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Derivatives, Risk Management And Value.

Author: Bellalah Mondher.
Publisher: World Scientific 2009.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like  Read more...
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Genre/Form: Electronic resource
Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Bellalah Mondher.
ISBN: 1282757636 9781282757639 9789812838636 9812838635
OCLC Number: 729020017
Description: 1 online resource (996)
Contents: Cover13; --
CONTENTS --
Dedication --
Foreword by Edward C. Prescott --
Foreword by Harry M. Markowitz --
Foreword by James J. Heckman --
Foreword by George M. Constantinides --
About the Author --
PART I. FINANCIAL MARKETS AND FINANCIAL INSTRUMENTS: BASIC CONCEPTS AND STRATEGIES --
CHAPTER 1. FINANCIAL MARKETS, FINANCIAL INSTRUMENTS, AND FINANCIAL CRISIS --
Chapter Outline --
Introduction --
Summary --
Questions --
Exercises --
Appendix --
References --
CHAPTER 2. RISK MANAGEMENT, DERIVATIVES MARKETS AND TRADING STRATEGIES --
Chapter Outline --
Introduction --
Summary --
Questions --
Case Study: Comparisons Between put and Call Options --
References --
CHAPTER 3. TRADING OPTIONS AND THEIR UNDERLYING ASSET: RISK MANAGEMENT IN DISCRETE TIME --
Chapter Outline --
Introduction --
Case Studies --
Exercises --
Questions --
References --
PART II. PRICING DERIVATIVES AND THEIR UNDERLYING ASSETS IN A DISCRETE-TIME SETTING --
CHAPTER 4. OPTION PRICING: THE DISCRETETIME APPROACH FOR STOCK OPTIONS --
Chapter Outline --
Introduction --
Summary --
Questions --
Appendix: The Lattice Approach --
References --
CHAPTER 5. CREDIT RISKS, PRICING BONDS, INTEREST RATE INSTRUMENTS, AND THE TERM STRUCTURE OF INTEREST RATES --
Chapter Outline --
Introduction --
Summary --
Questions --
References --
CHAPTER 6. EXTENSIONS OF SIMPLE BINOMIAL OPTION PRICINGMODELS TO INTEREST RATES AND CREDIT RISK --
Chapter Outline --
Introduction --
Summary --
Questions --
Appendix A: Ho and Lee model and binomial dynamics of bond prices --
References --
CHAPTER 7. DERIVATIVES AND PATH-DEPENDENT DERIVATIVES: EXTENSIONS AND GENERALIZATIONS OF THE LATTICE APPROACH BY ACCOUNTING FOR INFORMATION COSTS AND ILLIQUIDITY --
Chapter Outline --
Introduction --
Summary --
Questions --
References --
PART III. OPTION PRICING IN A CONTINUOUS-TIME SETTING: BASIC MODELS, EXTENSIONS AND APPLICATIONS --
CHAPTER 8. EUROPEAN OPTION PRICING MODELS: THE PRECURSORS OF THE BLACK8211; SCHOLES8211;MERTON THEORY AND HOLES DURING MARKET TURBULENCE --
Chapter Outline --
Introduction --
Summary --
Questions --
Appendix A. The Cumulative Normal Distribution Function --
Appendix B. The Bivariate Normal Density Function --
References --
CHAPTER 9. SIMPLE EXTENSIONS AND APPLICATIONS OF THE BLACK8211;SCHOLES TYPE MODELS IN VALUATION AND RISK MANAGEMENT --
Chapter Outline --
Introduction --
Summary --
Questions --
Appendix --
References --
CHAPTER 10. APPLICATIONS OF OPTION PRICING MODELS TO THE MONITORING AND THE MANAGEMENT OF PORTFOLIOS OF DERIVATIVES IN THE REAL WORLD --
Chapter Outline --
Introduction --
Summary --
Appendix A: Greek-Letter Risk Measures in Analytical Models --
Appendix B: The Relationship Between Hedging Parameters --
Appendix C: The Generalized Relationship Between the Hedging Parameters --
Appendix D: A Detailed Derivation of the Greek Letters --
Questions --
References --
PART IV. MATHEMATICAL FOUNDATIONS OF OPTION PRICING MODELS IN A CONTINUOUS-TIME SETTING: BASIC CONCEPTS AND EXTENSIONS --
CHAPTER 11. THE DYNAMICS OF ASSET PRICES AND THE ROLE OF INFORMATION: ANALYSIS AND APPLICATIONS IN ASSET AND RISK MANAGEMENT --
Chapter Outline --
Introduction --
Summary --
Questions --
Appendix A: Introduction to Di.usion Processes --
Appendix B: The Conditio.

Abstract:

This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like financial markets and instruments, option pricing models, option pricing theory, exotic derivatives, second generation options, etc. Written in a simple manner and amply supported by real w.

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