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Practical Readings in Financial Derivatives

Practical Readings in Financial Derivatives

Robert W. Kolb

ISBN: 978-1-577-18084-5 February 1998 Wiley-Blackwell 366 Pages


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Two central themes govern the content--the pricing of financial derivatives and their practical application in risk management.
Part I: Instruments and Pricing:.

Futures and Forwards:.

1. Determining the Relevant Fair Value(s) of S & P 500 Futures: A Case Study Approach: Ira G. Kawaller.

2. Cash-and-Carry Trading and the Pricing of Treasury Bill Futures: Ira G. Kawaller and Timothy W. Koch.


3. How to Use the Holes in Black and Scholes: Fischer Black.


4. Beyond Plain Vanilla: A Taxonomy of Swaps: Peter A. Abken.

5. The Pricing of Interest Rate Swaps: John F. Marshall and Kenneth R. Kapner. 6. Over-the-Counter Interest Rate Derivatives: Anatoli Kuprianov.


7. Path-Dependent Options: William C. Hunter and David W. Stowe.

8. Path-Dependent Options: Valuation and Applications: William C. Hunter and David W. Stowe.

9. An Introduction to Special-Purpose Derivatives: Path-Dependent Options: Gary Gastineau.

Part II: Risk Management Applications:.


10. Managing Financial Risk: Clifford W. Smith, Jr. Charles W. Smithson, and D. Sykes Wilford.

Debt Markets:.

11. Improving Hedging Performance Using Interest Rate Futures: Robert W. Kolb and Raymond Chiang.

12. Immunizing Bond Portfolios with Interest Rate Futures: Robert W. Kolb and Gerald D. Gay.

13. Interest Rate Swaps versus Eurodollar Strips: Ira G. Kawaller.

Equity Markets:.

14. The Mechanics of Portfolio Insurance: Thomas J. O'Brien.

15. Alternative Paths to Portfolio Insurance: Mark Rubinstein.

16. The October Crash: Some Evidence on the Cascade Theory: G. J. Santoni.

17. Portfolio Insurance and the Market Crash: Mark Rubinstein.

Over-the-Counter Markets:.

18. The Role of Interest Rate Swaps in Corporate Finance: Anatoli Kuprianov.

19. A Tale of Two Bond Swaps: Andrew Kalotay and Bruce Tuckman.

20. Over-the-Counter Financial Derivatives: Risky Business?: Peter A. Abken.


* 20 articles spanning the major developments in the field--in theory and practice.
* Focuses on the pricing of financial derivatives and their application in risk management.
* Applied orientation and contemporary selection make the text a strong supplement to any course on futures, options, swaps, or financial engineering.
* Approaches financial derivatives from a real world perspective, rather than a strictly technical view.