Futures and Options are concerned with the valuation of derivatives and their application to hedging and speculating investments. This book contains 22 chapters and is divided into five parts. Part I contains an overview including a general introduction as well as an introduction to futures, options, swaps, and valuation theories. Part II: Forwards and Futures discusses futures valuation, the futures market, hedging strategies, and various types of futures. Part III: Option Theories and Applications includes both the basic and advanced valuation of options and option strategies in addition to index and currency options. Part IV: Advanced Analyses of Options takes a look at higher level strategies used to quantitatively approach the analysis of options. Part V: Special Topics of Options and Futures covers the applications of more obscure and alternative methods in derivatives as well as the derivation of the Black-Scholes Option Pricing Model.
This book applies an active interdisciplinary approach to presenting the material; in other words, three projects involving the use of real-world financial data on derivative, in addition to homework assignments, are made available for students in this book.
Contents:
PrefaceAbout the AuthorsOverview:IntroductionFutures, Options, Swaps, and Risk ManagementIntroduction to Important Finance TheoriesForwards and Futures:Futures Valuation and HedgingCommodity Futures, Financial Futures, and Stock-Index FuturesOption: Theories and Applications:Options, Put–Call Parities, and Option StrategiesOption Pricing Theory and Firm ValuationDecision Tree and Microsoft Excel Approach for Option Pricing ModelNormal, Log-Normal Distribution, and Option Pricing ModelIndex Option, Option on Index Futures, and Currency OptionsAdvanced Analyses of Options:Comparative Static Analysis of the Option Pricing ModelsImplied Variance, Volatility Smile, and CEV Option Pricing ModelPortfolio Insurance and Synthetic OptionsBond Duration, Bond Option, and Bond Portfolio StrategiesConstant Elasticity of Variance Option Pricing Model: Detailed Derivation and Implied Variance EstimationWarrants and Convertible SecuritiesSpecial Topics of Options and Futures:Applications of Discriminant Analysis, Factor Analysis, Logistic Regression, and the KMV-Merton Model in Risk AnalysesExotic OptionsReal Option and Fuzzy Real OptionItô's Calculus: Derivation of the Black–Scholes Option Pricing ModelAlternative Methods for Estimating Hedge Ratios: Theory and Empirical ResultsAlternative Methods for Determining Option Bounds: A Review and ComparisonAuthor IndexSubject Index
Readership: Undergraduate and graduate students specializing in corporate finance and general business students taking finance courses.
