APPLIED DERIVATIVES OPTIONS FUTURES AND SWAPS 2002

RENDLEMAN R.J.

ISBN 10: 0631215891 / ISBN 13: 9780631215899

Edité par SP JOHN WILEY, 2002

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Synopsis :

Applied Derivatives provides a detailed, yet relatively non-technical, treatment of the conceptual foundations for derivative securities markets pricing and investment principles. This book draws from the most fundamental concepts of pricing for options, futures, and swaps to provide insight into the potential risks and returns from conventional option investing. This book combines traditional topics in pricing theory with nontraditional topics that the author has researched throughout his career. Topics include, but are not limited to: a CAPM-based derivation of the binomial model which shows no strategies involving fairly-priced options can simultaneously reduce risk and increase return the effects of volatility misestimation in synthetic option replication the use of linear programming in options arbitrage and replication the formation of optimal portfolios consisting of stock, options, and safe assets pricing options when the source of risk is a potential change in interest rates, unit and tailed-based futures hedging interest rate immunization using swaps. Applied Derivatives is supported by the website http://www. rendleman. com/book which contains course software referenced in the text and additional questions and problems as they become available.

À propos de l?auteur: Richard J. Rendleman is Professor of Finance at the University of North Carolina at Chapel Hill, His current research involves the pricing of financial claims subject to credit risks and interest rate risks, the use of option pricing theory in setting accounting standards, the development of Monte Carlo techniques for pricing options, and the reconciliation of several competing stock market anomalies through price effect. Previous to teaching at UNC-Chapel Hill, Professor Rendleman taught at the University of Chicago, and is considered one of the premier researchers in the field of option pricing. He helped develop the "Binomial Option Pricing Model" which is the basic model for determining option pricing today.

Détails bibliographiques

Titre : APPLIED DERIVATIVES OPTIONS FUTURES AND ...
Éditeur : SP JOHN WILEY
Date d'édition : 2002
Reliure : Couverture rigide
Etat : New
Edition : Edition internationale