Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts,
Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaley's research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific-Basin Finance Journal, and Advances in Futures and Options Research.
Preface ix Acknowledgments xxv About the Author xxvii PART ONE: Derivative Markets 1 CHAPTER 1: Derivative Contracts and Markets 3 PART TWO: Fundamentals of Valuation 49 CHAPTER 2: Assumptions and Interest Rate Mechanics 51 CHAPTER 3: Relation between Return and Risk 89 PART THREE: Forwards/Futures/Swap Valuation 119 CHAPTER 4: No-Arbitrage Price Relations: Forwards, Futures, Swaps 121 CHAPTER 5: Risk Management Strategies: Futures 143 PART FOUR: Option Valuation 173 CHAPTER 6: No-Arbitrage Price Relations: Options 175 CHAPTER 7: Valuing Standard Options Analytically 201 CHAPTER 8: Valuing Nonstandard Options Analytically 261 CHAPTER 9: Valuing Options Numerically 303 CHAPTER 10: Risk Management Strategies: Options 347 PART FIVE: Stock Derivatives 381 CHAPTER 11: Stock Products 383 CHAPTER 12: Corporate Securities 419 CHAPTER 13: Compensation Agreements 451 PART SIX: Stock Index Derivatives 467 CHAPTER 14: Stock Index Products: Futures and Options 469 CHAPTER 15: Stock Index Products: Strategy Based 517 PART SEVEN: Currency Derivatives 563 CHAPTER 16: Currency Products 565 PART EIGHT: Interest Rate Derivatives 601 CHAPTER 17: Interest Rate Products: Futures and Options 603 CHAPTER 18: Interest Rate Products: Swaps 637 CHAPTER 19: Credit Products 679 CHAPTER 20: Valuing Interest Rate Products Numerically 705 PART NINE: Commodity Derivatives 729 CHAPTER 21: Commodity Products 731 PART TEN: Lessons Learned 771 CHAPTER 22: Key Lessons 773 APPENDICES A. Elementary Statistics 779 B. Regression Analysis 821 C. Statistical Tables 861 D. Glossary 869 INDEX 897