Derivative Products and Pricing The Das Swaps and Financial Derivatives Library

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Edition: 1st
Format: Hardcover
Pub. Date: 2005-10-06
Publisher(s): WILEY
List Price: $190.00

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Summary

Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.

Author Biography

Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Since 1994, he has been a consultant to financial institutions and corporations on derivatives and financial products and risk management issues. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia.
Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets specializing in capital markets and risk management / derivative products.
Das holds Bachelors’ degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters Degree in Business Administration from the Australian Graduate School of Management.

Table of Contents

Introduction xi
ROLE AND FUNCTION OF DERIVATIVES
Financial Derivatives Building Blocks -- Forward & Option Contracts
3(30)
DERIVATIVE INSTRUMENTS
Exchange-Traded Products -- Futures & Options on Futures Contracts
33(48)
Over-the-Counter Products -- FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options
81(62)
PRICING & VALUING DERIVATIVE INSTRUMENTS
Derivatives Pricing Framework
143(20)
Interest Rates & Yield Curves
163(76)
Pricing Forward & Futures Contracts
239(88)
Option Pricing
327(82)
Interest Rate Options Pricing
409(36)
Estimating Volatility & Correlation
445(46)
Pricing Interest Rate & Currency Swaps
491(86)
Swap Spreads
577(76)
DERIVATIVES TRADING & PORTFOLIO MANAGEMENT
Derivatives Trading & Portfolio Management
653(42)
Hedging Interest Rate Risk -- Individual Instruments
695(34)
Hedging Interest Rate Risk -- Portfolios
729(36)
Measuring Option Price Sensitivities -- The Greek Alphabet of Risk
765(30)
Delta Hedging/Management of Option Portfolios
795(48)
Index 843

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