Applied Derivatives: Options, Futures, and Swaps
February 2002, Wiley-Blackwell
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.
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.
- 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.
"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