skip to content
Derivatives : principles and practice Preview this item
ClosePreview this item

Derivatives : principles and practice

Author: Rangarajan K Sundaram; Sanjiv R Das
Publisher: New York : McGraw-Hill Irwin, ©2011.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Suitable for students in MBA derivatives courses, this book covers futures and forwards; options; and swaps. It examines term-structure modeling and the pricing of interest-rate derivatives, and is  Read more...

Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Document Type: Book
All Authors / Contributors: Rangarajan K Sundaram; Sanjiv R Das
ISBN: 9780072949315 0072949317
OCLC Number: 500185427
Description: xxii, 900, [25] pages : illustrations ; 26 cm
Contents: Introduction --
Future markets --
Pricing forwards and futures I: the basic theory --
Pricing forwards and futures II: building on the foundations --
Hedging with futures and forwards --
Interest-rate forwards and futures --
Option markets --
Options: payoffs and trading strategies --
No-arbitrage restrictions on option prices --
Early exercise and put-call parity --
Option pricing: an introduction --
Binomial option pricing --
Implementing the binomial model --
The Black-Scholes model --
Options modeling: beyond Black-Scholes --
Sensitivity analysis: the option "Greeks" --
Exotics options I: path-independent options --
Exotic options II: path-dependent options --
Value-at-risk --
Convertible bonds --
Real options --
Interest rate swaps and floating-rate products --
Equity swaps --
Currency and commodity swaps --
The term structure of interest rates: concepts --
Estimating the yield curve --
Modeling term-structure movements --
Factor models of the term structure --
The Heath-Jarrow-Morton and Libor market models --
Credit derivative products --
Structural models of default risk --
reduced-form models of default risk --
Modeling correlated default --
Derivative pricing with finite differencing --
Derivative pricing with Monte Carlo simulation --
Using octave.
Responsibility: Rangarajan K. Sundaram, Sanjiv R. Das.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Related Subjects:(1)

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/500185427> # Derivatives : principles and practice
    a schema:CreativeWork, schema:Book ;
   library:oclcnum "500185427" ;
   library:placeOfPublication <http://dbpedia.org/resource/New_York_City> ; # New York
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/nyu> ;
   schema:about <http://dewey.info/class/332.6457/e22/> ;
   schema:about <http://id.worldcat.org/fast/891019> ; # Derivative securities
   schema:bookFormat bgn:PrintBook ;
   schema:contributor <http://viaf.org/viaf/6039497> ; # Sanjiv Ranjan Das
   schema:copyrightYear "2011" ;
   schema:creator <http://viaf.org/viaf/40324833> ; # Rangarajan K. Sundaram
   schema:datePublished "2011" ;
   schema:description "Introduction -- Future markets -- Pricing forwards and futures I: the basic theory -- Pricing forwards and futures II: building on the foundations -- Hedging with futures and forwards -- Interest-rate forwards and futures -- Option markets -- Options: payoffs and trading strategies -- No-arbitrage restrictions on option prices -- Early exercise and put-call parity -- Option pricing: an introduction -- Binomial option pricing -- Implementing the binomial model -- The Black-Scholes model -- Options modeling: beyond Black-Scholes -- Sensitivity analysis: the option "Greeks" -- Exotics options I: path-independent options -- Exotic options II: path-dependent options -- Value-at-risk -- Convertible bonds -- Real options -- Interest rate swaps and floating-rate products -- Equity swaps -- Currency and commodity swaps -- The term structure of interest rates: concepts -- Estimating the yield curve -- Modeling term-structure movements -- Factor models of the term structure -- The Heath-Jarrow-Morton and Libor market models -- Credit derivative products -- Structural models of default risk -- reduced-form models of default risk -- Modeling correlated default -- Derivative pricing with finite differencing -- Derivative pricing with Monte Carlo simulation -- Using octave."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/796315689> ;
   schema:inLanguage "en" ;
   schema:name "Derivatives : principles and practice"@en ;
   schema:productID "500185427" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/500185427#PublicationEvent/new_york_mcgraw_hill_irwin_2011> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/796315689#Agent/mcgraw_hill_irwin> ; # McGraw-Hill Irwin
   schema:workExample <http://worldcat.org/isbn/9780072949315> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/500185427> ;
    .


Related Entities

<http://dbpedia.org/resource/New_York_City> # New York
    a schema:Place ;
   schema:name "New York" ;
    .

<http://experiment.worldcat.org/entity/work/data/796315689#Agent/mcgraw_hill_irwin> # McGraw-Hill Irwin
    a bgn:Agent ;
   schema:name "McGraw-Hill Irwin" ;
    .

<http://id.worldcat.org/fast/891019> # Derivative securities
    a schema:Intangible ;
   schema:name "Derivative securities"@en ;
    .

<http://viaf.org/viaf/40324833> # Rangarajan K. Sundaram
    a schema:Person ;
   schema:familyName "Sundaram" ;
   schema:givenName "Rangarajan K." ;
   schema:name "Rangarajan K. Sundaram" ;
    .

<http://viaf.org/viaf/6039497> # Sanjiv Ranjan Das
    a schema:Person ;
   schema:familyName "Das" ;
   schema:givenName "Sanjiv Ranjan" ;
   schema:givenName "Sanjiv R." ;
   schema:name "Sanjiv Ranjan Das" ;
    .

<http://worldcat.org/isbn/9780072949315>
    a schema:ProductModel ;
   schema:isbn "0072949317" ;
   schema:isbn "9780072949315" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.