Normal view MARC view ISBD view

Jarrow R; Turnbull S

Derivative securities - Ohio South Western College Publishing 1996 - xxi,686 p. 24 cm ; Hard Bound

1521.89

1. Introduction to derivative Securities
2. Simple arbitrage relationships for forward and futures
3. Simple arbitrage relationships for options
4. Asset price dynamics
5. The binomial pricing Model
6. Martingale pricing
7. American options
8. The Black Scholes Model
9. Extensions to the Black Scholes Model
10. Replication and risk exposure with Model Misspecification
11. Foreign Currency
12. Stock incicies and Commodities
13. Interest Rate Contracts
14. SWAPS
15. Interest Rate Derivatives
16. Pricing treasury bills, Treasury bonds, Treasury futures, and hedging with model misspecification
17. Pricing Interest Rate Options and Hedging with Model Misspecification
18. Credit Risk
19. Non- Standard ( Exotic) options
20. Non – Standard (Exotic) options : Path Dependent

This text offers advanced undergraduates, MBA students and executives the theory and practical tools needed to price and hedge derivatives in the professional marketplace

ISBN: 0-538-84255-5

Subjects--Topical Terms:
Derivative securities
Accounting

Dewey Class. No.: 332.645 JAR