Finance Financial Engineering

Derivative Products and Pricing The Swaps & Financial Derivatives Library, 3rd Edition Revised

By Satyajit Das
John Wiley & Sons August 2005

Specifications

ISBN-13
9780470821640
Publisher
John Wiley & Sons
Publication
August 2005
Format
Hardback , 1200 pages
Jurisdiction
International ? Countri(es) for reference only

Details

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.
 

Table of Contents

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.

About the Author

Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Since 1994, he has been a consultant to financial institutions and corporations on derivatives and financial products and risk management issues. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia.
Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets specializing in capital markets and risk management / derivative products.
Das holds Bachelors’ degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters Degree in Business Administration from the Australian Graduate School of Management.
 
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