Financial engineering
Derivatives and risk management
Keith Cuthbertson, Dirk Nitzsche
Résumé
Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.
This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors.
The authors adopt a real-world emphasis throughout, and include features such as:
- topic boxes, worked examples and learning objectives
- Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases
- supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
- Preface
- Ch. 1 Derivatives: An Overview 3
- Ch. 2 Futures Markets 25
- Ch. 3 Stock Index Futures 59
- Ch. 4 Currency Forwards and Futures 83
- Ch. 5 Short-Term Interest Rate Futures 105
- Ch. 6 T-Bond Futures 143
- Ch. 7 Options Markets 169
- Ch. 8 Options Pricing 191
- Ch. 9 Hedging and Volatility 237
- Ch. 10 Option Spreads and Stock Options 273
- Ch. 11 Foreign Currency Options 301
- Ch. 12 Futures Options 319
- Ch. 13 Portfolio Insurance 333
- Ch. 14 Swamps 353
- Ch. 15 Interest Rate Derivatives 391
- Ch. 16 Complex Derivatives 417
- Ch. 17 Asset Price Dynamics 441
- Ch. 18 Pricing Interest Rate Derivatives 489
- Ch. 19 Real Options (Alexander Workman, co-author) 527
- Ch. 20 Regulation of Financial Institutions 563
- Ch. 21 Regulatory Framework in the UK and US 583
- Ch. 22 Market Risk 599
- Ch. 23 VaR: Mapping Cash Flows 627
- Ch. 24 VaR: Statistical Issues 657
- Ch. 25 Credit Risk 693
- Glossary 735
- List of Symbols 753
- List of 'Topic Boxes' 759
- Internet Sites 761
- References 765
- Author Index 769
- Subject Index 771
Caractéristiques techniques
PAPIER | |
Éditeur(s) | Wiley |
Auteur(s) | Keith Cuthbertson, Dirk Nitzsche |
Parution | 01/05/2001 |
Nb. de pages | 776 |
Format | 18,9 x 24,6 |
Couverture | Broché |
Poids | 1501g |
Intérieur | Noir et Blanc |
EAN13 | 9780471495840 |
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