Derivatives markets / Robert L. McDonald.

Author
McDonald, Robert L. (Robert Lynch), 1954- [Browse]
Format
Book
Language
English
Εdition
3rd ed.
Published/​Created
Boston : Pearson, ©2013.
Description
xxviii, 948 pages : illustrations ; 27 cm + 1 CD-ROM (4 3/4 in.)

Availability

Copies in the Library

Location Call Number Status Location Service Notes
Engineering Library - Stacks HG6024.A3 M394 2013 Browse related items Request

    Details

    Subject(s)
    Series
    Pearson series in finance [More in this series]
    Summary note
    Accompanying CD-ROM contains ... "Microsoft Excel spreadsheets with option pricing functions and selected data."--Disc label.
    Bibliographic references
    Includes bibliographical references (p. 897-913) and index.
    Contents
    • 1. Introduction to derivatives
    • Part One : Insurance, hedging, and simple strategies. 2. An introduction to forwards and options
    • 3. Insurance, collars, and other strategies
    • 4. Introduction to risk management
    • -- Part Two : Forwards, futures, and swaps. 5. Financial forwards and futures
    • 6. Commodity forwards and futures
    • 7. Interest rate forwards and futures
    • 8. Swaps
    • -- Part Three : Options. 9. Parity and other option relationships
    • 10. Binomial option pricing : basic concepts
    • 11. Binomial option pricing : selected topics
    • 12. The Black-Scholes formula
    • 13. Market-making and delta-hedging
    • 14. Exotic options : I
    • -- Part Four : Financial engineering and applications. 15. Financial engineering and security design
    • 16. Corporate applications
    • 17. Real options
    • -- Part Five : Advanced pricing theory and applications. 18. The lognormal distribution
    • 19. Monte Carlo valuation
    • 20. Brownian motion and Itô's Lemma
    • 21. The Black-Scholes-Merton equation
    • 22. Risk-neutral and Martingale pricing
    • 23. Exotic options : II
    • 24. Volatility
    • 25. Interest rate and bond derivatives
    • 26. Value at risk
    • 27. Credit risk
    • Appendix A. The Greek alphabet
    • Appendix B. Continuous compounding
    • Appendix C. Jensen's inequality
    • Appendix D. An introduction to visual basic for applications.
    • Machine generated contents note: ch. 1 Introduction to Derivatives
    • 1.1. What Is a Derivative?
    • 1.2. An Overview of Financial Markets
    • Trading of Financial Assets
    • Measures of Market Size and Activity
    • Stock and Bond Markets
    • Derivatives Markets
    • 1.3. The Role of Financial Markets
    • Financial Markets and the Averages
    • Risk-Sharing
    • 1.4. The Uses of Derivatives
    • Uses of Derivatives
    • Perspectives on Derivatives
    • Financial Engineering and Security Design
    • 1.5. Buying and Short-Selling Financial Assets
    • Transaction Costs and the Bid-Ask Spread
    • Ways to Buy or Sell
    • Short-Selling
    • The Lease Rate of an Asset
    • Risk and Scarcity in Short-Selling
    • Chapter Summary
    • Further Reading
    • Problems
    • pt. ONE Insurance, Hedging, and Simple Strategies
    • ch. 2 An Introduction to Forwards and Options
    • 2.1. Forward Contracts
    • The Payoff on a Forward Contract
    • Graphing the Payoff on a Forward Contract
    • Comparing a Forward and Outright Purchase.
    • Contents note continued: Computing Implied Volatility
    • Using Implied Volatility
    • 12.6. Perpetual American Options
    • Valuing Perpetual Options
    • Barrier Present Values
    • 12.A. The Standard Normal Distribution
    • 12.B. Formulas for Option Greeks
    • Delta (Δ)
    • Gamma (γ)
    • Theta (θ)
    • Vega
    • Rho (ρ)
    • Psi (ψ)
    • ch. 13 Market-Making and Delta-Hedging
    • 13.1. What Do Market-Makers Do-- 13.2. Market-Maker Risk
    • Option Risk in the Absence of Hedging
    • Delta and Gamma as Measures of Exposure
    • 13.3. Delta-Hedging
    • An Example of Delta-Hedging for 2 Days
    • Interpreting the Profit Calculation
    • Delta-Hedging for Several Days
    • A Self-Financing Portfolio: The Stock Moves One σ
    • 13.4. The Mathematics of Delta-Hedging
    • Using Gamma to Better Approximate the Change in the Option Price
    • Delta-Gamma Approximations
    • Theta: Accounting for Time
    • Understanding the Market-Maker's Profit.
    • Note continued: Zero-Coupon Bonds in Payoff and Profit Diagrams
    • Cash Settlement Versus Delivery
    • Credit Risk
    • 2.2. Call Options
    • Option Terminology
    • Payoff and Profit for a Purchased Call Option
    • Payoff and Profit for a Written Call Option
    • 2.3. Put Options
    • Payoff and Profit for a Purchased Put Option
    • Payoff and Profit for a Written Put Option
    • The "Moneyness" of an Option
    • 2.4. Summary of Forward and Option Positions
    • Positions Long with Respect to the Index
    • Positions Short with Respect to the Index
    • 2.5. Options Are Insurance
    • Homeowner's Insurance Is a Put Option
    • But I Thought Insurance Is Prudent and Put Options Are Risky ...
    • Call Options Are Also Insurance
    • 2.6. Example: Equity-Linked CDs
    • Graphing the Payoff on the CD
    • Economics of the CD
    • Why Equity-Linked CDs?
    • 2.A. More on Buying a Stock Option
    • Dividends
    • Exercise
    • Margins for Written Options
    • Taxes.
    • Note continued: ch. 3 Insurance, Collars, and Other Strategies
    • 3.1. Basic Insurance Strategics
    • Insuring a Long Position: Floors
    • Insuring a Short Position: Caps
    • Selling Insurance
    • 3.2. Put-Call Parity
    • Synthetic Forwards
    • The Put-Call Parity Equation
    • 3.3. Spreads and Collars
    • Bull and Bear Spreads
    • Box Spreads
    • Ratio Spreads
    • Collars
    • 3.4. Speculating on Volatility
    • Straddles
    • Butterfly Spreads
    • Asymmetric Butterfly Spreads
    • ch. 4 Introduction to Risk Management
    • 4.1. Basic Risk Management: The Producer's Perspective
    • Hedging with a Forward Contract
    • Insurance: Guaranteeing a Minimum Price with a Put Option
    • Insuring by Selling a Call
    • Adjusting the Amount of Insurance
    • 4.2. Basic Risk Management: The Buyer's Perspective
    • Insurance: Guaranteeing a Maximum Price with a Call Option
    • 4.3. Why Do Firms Manage Risk?
    • Note continued: An Example Where Hedging Adds Value
    • Reasons to Hedge
    • Reasons Not to Hedge
    • Empirical Evidence on Hedging
    • 4.4. Golddiggers Revisited
    • Selling the Gain: Collars
    • Other Collar Strategies
    • Paylater Strategies
    • 4.5. Selecting the Hedge Ratio
    • Cross-Hedging
    • Quantity Uncertainty
    • pt. TWO Forwards, Futures, and Swaps
    • ch. 5 Financial Forwards and Futures
    • 5.1. Alternative Ways to Buy a Stock
    • 5.2. Prepaid Forward Contracts on Stock
    • Pricing the Prepaid Forward by Analogy
    • Pricing the Prepaid Forward by Discounted Present Value
    • Pricing the Prepaid Forward by Arbitrage
    • Pricing Prepaid Forwards with Dividends
    • 5.3. Forward Contracts on Stock
    • Does the Forward Price Predict the Future Spot Price?
    • Creating a Synthetic Forward Contract
    • Synthetic Forwards in Market-Making and Arbitrage
    • No-Arbitrage Bounds with Transaction Costs
    • Quasi-Arbitrage.
    • Note continued: An Interpretation of the Forward Pricing Formula
    • 5.4. Futures Contracts
    • The S & P 500 Futures Contract
    • Margins and Marking to Market
    • Comparing Futures and Forward Prices
    • Arbitrage in Practice: S & P 500 Index Arbitrage
    • Quanto Index Contracts
    • 5.5. Uses of Index Futures
    • Asset Allocation
    • Cross-hedging with Index Futures
    • 5.6. Currency Contracts
    • Currency Prepaid Forward
    • Currency Forward
    • Covered Interest Arbitrage
    • 5.7. Eurodollar Futures
    • 5.A. Taxes and the Forward Rate
    • 5.B. Equating Forwards and Futures
    • 5.C. Forward and Futures Prices
    • ch. 6 Commodity Forwards and Futures
    • 6.1. Introduction to Commodity Forwards
    • Examples of Commodity Futures Prices
    • Differences Between Commodities and Financial Assets
    • Commodity Terminology
    • 6.2. Equilibrium Pricing of Commodity Forwards
    • 6.3. Pricing Commodity Forwards by Arbitrage
    • An Apparent Arbitrage.
    • Note continued: Short-selling and the Lease Rate
    • No-Arbitrage Pricing Incorporating Storage Costs
    • Convenience Yields
    • Summary
    • 6.4. Gold
    • Gold Leasing
    • Evaluation of Gold Production
    • 6.5. Corn
    • 6.6. Energy Markets
    • Electricity
    • Natural Gas
    • Oil
    • Oil Distillate Spreads
    • 6.7. Hedging Strategies
    • Basis Risk
    • Hedging Jet Fuel with Crude Oil
    • Weather Derivatives
    • 6.8. Synthetic Commodities
    • ch. 7 Interest Rate Forwards and Futures
    • 7.1. Bond Basics
    • Zero-Coupon Bonds
    • Implied Forward Rates
    • Coupon Bonds
    • Zeros from Coupons
    • Interpreting the Coupon Rate
    • Continuously Compounded Yields
    • 7.2. Forward Rate Agreements, Eurodollar Futures, and Hedging
    • Forward Rate Agreements
    • Synthetic FRAs
    • Eurodollar Futures
    • 7.3. Duration and Convexity
    • Price Value or a Basis Point and DV01
    • Duration
    • Duration Matching
    • Convexity
    • 7.4. Treasury-Bond and Treasury-Note Futures.
    • Note continued: 7.5. Repurchase Agreements
    • 7.A. Interest Rate and Bond Price Conventions
    • Bonds
    • Bills
    • ch. 8 Swaps
    • 8.1. An Example of a Commodity Swap
    • Physical Versus Financial Settlement
    • Why Is the Swap Price Not $110.50?
    • The Swap Counterparty
    • The Market Value of a Swap
    • 8.2.Computing the Swap Rate in General
    • Fixed Quantity Swaps
    • Swaps with Variable Quantity and Price
    • 8.3. Interest Rate Swaps
    • A Simple Interest Rate Swap
    • Pricing and the Swap Counterparty
    • Swap Rate and Bond Calculations
    • The Swap Curve
    • The Swap's Implicit Loan Balance
    • Deferred Swaps
    • Related Swaps
    • Why Swap Interest Rates?
    • Amortizing and Accreting Swaps
    • 8.4. Currency Swaps
    • Currency Swap Formulas
    • Other Currency Swaps
    • 8.5. Swaptions
    • 8.6. Total Return Swaps
    • pt. THREE Options
    • ch. 9 Parity and Other Option Relationships.
    • Note continued: 9.1. Put-Call Parity
    • Options on Stocks
    • Options on Currencies
    • Options on Bonds
    • Dividend Forward Contracts
    • 9.2. Generalized Parity and Exchange Options
    • Options to Exchange Stock
    • What Are Calls and Puts?
    • Currency Options
    • 9.3.Comparing Options with Respect to Style, Maturity, and Strike
    • European Versus American Options
    • Maximum and Minimum Option Prices
    • Early Exercise for American Options
    • Time to Expiration
    • Different Strike Prices
    • Exercise and Moneyness
    • 9.A. Parity Bounds for American Options
    • 9.B. Algebraic Proofs of Strike-Price Relations
    • ch. 10 Binomial Option Pricing: Basic Concepts
    • 10.1.A One-Period Binomial Tree
    • Computing the Option Price
    • The Binomial Solution
    • Arbitraging a Mispriced Option
    • A Graphical Interpretation of the Binomial Formula
    • Risk-Neutral Pricing
    • 10.2. Constructing a Binomial Tree
    • Continuously Compounded Returns.
    • Note continued: Volatility
    • Constructing u and d
    • Estimating Historical Volatility
    • One-Period Example with a Forward Tree
    • 10.3. Two or More Binomial Periods
    • A Two-Period European Call
    • Many Binomial Periods
    • 10.4. Put Options
    • 10.5. American Options
    • 10.6. Options on Other Assets
    • Option on a Stock Index
    • Options on Futures Contracts
    • Options on Commodities
    • 10.A. Taxes and Option Prices
    • ch. 11 Binomial Option Pricing: Selected Topics
    • 11.1. Understanding Early Exercise
    • 11.2. Understanding Risk-Neutral Pricing
    • The Risk-Neutral Probability
    • Pricing an Option Using Real Probabilities
    • 11.3. The Binomial Tree and Lognormality
    • The Random Walk Model
    • Modeling Stock Prices as a Random Walk
    • The Binomial Model
    • Lognormality and the Binomial Model
    • Alternative Binomial Trees
    • Is the Binomial Model Realistic?
    • Note continued: 11.4. Stocks Paying Discrete Dividends
    • Modeling Discrete Dividends
    • Problems with the Discrete Dividend Tree
    • A Binomial Tree Using the Prepaid Forward
    • 11.A. Pricing Options with True Probabilities
    • 11.B. Why Does Risk-Neutral Pricing Work?
    • Utility-Based Valuation
    • Standard Discounted Cash Flow
    • Physical vs. Risk-Neutral Probabilities
    • Example
    • ch. 12 The Black-Scholes Formula
    • 12.1. Introduction to the Black-Scholes Formula
    • Call Options
    • Put Options
    • When Is the Black-Scholes Formula Valid?
    • 12.2. Applying the Formula to Other Assets
    • Options on Stocks with Discrete Dividends
    • Options on Futures
    • 12.3. Option Greeks
    • Definition of the Greeks
    • Greek Measures for Portfolios
    • Option Elasticity
    • 12.4. Profit Diagrams Before Maturity
    • Purchased Call Option
    • Calendar Spreads
    • 12.5. Implied Volatility.
    • Note continued: 13.5. The Black-Scholes Analysis
    • The Black-Scholes Argument
    • Delta-Hedging of American Options
    • What Is the Advantage to Frequent Re-Hedging?
    • Delta-Hedging in Practice
    • Gamma-Neutrality
    • 13.6. Market-Making as Insurance
    • Insurance
    • Market-Makers
    • 13.A. Taylor Series Approximations
    • 13.B. Greeks in the Binomial Model
    • ch. 14 Exotic Options: I
    • 14.1. Introduction
    • 14.2. Asian Options
    • XYZ's Hedging Problem
    • Options on the Average
    • Comparing Asian Options
    • An Asian Solution for XYZ
    • 14.3. Barrier Options
    • Types of Barrier Options
    • Currency Hedging
    • 14.4.Compound Options
    • Compound Option Parity
    • Options on Dividend-Paying Stocks
    • Currency Hedging with Compound Options
    • 14.5. Gap Options
    • 14.6. Exchange Options
    • European Exchange Options
    • 14.A. Pricing Formulas for Exotic Options.
    • Note continued: Asian Options Based on the Geometric Average
    • Compound Options
    • Infinitely Lived Exchange Option
    • pt. FOUR Financial Engineering and Applications
    • ch. 15 Financial Engineering and Security Design
    • 15.1. The Modigliani-Miller Theorem
    • 15.2. Structured Notes without Options
    • Single Payment Bonds
    • Multiple Payment Bonds
    • 15.3. Structured Notes with Options
    • Convertible Bonds
    • Reverse Convertible Bonds
    • Tranched Payoffs
    • Variable Prepaid Forwards
    • 15.4. Strategies Motivated by Tax and Regulatory Considerations
    • Capital Gains Deferral
    • Marshall & Ilsley SPACES
    • 15.5. Engineered Solutions for Golddiggers
    • Gold-Linked Notes
    • Notes with Embedded Options
    • ch. 16 Corporate Applications
    • 16.1. Equity, Debt, and Warrants
    • Debt and Equity as Options
    • Leverage and the Expected Return on Debt and Equity
    • Multiple Debt Issues
    • Warrants
    • Callable Bonds.
    • Note continued: Bond Valuation Based on the Stock Price
    • Other Bond Features
    • Put Warrants
    • 16.2.Compensation Options
    • The Use of Compensation Options
    • Valuation of Compensation Options
    • Repricing of Compensation Options
    • Reload Options
    • Level 3 Communications
    • 16.3. The Use of Collars in Acquisitions
    • The Northrop Grumman
    • TRW merger
    • 16.A. An Alternative Approach to Expensing Option Grants
    • ch. 17 Real Options
    • 17.1. Investment and the NPV Rule
    • Static NPV
    • The Correct Use of NPV
    • The Project as an Option
    • 17.2. Investment under Uncertainty
    • A Simple DCF Problem
    • Valuing Derivatives on the Cash Flow
    • Evaluating a Project with a 2-Year Investment Horizon
    • Evaluating the Project with an Infinite Investment Horizon
    • 17.3. Real Options in Practice
    • Peak-Load Electricity Generation
    • Research and Development
    • 17.4.Commodity Extraction as an Option.
    • Note continued: Single-Barrel Extraction under Certainty
    • Single-Barrel Extraction under Uncertainty
    • Valuing an Infinite Oil Reserve
    • 17.5.Commodity Extraction with Shutdown and Restart Options
    • Permanent Shutting Down
    • Investing When Shutdown Is Possible
    • Restarting Production
    • Additional Options
    • 17.A. Calculation of Optimal Time to Drill an Oil Well
    • 17.B. The Solution with Shutting Down and Restarting
    • pt. FIVE Advanced Pricing Theory and Applications
    • ch. 18 The Lognormal Distribution
    • 18.1. The Normal Distribution
    • Converting a Normal Random Variable to Standard Normal
    • Sums of Normal Random Variables
    • 18.2. The Lognormal Distribution
    • 18.3.A Lognormal Model of Stock Prices
    • 18.4. Lognormal Probability Calculations
    • Probabilities
    • Lognormal Prediction Intervals
    • The Conditional Expected Price
    • The Black-Scholes Formula.
    • Note continued: 18.5. Estimating the Parameters of a Lognormal Distribution
    • 18.6. How Are Asset Prices Distributed?
    • Histograms
    • Normal Probability Plots
    • 18.A. The Expectation of a Lognormal Variable
    • 18.B. Constructing a Normal Probability Plot
    • ch. 19 Monte Carlo Valuation
    • 19.1.Computing the Option Price as a Discounted Expected Value
    • Valuation with Risk-Neutral Probabilities
    • Valuation with True Probabilities
    • 19.2.Computing Random Numbers
    • 19.3. Simulating Lognormal Stock Prices
    • Simulating a Sequence of Stock Prices
    • 19.4. Monte Carlo Valuation
    • Monte Carlo Valuation of a European Call
    • Accuracy of Monte Carlo
    • Arithmetic Asian Option
    • 19.5. Efficient Monte Carlo Valuation
    • Control Variate Method
    • Other Monte Carlo Methods
    • 19.6. Valuation of American Options
    • 19.7. The Poisson Distribution
    • 19.8. Simulating Jumps with the Poisson Distribution.
    • Note continued: Simulating the Stock Price with Jumps
    • Multiple Jumps
    • 19.9. Simulating Correlated Stock Prices
    • Generating n Correlated Lognormal Random Variables
    • 19.A. Formulas for Geometric Average Options
    • ch. 20 Brownian Motion and Ito's Lemma
    • 20.1. The Black-Scholes Assumption about Stock Prices
    • 20.2. Brownian Motion
    • Definition of Brownian Motion
    • Properties of Brownian Motion
    • Arithmetic Brownian Motion
    • The Ornstein-Uhlenbeck Process
    • 20.3. Geometric Brownian Motion
    • Lognormality
    • Relative Importance of the Drift and Noise Terms
    • Multiplication Rules
    • Modeling Correlated Asset Prices
    • 20.4. Ito's Lemma
    • Functions of an Ito Process
    • Multivariate Ito's Lemma
    • 20.5. The Sharpe Ratio
    • 20.6. Risk-Neutral Valuation
    • A Claim That Pays S(T)a
    • Specific Examples
    • Valuing a Claim on Sa Qb
    • 20.7. Jumps in the Stock Price
    • Problems.
    • Note continued: 20.A. Valuation Using Discounted Cash Flow
    • ch. 21 The Black-Scholes-Merton Equation
    • 21.1. Differential Equations and Valuation under Certainty
    • The Valuation Equation
    • Dividend-Paying Stocks
    • The General Structure
    • 21.2. The Black-Scholes Equation
    • Verifying the Formula for a Derivative
    • The Black-Scholes Equation and Equilibrium Returns
    • What If the Underlying Asset Is Not an Investment Asset?
    • 21.3. Risk-Neutral Pricing
    • Interpreting the Black-Scholes Equation
    • The Backward Equation
    • Derivative Prices as Discounted Expected Cash Flows
    • 21.4. Changing the Numeraire
    • 21.5. Option Pricing When the Stock Price Can Jump
    • Merton's Solution for Diversifiable Jumps
    • 21.A. Multivariate Black-Scholes Analysis
    • 21.B. Proof of Proposition 21.1
    • 21.C. Solutions for Prices and Probabilities
    • ch. 22 Risk-Neutral and Martingale Pricing.
    • Note continued: 22.1. Risk Aversion and Marginal Utility
    • 22.2. The First-Order Condition for Portfolio Selection
    • 22.3. Change of Measure and Change of Numeraire
    • Change of Measure
    • The Martingale Property
    • Girsanov's Theorem
    • 22.4. Examples of Numeraire and Measure Change
    • The Money-Market Account as Numeraire (Risk-Neutral Measure)
    • Risky Asset as Numeraire
    • Zero Coupon Bond as Numeraire (Forward Measure)
    • 22.5. Examples of Martingale Pricing
    • Cash-or-Nothing Call
    • Asset-or-Nothing Call
    • The Black-Scholes Formula
    • European Outperformance Option
    • Option on a Zero-Coupon Bond
    • 22.6. Example: Long-Maturity Put Options
    • The Black-Scholes Put Price Calculation
    • Is the Put Price Reasonable?
    • Discussion
    • 22.A. The Portfolio Selection Problem
    • The One-Period Portfolio Selection Problem
    • The Risk Premium of an Asset
    • Multiple Consumption and Investment Periods
    • 22.B. Girsanov's Theorem.
    • Note continued: The Theorem
    • Constructing Multi-Asset Processes from Independent Brownian Motions
    • 22.C. Risk-Neutral Pricing and Marginal Utility in the Binomial Model
    • ch. 23 Exotic Options: II
    • 23.1. All-or-Nothing Options
    • Terminology
    • Cash-or-Nothing Options
    • Asset-or-Nothing Options
    • Ordinary Options and Gap Options
    • Delta-Hedging All-or-Nothing Options
    • 23.2. All-or-Nothing Barrier Options
    • Cash-or-Nothing Barrier Options
    • Asset-or-Nothing Barrier Options
    • Rebate Options
    • Perpetual American Options
    • 23.3. Barrier Options
    • 23.4. Quantos
    • The Yen Perspective
    • The Dollar Perspective
    • A Binomial Model for the Dollar-Denominated Investor
    • 23.5. Currency-Linked Options
    • Foreign Equity Call Struck in Foreign Currency
    • Foreign Equity Call Struck in Domestic Currency
    • Fixed Exchange Rate Foreign Equity Call
    • Equity-Linked Foreign Exchange Call
    • 23.6. Other Multivariate Options
    • Options on the Best of Two Assets.
    • Note continued: Basket Options
    • 23.A. The Reflection Principle
    • ch. 24 Volatility
    • 24.1. Implied Volatility
    • 24.2. Measurement and Behavior of Volatility
    • Historical Volatility
    • Exponentially Weighted Moving Average
    • Time-Varying Volatility: ARCH
    • The GARCH Model
    • Realized Quadratic Variation
    • 24.3. Hedging and Pricing Volatility
    • Variance and Volatility Swaps
    • Pricing Volatility
    • 24.4. Extending the Black-Scholes Model
    • Jump Risk and Implied Volatility
    • Constant Elasticity of Variance
    • The Heston Model
    • Evidence
    • ch. 25 Interest Rate and Bond Derivatives
    • 25.1. An Introduction to Interest Rate Derivatives
    • Bond and Interest Rate Forwards
    • Options on Bonds and Rates
    • Equivalence of a Bond Put and an Interest Rate Call
    • Taxonomy of Interest Rate Models
    • 25.2. Interest Rate Derivatives and the Black-Scholes-Merton Approach.
    • Note continued: An Equilibrium Equation for Bonds
    • 25.3. Continuous-Time Short-Rate Models
    • The Rendelman-Bartter Model
    • The Vasicek Model
    • The Cox-Ingersoll-Ross Model
    • Comparing Vasicek and CIR
    • Duration and Convexity Revisited
    • 25.4. Short-Rate Models and Interest Rate Trees
    • An Illustrative Tree
    • The Black-Derman-Toy Model
    • Hull-White Model
    • 25.5. Market Models
    • The Black Model
    • LIBOR Market Model
    • 25.A. Constructing the BDT Tree
    • ch. 26 Value at Risk
    • 26.1. Value at Risk
    • Value at Risk for One Stock
    • VaR for Two or More Stocks
    • VaR for Nonlinear Portfolios
    • VaR for Bonds
    • Estimating Volatility
    • Bootstrapping Return Distributions
    • 26.2. Issues with VaR
    • Alternative Risk Measures
    • VaR and the Risk-Neutral Distribution
    • Subadditive Risk Measures
    • ch. 27 Credit Risk
    • 27.1. Default Concepts and Terminology.
    • Note continued: 27.2. The Merton Default Model
    • Default at Maturity
    • Related Models
    • 27.3. Bond Ratings and Default Experience
    • Rating Transitions
    • Recovery Rates
    • Reduced Form Bankruptcy Models
    • 27.4. Credit Default Swaps
    • Single-Name Credit Default Swaps
    • Pricing a Default Swap
    • CDS Indices
    • Other Credit-Linked Structures
    • 27.5. Tranched Structures
    • Collateralized Debt Obligations
    • CDO-Squareds
    • Nth to default baskets
    • Appendix A The Greek Alphabet
    • Appendix B Continuous Compounding
    • B.1. The Language of Interest Rates
    • B.2. The Logarithmic and Exponential Functions
    • Changing Interest Rates
    • Symmetry for Increases and Decreases
    • Appendix C Jensen's Inequality
    • C.1. Example: The Exponential Function
    • C.2. Example: The Price of a Call
    • C.3. Proof of Jensen's Inequality
    • Appendix D An Introduction to Visual Basic for Applications.
    • Note continued: D.1. Calculations without VBA
    • D.2. How to Learn VBA
    • D.3. Calculations with VBA
    • Creating a Simple Function
    • A Simple Example of a Subroutine
    • Creating a Button to Invoke a Subroutine
    • Functions Can Call Functions
    • Illegal Function Names
    • Differences between Functions and Subroutines
    • D.4. Storing and Retrieving Variables in a Worksheet
    • Using a Named Range to Read and Write Numbers from the Spreadsheet
    • Reading and Writing to Cells That Are Not Named
    • Using the Cells Function to Read and Write to Cells
    • Reading from within a Function
    • D.5. Using Excel Functions from within VBA
    • Using VBA to Compute the Black-Scholes Formula
    • The Object Browser
    • D.6. Checking for Conditions
    • D.7. Arrays
    • Defining Arrays
    • D.8. Iteration
    • A Simple for Loop
    • Creating a Binomial Tree
    • Other Kinds of Loops
    • D.9. Reading and Writing Arrays
    • Arrays as Output
    • Arrays as Inputs
    • D.10. Miscellany.
    • Note continued: Getting Excel to Generate Macros for You
    • Using Multiple Modules
    • Recalculation Speed
    • Debugging
    • Creating an Add-In.
    ISBN
    • 9780321543080
    • 0321543084
    • 9780136118275
    • 0136118275
    LCCN
    2012029875
    OCLC
    801996784
    Other standard number
    • 40021469672
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