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An introduction to equity derivatives : theory and practice

Author: Sébastien Bossu; Philippe Henrotte
Publisher: Chichester, West Sussex, U.K. : Wiley, 2012.
Edition/Format:   Print book : English : English language edView all editions and formats
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Everything you need to get a grip on the complex world of derivatives Written by the internationally respected academic/finance professional author team of Sebastien Bossu and Philipe Henrotte, An  Read more...

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Genre/Form: Problems and exercises
Problems, exercises, etc
Document Type: Book
All Authors / Contributors: Sébastien Bossu; Philippe Henrotte
ISBN: 9781119961857 1119961858
OCLC Number: 767563908
Notes: "Translated from the original French edition, Finance des marchés : techniques quantitatives et applications pratiques, copyright © Dunod, Paris, 2008, 2nd edition"--Title page verso.
Description: xvi, 231 pages : illustrations ; 25 cm
Contents: Machine generated contents note: pt. I BUILDING BLOCKS --
1. Interest Rate --
1-1. Measuring Time --
1-2. Interest Rate --
1-2.1. Gross Interest Rate --
1-2.2. Compounding. Compound Interest Rate --
1-2.3. Conversion Formula --
1-2.4. Annualization --
1-3. Discounting --
1-3.1. Present Value --
1-3.2. Discount Rate and Required Return --
1-4. Problems --
2. Classical Investment Rules --
2-1. Rate of Return. Time of Return --
2-1.1. Gross Rate of Return (ROR) --
2-1.2. Time of Return (TOR) --
2-2. Net Present Value (NPV) --
2-3. Internal Rate of Return (IRR) --
2-4. Other Investment Rules --
2-5. Further Reading --
2-6. Problems --
3. Fixed Income --
3-1. Financial Markets --
3-1.1. Securities and Portfolios --
3-1.2. Value and Price --
3-1.3. Financial Markets and Short-selling --
3-1.4. Arbitrage --
3-1.5. Price of a Portfolio --
3-2. Bonds --
3-2.1. Treasury Bonds --
3-2.2. Zero-Coupon Bonds --
3-2.3. Bond Markets --
3-3. Yield --
3-3.1. Yield to Maturity --
3-3.2. Yield Curve --
3-3.3. Approximate Valuation --
3-4. Zero-Coupon Yield Curve. Arbitrage Price --
3-4.1. Zero-Coupon Rate Curve --
3-4.2. Arbitrage Price of a Bond --
3-4.3. Zero-Coupon Rate Calculation by Inference the `Bootstrapping' Method --
3-5. Further Reading --
3-6. Problems --
4. Portfolio Theory --
4-1. Risk and Return of an Asset --
4-1.1. Average Return and Volatility --
4-1.2. Risk-free Asset. Sharpe Ratio --
4-2. Risk and Return of a Portfolio --
4-2.1. Portfolio Valuation --
4-2.2. Return of a Portfolio --
4-2.3. Volatility of a Portfolio --
4-3. Gains of Diversification. Portfolio Optimization --
4-4. Capital Asset Pricing Model --
4-5. Further Reading --
4-6. Problems --
pt. II FIRST STEPS IN EQUITY DERIVATIVES --
5. Equity Derivatives --
5-1. Introduction --
5-2. Forward Contracts --
5-2.1. Payoff --
5-2.2. Arbitrage Price --
5-2.3. Forward Price --
5-2.4. Impact of Dividends --
5-2.4.1. Single Cash Dividend --
5-2.4.2. Single Proportional Dividend --
5-3. `Plain Vanilla' Options --
5-3.1. Payoff --
5-3.2. Option Value --
5-3.3. Put-Call Parity --
5-3.4. Option Strategies --
5-3.4.1. Leverage --
5-3.4.2. Covered Call --
5-3.4.3. Straddle --
5-3.4.4. Butterfly --
5-4. Further Reading --
5-5. Problems --
6. Binomial Model --
6-1. One-Step Binomial Model --
6-1.1. Example --
6-1.2. General Formulas --
6-2. Multi-Step Binomial Trees --
6-3. Binomial Valuation Algorithm --
6-4. Further Reading --
6-5. Problems --
7. Lognormal Model --
7-1. Fair Value --
7-1.1. Probability Distribution of ST --
7-1.2. Discount Rate --
7-2. Closed-Form Formulas for European Options --
7-3. Monte-Carlo Method --
7-4. Further Reading --
7-5. Problems --
8. Dynamic Hedging --
8-1. Hedging Option Risks --
8-1.1. Delta-hedging --
8-1.2. Other Risk Parameters: the `Greeks' --
8-1.3. Hedging the Greeks --
8-2. P&L of Delta-hedged Options --
8-2.1. Gamma --
8-2.2. Theta --
8-2.3. Option Trading P&L Proxy --
8-3. Further Reading --
8-4. Problems --
pt. III ADVANCED MODELS AND TECHNIQUES --
9. Models for Asset Prices in Continuous Time --
9-1. Continuously Compounded Interest Rate --
9-1.1. Fractional Interest Rate --
9-1.2. Continuous Interest Rate --
9-2. Introduction to Models for the Behavior of Asset Prices in Continuous Time --
9-3. Introduction to Stochastic Processes --
9-3.1. Standard Brownian Motion --
9-3.2. Generalized Brownian Motion --
9-3.3. Geometric Brownian Motion --
9-4. Introduction to Stochastic Calculus --
9-4.1. Ito Process --
9-4.2. Ito-Doeblin Theorem --
9-4.3. Heuristic Proof of the Ito-Doeblin Theorem --
9-5. Further Reading --
9-6. Problems --
10. Black-Scholes Model --
10-1. Black-Scholes Partial Differential Equation --
10-1.1. Ito-Doeblin Theorem for the Derivative's Value --
10-1.2. Riskless Hedged Portfolio --
10-1.3. Arbitrage Argument --
10-1.4. Partial Differential Equation --
10-1.5. Continuous Delta-hedging --
10-2. Black-Scholes Formulas for European Vanilla Options --
10-3. Volatility --
10-3.1. Historical Volatility --
10-3.2. Implied Volatility --
10-4. Further Reading --
10-5. Problems --
11. Volatility Trading --
11-1. Implied and Realized Volatilities --
11-1.1. Realized Volatility --
11-1.2. Implied Volatility --
11-2. Volatility Trading Using Options --
11-3. Volatility Trading Using Variance Swaps --
11-3.1. Variance Swap Payoff --
11-3.2. Variance Swap Market --
11-3.3. Variance Swap Hedging and Pricing --
11-4. Further Reading --
11-5. Problems --
12. Exotic Derivatives --
12-1. Single-Asset Exotics --
12-1.1. Digital Options --
12-1.2. Asian Options --
12-1.3. Barrier Options --
12-1.4. Lookback Options --
12-1.5. Forward Start Options --
12-1.6. Cliquet Options --
12-1.7. Structured Products --
12-2. Multi-Asset Exotics --
12-2.1. Spread Options --
12-2.2. Basket Options --
12-2.3. Worst-of and Best-of Options --
12-2.4. Quanto Options --
12-2.5. Structured Products --
12-2.6. Dispersion and Correlation Trading --
12-3. Beyond Black-Scholes --
12-3.1. Black-Scholes on Multiple Assets --
12-3.2. Fitting the Smile --
12-3.2.1. Stochastic Volatility --
12-3.2.2. Jumps --
12-3.2.3. Local Volatility --
12-3.3. Discrete Hedging and Transaction Costs --
12-3.3.1. Discrete Hedging --
12-3.3.2. Transaction Costs --
12-3.4. Correlation Modeling --
12-4. Further Reading --
12-5. Problems --
SOLUTIONS --
Problem Solutions --
Chapter 1 --
Chapter 2 --
Chapter 3 --
Chapter 4 --
Chapter 5 --
Chapter 6 --
Chapter 7 --
Chapter 8 --
Chapter 9 --
Chapter 10 --
Chapter 11 --
Chapter 12 --
APPENDICES --
A. Probability Review --
A-1. States of Nature. Random Variables. Events --
A-2. Probability. Expectation. Variance --
A-3. Distribution. Normal Distribution --
A-4. Independence. Correlation --
A-5. Probability Formulas --
A-6. Further Reading --
B. Calculus Review --
B-1. Functions of Two Variables x and y --
B-2. Taylor Expansions --
C. Finance Formulas --
C-1. Rates and Yields --
C-2. Present Value. Arbitrage Price --
C-3. Forward Contracts --
C-4. Options --
C-5. Volatility --
C-6. Stochastic Processes. Stochastic Calculus --
C-7. Greeks etc.
Other Titles: Finance des marchés.
Equity derivatives
Responsibility: Sébastien Bossu, Philippe Henrotte.

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