风险管理中的期货和期权(英文版.第2版)|当代全美MBA经典教材书系|Terry J.Watsham|北京大学出版社

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风险管理中的期货和期权(英文版.第2版)

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原书名：Futures and Options in Risk Management	原出版社：Thomson
作者： Terry J.Watsham	出版社：北京大学出版社
译者：	丛书名：当代全美MBA经典教材书系
出版日期：2003-1-1	上架日期：2005-10-8
ISBN：730105968x	页数：版次：1-2
开本：16	装帧：

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内容简介
风险管理中的期货和期权(第2版)对定价原则和套期保值衍生工具(期货、远期、期权和互换)以及它们在国债和投资组合风险管理中的应用进行了深入介绍。本版还进行了广泛的修订并增添’了新的内容，其中包括奇异期权、涉及衍生工具交易的风险管理，并对价格波动性提供了更为详尽的分析。
本书通过一种直觉、严格的方法来论述概念和模型，同时更加强调它们在实践中的应用。这种清晰、逐步的描述方法对那些缺乏数学基础的学生来说非常适合，而那些数学功底很好的学生通过阅读本书也将受益匪浅。

目录
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Contents
Preface
1An introduction to derivatives
 Definitions of various derivatives instruments
 The modern history of financial derivates
 The institutions and mechanisms of the futures markets
 Variation margin
 The mechanics of the options markets
 Recent development in the derivatives markets
 An intuitive introduciton to the uses of options, futures and swaps
 Description of the remainder of this book
 Summary
 Questions
 References
2An introduction to quantitative techniques
 Introduction
 Some basic mathematics
 The time value of money
 The mathematics of asset yields
 Frequency distributions of asset returns
 Statistical analysis of the size and variability of asset returns
 Probability distributions
 Covariance, correlation and regression
 An application of the mean, standard deviation and correlation coefficient
 Summary
 Questions
 References and further reading
 Appendix 2. h The standardized normal distribution
 Appendix 2.2: Percentage points of the t-distribution
3The general principles of pricing forwards and futures contracts
 Spot and forward contracts
Arbitrage and the pricing of finandal instruments
Distinction between value and price
The pricing of forward and futures contracts on carryable financial assets
The pricing of forward and futures contracts on non-carryable financial
 assets
The differences between forward and futures prices
Summary
Questions
References
4 The general principles of valuing options
Introduction
Limits to an option's price
Intuitive explanation of factors influencing option values
Valuation of European options
Option price ssensitivities
Valuation of European put options
The effects of a breakdown in the assumptions
Summary
Questions
References and further reading
Appendix 4.1: The trinomial equivalent of the binomial option-pridng
model
Appendix 4.2: Introduction to the stochastic calculus of the Black-Scholes
model
5 Volatility
What is volatility?
Types of volatility
Esstimating volatility
The empirical characteristics of volatility
Forward volatilities
Empirical evidence of volatility forecasts
Summary
Questions
References and further reading
Appendix 5.1: Bisection
6 Option strategies
Introduction
Analysis of option strategies
Managing the long option position
Call option writing
Put option writing
Option strategies involving more than one option
Summary
Questions
Further reading
7 Equity options
Introduction
 The application of equity option valuation models
 The effect of dividend payments on option valuation
 Valuation of American options
 The binomial model applied to American options
 Empirical tests of equity option-pridng models
 Long-term equity warrants
 Bonds with embedded equity options
 Summary
 Questions
 References and further reading
8Futures and options on equity indices
 Introduction
 The structure of equity indices
 Futures on equity indices
 Options on equity indices
 Empirical analysis of index option-pricing models
 Index futures and options in equity risk management
 Applications of options on equity indices and on index futures
 Summary
 Questions
 References
 Appendix 8.1: Bivariate GARCH
 Appendix 8.2: Proof of the derivation of the hedge ratio h *
9Currency forwards and futures
 Introduction
 The quotation of exchange rates
 Foward exchange contracts and currency futures compared
 The determination of forward exchange rates and currency futures prices
 Managing currency risk with forwards or futures
 Summary.
 Questions
 References and further reading
10Currency options
 Introduction
 Valuation of currency options
 Validity of the models' assumptions
 Options on currency futures and forwards
 Applications of currency options to currency risk management
 Summary
 Questions
 References
11Short-term interest rate futures
 Introduction
 The exchange-traded and the over-the-counter' markets
 Money market interest rate conventions
 Futures and forwards on short-term interest rates
 Applications of interest rate futures and FRAs
Summary
Questions
References and further reading
12Bond futures
Types of bond futures and contract specifications
Spedal features of bond futures contracts
The pricing of bond futures contracts
Summary of bond futures pricing procedures
The concept of basis
Embedded options and the fair price of a future
Summary of factors affecting embedded options
Applications of bond futures to risk management
Summary
Questions
References and further reading
13 Options on debt instruments and interest rates
 Introduction
 Are interest rate options different to other options?
 Applying Black-Scholes-type models to interest rate options
 Applications of short-term interest rate options to risk management
 Term structure models of option pricing
 The nature of debt instruments with embedded options
 Applying the Black-Derman-Toy model to bonds with embedded options
 Summary
 Questions
 References and further reading
14 Swaps
 Introduction
 The reasons for the swap market's existence
 The analysis of interest rate swaps
 The analysis of currency swaps
 The pridng and valuing of swaps
 Calculating the price of an interest rate
 Valuation of interest rate swaps
 Non-generic interest rate swaps
 Pricing and valuing of currency swaps
 The risks assodated with swaps
 Applications of swaps to risk management
 Asset swaps: synthetic instruments for asset management
 Equity swaps
 Commodity swaps
 Options of swaps: swaptions
 Applications of swaptions to risk management
 Summary
 Questions
 References and further reading
 Appendix 14.1: Deriving the swap zero coupon curve from the par swap yield curve
15 Exotic options
 Introduction
 Path dependence and independence
 Correlation risk
 Types of exotic options
 Correlation risk
 Questions
 References and further reading
 Appendix 15.1: Monte Carlo simulation
16 Managing risk in derivatives portfolios
 A general introduction to the theory of risk
 Data for measuring risk
 Managing risks applicable to all derivatives portfolios
 Managing exposure to default risk
 Mitigating exposure to default risk
 Managing exposure to interest rate risk
 Managing interest rate risk
 Hedging options portfolios
 Critical analysis and internal control of model application
 Value-at-risk models
 Questions
 References
 Index

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读者：dingyong_golden 最新讨论：2006-7-10 15:22:04 评价等级：得1支
这本书被誉为MBA经典教材之一，不必说了，在此推荐另一本本书作者（Terry J. Watsham) 的金融书： QuantitativeMethods in Finance, by Terry J. Watsham & Keith Parramore 这本书也是常被作为金融数量方法课程的指定教材中文版如下 ......[查看全部]
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读者：dingyong_golden 最新讨论：2006-7-10 14:59:18 评价等级：得2支
推荐相关书单： 1）期货期权方面： &n ......[查看全部]
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