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Home > Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps

Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps


Book Informaton

Author

GEORGE MICHAEL CONSTANTINIDES

Series

World Scientific Lecture Notes in Economics

Year of Publication

2014

Publisher

WSPC

Pages

232

Language

en

ISBN

9814618411, 9789814618410

ARI Id

1673487062107


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Showing 1 to 20 of 120 entries
Chapters/HeadingsAuthor(s)PagesInfo
Chapter 1 Introduction to Forward and Futures Contracts
What are Derivatives?
How Did Derivatives Evolve?
Forward Contracts
Payoff Diagram for Long and Short Forward Positions
Futures Contracts
Payoff Diagram for Long and Short Futures Positions
Other Types of Derivatives
Chapter 2 Pricing Forwards and Futures
The No-Arbitrage Principle
The Cost-of-Carry Model
Carry Trades
Pricing Treasury Bill Forwards
Pricing Commodity Forward Contracts with Storage Costs and Convenience Yield
Relation between Forward and Futures Prices
T-Bond Futures Contract
Value of a Forward Contract after Initiation and the Hedge Ratio
Value of a Futures Contract after Initiation and the Hedge Ratio
Metallgesellschaft
Assignment 1
Chapters/HeadingsAuthor(s)PagesInfo
Showing 1 to 20 of 120 entries