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Applied Derivatives: Options, Futures, and Swaps

ISBN: 978-0-631-21590-5
400 pages
February 2002, Wiley-Blackwell
Applied Derivatives: Options, Futures, and Swaps (0631215905) cover image


Applied Derivatives provides a detailed, yet relatively non-technical, treatment of the conceptual foundations of derivative securities markets' pricing and investment principles. This book draws from the most fundamental concepts of pricing for options, futures, and swaps to provide insight into the potential risks and returns from conventional option investing.

Applied Derivatives is supported by the website www.rendleman.com/book which contains course software referenced in the text and additional questions and problems as they become available.

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Table of Contents


1. An Introduction to Option Markets.

2. Put–Call Parity and Other Pricing Restrictions.

3. An Introduction to the Binomial Option Pricing Model.

4. Advanced Binomial Option Pricing.

5. Practical Issues Associated with Binomial and Black–Scholes-based Option Replication.

6. The Black-Scholes Model: Using and Interpreting the "Greeks".

7. Options Arbitrage.

8. Option Investing from a Risk–Return Perspective.

9. Advanced Option Replication: Creating the Most Cost-effective Replicating Portfolio.

10. The Use of Exchange-traded Options in Asset Allocation.

11. Pricing Interest Rate-dependent Financial Claims with Option Features.

12. Introduction to Futures, Forward, and Swap Markets.

13. Futures Pricing.

14. Hedging with Futures.

15. Interest Rate Futures.

16. Swap Markets.


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Author Information

Richard J. Rendleman, Jr. is Professor of Finance at the University of North Carolina at Chapel Hill. He is considered one of the premier researchers in the field of option pricing. He helped develop implied volatility and the binomial option pricing model, both of which are two of the most widely used tools for evaluating option prices today.

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The Wiley Advantage

  • Provides a detailed, relatively non-technical treatment of the conceptual foundations of derivative securities markets' pricing and investment principles.

  • Uses an international approach that is grounded in theory.

  • Includes several cases and examples per chapter.

  • discusses leadership and careers across cultures.
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"Rendleman provides the very best combination of theoretical grounding, applications, and intuition for serious practitioners of modern financial technology. The knowledge in this text is essential for success in today's sophisticated financial environment and forthcoming product innovations. I strongly recommend Applied Derivatives for anyone who is interested in pursuing a career in financial risk management." Stanley J. Kon, Smith Breeden Associates, Inc. <!--end-->

"Rendleman has written an excellent text. The concepts are clearly presented in a systematic way, often using novel approaches that are communicated without the need of advanced mathematics. The reader will come away, not only with a firm practical understanding of derivative markets, but also with a solid grounding in the theory which will be extremely helpful in keeping up with ongoing developments in this rapidly evolving field." Peter Ritchken, Weatherhead School of Management

"For teachers, traders, and risk managers interested in intuition and applications, Rendleman's book Applied Derivatives is an excellent choice." Robert Geske, UCLA

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