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- Robert W. Kolb, James A. Overdahl
- Pricing and Risk Management
- John Wiley & Sons
- Robert W. Kolb, James A. Overdahl
- Series Title:
- Robert W. Kolb Series in Finance
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- Robert W. Kolb is the Frank W. Considine Chair of Applied Ethics and Professor of Finance at Loyola University Chicago. Before this, he was the assistant dean, Business and Society, and director, Center for Business and Society, at the University of Colorado at Boulder, and department chairman at the University of Miami. Kolb has authored over twenty books on finance, derivatives, and futures, as well as numerous articles in leading finance journals. James A. Overdahl, a specialist in financial derivatives, is the Chief Economist of the United States Securities and Exchange Commission. He had previously served as chief economist of the Commodity Futures Trading Commission and has nearly two decades of experience in senior positions at various federal financial regulatory agencies. He has taught economics and finance at the University of Texas at Dallas, Georgetown University, Johns Hopkins University, and George Washington University. Overdahl earned his PhD in economics from Iowa State University.
- Table of Contents:
- Introduction xxii Acknowledgments xxiv PART I Overview of Financial Derivatives 1 1 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3 G. D. Koppenhaver 2 The Derivatives Marketplace: Exchanges and the Over-the-Counter Market 21 Sharon Brown-Hruska 3 Speculation and Hedging 43 Greg Kuserk 4 The Social Functions of Financial Derivatives 57 Christopher L. Culp PART II Types of Financial Derivatives 73 5 Agricultural and Metallurgical Derivatives: Pricing 77 Joan C. Junkus 6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89 Joan C. Junkus 7 Equity Derivatives 103 Jeffrey H. Harris and L. Mick Swartz 8 Foreign Exchange Derivatives 115 Robert W. Kolb 9 Energy Derivatives 125 Craig Pirrong 10 Interest Rate Derivatives 135 Ian Lang 11 Exotic Options 143 Robert W. Kolb 12 Event Derivatives 157 Justin Wolfers and Eric Zitzewitz 13 Credit Default Swaps 177 Steven Todd 14 Structured Credit Products 199 Steven Todd 15 Executive Stock Options 211 Robert W. Kolb 16 Emerging Derivative Instruments 221 Steve Swidler PART III The Structure of Derivatives Markets and Institutions 231 17 The Development and Current State of Derivatives Markets 233 Michael A. Penick 18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249 James L. Carley 19 Clearing and Settlement 263 James T. Moser and David Reiffen 20 Counterparty Credit Risk 283 James Overdahl 21 The Regulation of U.S. Commodity Futures and Options 295 Walter L. Lukken 22 Accounting for Financial Derivatives 305 Ira G. Kawaller 23 Derivative Scandals and Disasters 313 John E. Marthinsen PART IV Pricing of Derivatives: Essential Concepts 333 24 No-Arbitrage Pricing 335 Robert A. Strong 25 The Pricing of Forward and Futures Contracts 351 David Dubofsky 26 The Black-Scholes Option Pricing Model 371 A. G. Malliaris 27 The Black-Scholes Legacy: Closed-Form Option PricingModels 387 Antonio Camara 28 The Pricing and Valuation of Swaps 405 Gerald Gay and Anand Venkateswaran PART V Advanced Pricing Techniques 423 29 Monte Carlo Techniques in Pricing and Using Derivatives 425 Cara M. Marshall 30 Valuing Derivatives Using Finite Difference Methods 441 Craig Pirrong 31 Stochastic Processes and Models 455 George Chalamandaris and A. G. Malliaris 32 Measuring and Hedging Option Price Sensitivities 477 R. Brian Balyeat PART VI Using Financial Derivatives 501 33 Option Strategies 503 Stewart Mayhew 34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525 John F. Marshall and Cara M. Marshall 35 Hedge Funds and Financial Derivatives 541 Tom Nohel 36 Real Options and Applications in Corporate Finance 559 Betty Simkins and Kris Kemper 37 Using Derivatives to Manage Interest Rate Risk 575 Steven L. Byers Index 591
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