07006cam a2200757 i 4500 ocn849641769 OCoLC 20171106100144.0 m o d cr ||||||||||| 130618t20132014nju ob 001 0 eng 2013024642 9781119954576 (pdf) 1119954576 (pdf) 9781119954583 (epub) 1119954584 (epub) 9781118773215 (electronic bk.) 1118773217 (electronic bk.) 9781119953715 (hardback) AU@ 000052902093 CHBIS 010259661 CHVBK 325939489 DEBBG BV041905830 DEBBG BV042742223 DEBSZ 397651872 DEBSZ 431542937 DEBSZ 449392201 GBVCP 804739382 DEBBG BV043396022 (OCoLC)849641769 (OCoLC)861082114 (OCoLC)870299958 DLC eng rda pn DLC YDX N$T YDXCP OCLCF CDX DG1 OCLCO EBLCP IDEBK MEAUC DEBSZ UKDOC DEBBG OCLCQ pcc MAIN HG6024.A3 BUS 027000 bisacsh 332.64/57 23 BUS027000 bisacsh Marroni, Leonardo, 1980- Pricing and hedging financial derivatives and structured products : a guide for practitioners / Leonardo Marroni, Irene Perdomo. [electronic resource] Hoboken : Wiley, 2013. ©2014 1 online resource. text txt rdacontent computer c rdamedia online resource cr rdacarrier Wiley finance series Includes bibliographical references and index. Pricing and Hedging Financial Derivatives: A Guide for Practitioners; Contents; Preface; Acknowledgements; 1 An Introduction to the Major Asset Classes; 1.1 EQUITIES; 1.1.1 Introduction; 1.1.2 Pricing equities; 1.1.3 Fundamental analysis; 1.1.4 Technical analysis; 1.1.5 Quantitative analysis; 1.1.6 The equity risk premium and the pre-FOMC announcement drift; 1.2 COMMODITIES; 1.2.1 Introduction; 1.2.2 Hedging; 1.2.3 Backwardation and contango; 1.2.4 Investment in commodities; 1.2.5 Commodity fundamentals; 1.2.6 Super-cycles in commodity prices; 1.2.7 Future regulation; 1.3 FIXED INCOME. 1.3.1 Introduction1.3.2 Credit risk; 1.3.3 The empirical pattern of yield curve moves; 1.3.4 Modelling interest rate movements; 1.3.5 Modelling the risks of default; 1.4 FOREIGN EXCHANGE; 1.4.1 Introduction; 1.4.2 How foreign exchange rates are quoted; SUMMARY; 2 Derivatives: Forwards, Futures and Swaps; 2.1 DERIVATIVES; 2.2 FORWARD CONTRACTS; 2.2.1 Definition; 2.2.2 Payoffs of forward contracts; 2.2.3 Forward price versus delivery price; 2.3 FUTURES CONTRACTS; 2.4 CALCULATING IMPLIED FORWARD PRICES AND VALUING EXISTING FORWARD CONTRACTS; 2.4.1 Calculating implied forward prices on equities. 2.4.2 Calculating implied forward prices on foreign exchange rates2.4.3 Calculating implied forward prices on commodities; 2.4.4 Valuing existing forward contracts; 2.5 PRICING FUTURES CONTRACTS; 2.6 SWAPS; 2.6.1 Introduction; 2.6.2 Interest rate swaps; 2.6.3 Commodity swaps; 2.6.4 Commodity swap valuation; 2.6.5 Commodity swaps with variable notional and price; 2.6.6 Currency swaps; 2.6.7 Equity swaps; SUMMARY; 3 Derivatives: Options and Related Strategies; 3.1 CALL OPTIONS; 3.1.1 Definition; 3.1.2 Examples; 3.1.3 Scenario analysis for the S & P 500 Index call option; 3.2 PUT OPTIONS. 3.2.1 Definition3.2.2 Examples; 3.2.3 Scenario analysis for put options; 3.3 BOUNDARY CONDITIONS FOR CALL AND PUT OPTIONS PRICES; 3.3.1 Introduction and basic notation; 3.3.2 A call option cannot be worth more than the price of the underlying asset; 3.3.3 The price of a put option cannot be higher than the present value of the strike price, K; 3.3.4 Lower boundaries for call options on non-dividend paying stocks; 3.3.5 Lower boundaries for put options on non-dividend paying stocks; 3.4 PUT-CALL PARITY; 3.5 SWAPTIONS; 3.6 OPTIONS STRATEGIES; 3.6.1 Introduction to option strategies. 3.6.2 Option spreads3.6.3 Directional strategies using vertical spreads; 3.6.4 Risk reversal and collars; 3.6.5 Volatility strategies with puts and calls; SUMMARY; 4 Binomial Option Pricing; 4.1 ONE-PERIOD BINOMIAL TREE: REPLICATION APPROACH; 4.2 RISK-NEUTRAL VALUATION; 4.2.1 Introduction to risk-neutral valuation; 4.2.2 An alternative way to think of the option price; 4.2.3 Risk-neutral probabilities; 4.3 TWO-PERIOD BINOMIAL TREE: VALUING BACK DOWN THE TREE; 4.4 THE BINOMIAL TREE: A GENERALIZATION; 4.5 EARLY EXERCISE AND AMERICAN OPTIONS; 4.6 VOLATILITY CALIBRATION; SUMMARY. "The only guide focusing entirely on practical approaches to pricing and hedging derivativesOne valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging--two critical topics for traders. What matters to practitioners is what happens on the trading floor--information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code "-- Provided by publisher. Print version record and CIP data provided by publisher. Derivative securities Prices. Hedging (Finance) BUSINESS & ECONOMICS Finance. bisacsh Derivative securities Prices. fast (OCoLC)fst01425056 Hedging (Finance) fast (OCoLC)fst00954458 Electronic books. Perdomo, Irene, 1977- Print version: Marroni, Leonardo, 1980- Pricing and hedging financial derivatives and structured products. Hoboken : Wiley, 2013 9781119953715 (DLC) 2013021914 Wiley finance series. http://onlinelibrary.wiley.com/book/10.1002/9781118773215 Wiley Online Library ddc BK 206835 206835