An introduction to equity derivatives : theory and practice 2nd ed.

Author

• Bossu, Sebastien

Additional Author(s)

• Henrotte, Philippe

Publisher

Chichester, West Sussex: John Wiley & Sons Ltd, 2013

Language

English

ISBN

9781118673522

Series

Subject(s)

• DERIVATIVE SECURITIES
• INVESTMENTS--MATHEMATICAL MODELS

Notes

. .

Abstract

Written by the internationally respected academic/finance professional author team of Sebastien Bossu and Philipe Henrotte, An Introduction to Equity Derivatives is the fully updated and expanded second edition of the popular Finance and Derivatives. It covers all of the fundamentals of quantitative finance clearly and concisely without going into unnecessary technical detail. Designed for both new practitioners and students, it requires no prior background in finance and features twelve chapters of gradually increasing difficulty, beginning with basic principles of interest rate and discounting, and ending with advanced concepts in derivatives, volatility trading, and exotic products. Each chapter includes numerous illustrations and exercises accompanied by the relevant financial theory. Topics covered include present value, arbitrage pricing, portfolio theory, derivates pricing, delta-hedging, the Black-Scholes model, and more.
• An excellent resource for finance professionals and investors looking to acquire an understanding of financial derivatives theory and practice
• Completely revised and updated with new chapters, including coverage of cutting-edge concepts in volatility trading and exotic products
An accompanying website is available which contains additional resources including powerpoint slides and spreadsheets. Visit www.introeqd.com for details

Physical Dimension

Number of Page(s)

1 online resource (xvi, 231 p.)

Dimension

-

Other Desc.

-

Summary / Review / Table of Content

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.

Exemplar(s)

#	Accession No.	Call Number	Location	Status
1.	00396/19	332.6457 Bos I	Online !	Available