|Culp, Christopher L.|
Derivatives in Theory and Practice
Wiley Finance Editions
1. Auflage Mai 2004
2004. 448 Seiten, Hardcover
ISBN 978-0-471-46498-3 - John Wiley & Sons
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Risk Transfer: Derivatives in Theory and Practice is a complete derivatives course-for both students and practitioners. While many existing derivative books focus on the narrow issue of pricing and hedging, this focuses on the driving economic theory behind derivatives and risk transfer, and the advanced application and implementation of derivative instruments by corporations and institutional investors. Risk Transfer offers an advanced read on the subject, one that prepares both students and current practitioners for many of the issues and problems they will face in derivative markets.
Aus dem Inhalt
Preface: The Demonization of Derivatives.
Introduction and Structure of the Book.
PART ONE: The Economics of Risk Transfer.
CHAPTER 1: The Determinants of Financial Innovation.
CHAPTER 2: Risk, Uncertainty, and Profit.
CHAPTER 3: Methods of Controlling Risk and Uncertainty.
CHAPTER 4: Risk Transfer and Contracting Structures.
CHAPTER 5: The Evolution of Derivatives Activity.
CHAPTER 6: Derivatives Trading, Clearance, and Settlement.
PART TWO: Derivatives Valuation and Asset Lending.
CHAPTER 7: Principles of Derivatives Valuation.
CHAPTER 8: Own Rates of Interest and the Cost of Carry Model.
CHAPTER 9: The Supply of Storage and the Term Structure of Forward Prices.
CHAPTER 10: The Term Structure of Interest Rates.
CHAPTER 11: Basis Relations and Spreads.
PART THREE: Speculation and Hedging.
CHAPTER 12: Speculation and the Speculative Risk Premium.
CHAPTER 13: Hedging Objectives.
CHAPTER 14: Hedge Ratios.
CHAPTER 15: Quality Basis Risk.
CHAPTER 16: Calendar Basis Risk.
PART FOUR: Appendixes.
APPENDIX 1: Economic Theory and Equilibrium.
APPENDIX 2: Derivation of the Fundamental Value Equation.
APPENDIX 3: Relation between the Cost of Carry Model and the Fundamental Value Equation.