIO MANAGEMENT.
12. Derivatives Trading & Portfolio Management.
13. Hedging Interest Rate Risk – Individual Instruments.
14. Hedging Interest Rate Risk – Portfolios.
15. Measuring Option Price Sensitivities — The Greek Alphabet of Risk.
16. Delta Hedging/Management of Option Portfolios.
Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets specializing in capital markets and risk management / derivative products.
Das holds Bachelors’ degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters Degree in Business Administration from the Australian Graduate School of Management.