Options and Futures in International Portfolio Management - Couverture rigide

Watsham, Terry J.

Couverture rigide

ISBN 10 : 0412426900 ISBN 13 : 9780412426902

Editeur : Cengage Learning EMEA, 1992

Synopsis

"Options and Futures in International Portfolio Management" is a reference manual. It describes and analyzes options, futures and swaps on equities, equity indices, currencies, short term interest rates and bonds. The book covers both the theory and practice of valuation with particular emphasis on portfolio management. The emphasis throughout the book is on managing portfolio risk and enhancing return where appropriate. The risks associated with the use derivatives are highlighted, and the appropriate techniques for managing those risks explained. The applications of futures include traditional hedging, speculation and arbitrage, but also tactical asset allocation and portfolio insurance. In addition, there is an analysis of the role of equity index futures and also of bond futures in creating synthetic index funds that have the potential to out perform traditional index funds. The coverage of options is structured to deal with different asset clauses in different chapters. Considerable emphasis is placed upon the sensitivities of the option valuation, the Delta, Gamma, Theta, Vega and Rho. The importance of these sensitivities in the management of risk within the portfolios is emphasized, particularly in the discussion of the various option strategies. The chapter on swaps covers the pricing and valuation of interest rate and currency swaps, as well as analyzing equity swaps, commodity swaps and swaptions. Quantitative analysis is illustrated by numerical examples and clear and concise explanations. A separate chapter covering basic quantitative techniques is included early in the book. The result is a text that is equally accessible to all readers.

Détails de l'édition

• Éditeur: Cengage Learning EMEA
• Date d'édition: 1992
• Langue: anglais
• ISBN 10: 0412426900
• ISBN 13: 9780412426902
• Reliure: Relié
• Nombre de pages: 448
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible