Derivative securities

By:

Jarrow R; Turnbull S

Material type: Text

TextPublication details: 1996 South Western College Publishing OhioDescription: xxi,686 p. 24 cm ; Hard BoundISBN:

0-538-84255-5

Subject(s):

Derivative securities Accounting

DDC classification:

332.645 JAR

Contents:

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

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

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.645..JAR (Browse shelf(Opens below))	Available		19171

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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

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