衍生性金融产品及其定价）/DERIVATIVES PRODUCTS AND PRICING 3RD EDITION REVISED

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作者：Satyajit Das 著

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ISBN：9780470821640

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简介

简介

Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.

Introduction
ROLE AND FUNCTION OF DERIVATIVES
　1 Financial Derivatives Building Blocks – Forward & Option Contracts
DERIVATIVE INSTRUMENTS
　2 Exchange-Traded Products – Futures & Options On Futures Contracts
　3 Over-The-Counter Products – FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options
PRICING & VALUING DERIVATIVE INSTRUMENTS
　4 Derivatives Pricing Framework
　5 Interest Rates & Yield Curves
　6 Pricing Forward & Futures Contracts
　7 Option Pricing
　8 Interest Rate Options Pricing
　9 Estimating Volatility & Correlation
　10 Pricing Interest Rate & Currency Swaps
　11 Swap Spreads
DERIVATIVE TRADING & PORTFOLIO MANAGEMENT
　12 Derivatives Trading & Portfolio Management
　13 Hedging Interest Rate Risk – Individual Instruments
　14 Hedging Interest Rate Risk – Portfolios
　15 Measuring Option Price Sensitivities — The Greek Alphabet of Risk
　16 Delta Hedging/Management of Option Portfolios
Index

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