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Produktbild: An Introduction to Equity Derivatives

An Introduction to Equity Derivatives Theory and Practice

Aus der Reihe Wiley Finance Series

Fr. 81.90

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

10.04.2012

Abbildungen

mit Illustrationen

Verlag

John Wiley & Sons

Seitenzahl

232

Maße (L/B/H)

25/17.3/2.4 cm

Gewicht

598 g

Auflage

2. Auflage

Sprache

Englisch

ISBN

978-1-119-96185-7

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

10.04.2012

Abbildungen

mit Illustrationen

Verlag

John Wiley & Sons

Seitenzahl

232

Maße (L/B/H)

25/17.3/2.4 cm

Gewicht

598 g

Auflage

2. Auflage

Sprache

Englisch

ISBN

978-1-119-96185-7

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Die Leseprobe wird geladen.
  • Produktbild: An Introduction to Equity Derivatives
  • Foreword xi

    Preface xiii

    Addendum: A Path to Economic Renaissance xv

    PART I BUILDING BLOCKS

    1 Interest Rate 3

    1-1 Measuring Time 3

    1-2 Interest Rate 4

    1-2.1 Gross Interest Rate 4

    1-2.2 Compounding. Compound Interest Rate 5

    1-2.3 Conversion Formula 6

    1-2.4 Annualization 6

    1-3 Discounting 7

    1-3.1 Present Value 7

    1-3.2 Discount Rate and Required Return 8

    1-4 Problems 8

    2 Classical Investment Rules 11

    2-1 Rate of Return. Time of Return 11

    2-1.1 Gross Rate of Return (ROR) 11

    2-1.2 Time of Return (TOR) 11

    2-2 Net Present Value (NPV) 12

    2-3 Internal Rate of Return (IRR) 13

    2-4 Other Investment Rules 14

    2-5 Further Reading 15

    2-6 Problems 15

    3 Fixed Income 19

    3-1 Financial Markets 19

    3-1.1 Securities and Portfolios 19

    3-1.2 Value and Price 19

    3-1.3 Financial Markets and Short-selling 20

    3-1.4 Arbitrage 21

    3-1.5 Price of a Portfolio 22

    3-2 Bonds 23

    3-2.1 Treasury Bonds 23

    3-2.2 Zero-Coupon Bonds 23

    3-2.3 Bond Markets 23

    3-3 Yield 24

    3-3.1 Yield to Maturity 24

    3-3.2 Yield Curve 24

    3-3.3 Approximate Valuation 26

    3-4 Zero-Coupon Yield Curve. Arbitrage Price 27

    3-4.1 Zero-Coupon Rate Curve 27

    3-4.2 Arbitrage Price of a Bond 28

    3-4.3 Zero-Coupon Rate Calculation by Inference: the 'Bootstrapping' Method 29

    3-5 Further Reading 30

    3-6 Problems 30

    4 Portfolio Theory 35

    4-1 Risk and Return of an Asset 35

    4-1.1 Average Return and Volatility 35

    4-1.2 Risk-free Asset. Sharpe Ratio 37

    4-2 Risk and Return of a Portfolio 38

    4-2.1 Portfolio Valuation 38

    4-2.2 Return of a Portfolio 38

    4-2.3 Volatility of a Portfolio 39

    4-3 Gains of Diversification. Portfolio Optimization 41

    4-4 Capital Asset Pricing Model 43

    4-5 Further Reading 44

    4-6 Problems 44

    PART II FIRST STEPS IN EQUITY DERIVATIVES

    5 Equity Derivatives 49

    5-1 Introduction 49

    5-2 Forward Contracts 50

    5-2.1 Payoff 51

    5-2.2 Arbitrage Price 51

    5-2.3 Forward Price 53

    5-2.4 Impact of Dividends 53

    5-2.4.1 Single Cash Dividend 54

    5-2.4.2 Single Proportional Dividend 55

    5-3 'Plain Vanilla' Options 55

    5-3.1 Payoff 56

    5-3.2 Option Value 57

    5-3.3 Put-Call Parity 57

    5-3.4 Option Strategies 58

    5-3.4.1 Leverage 58

    5-3.4.2 Covered Call 59

    5-3.4.3 Straddle 60

    5-3.4.4 Butterfly 61

    5-4 Further Reading 61

    5-5 Problems 61

    6 The Binomial Model 65

    6-1 One-Step Binomial Model 65

    6-1.1 An Example 65

    6-1.2 General Formulas 67

    6-2 Multi-Step Binomial Trees 67

    6-3 Binomial Valuation Algorithm 69

    6-4 Further Reading 70

    6-5 Problems 70

    7 The Lognormal Model 75

    7-1 Fair Value 75

    7-1.1 Probability Distribution of ST 75

    7-1.2 Discount Rate 76

    7-2 Closed-Form Formulas for European Options 76

    7-3 Monte-Carlo Method 78

    7-4 Further Reading 78

    7-5 Problems 78

    8 Dynamic Hedging 83

    8-1 Hedging Option Risks 83

    8-1.1 Delta-hedging 84

    8-1.2 Other Risk Parameters: the 'Greeks' 85

    8-1.3 Hedging the Greeks 86

    8-2 The P&L of Delta-hedged Options 86

    8-2.1 Gamma 86

    8-2.2 Theta 87

    8-2.3 Option Trading P&L Proxy 88

    8-3 Further Reading 89

    8-4 Problems 89

    PART III ADVANCED MODELS AND TECHNIQUES

    9 Models for Asset Prices in Continuous Time 95

    9-1 Continuously Compounded Interest Rate 95

    9-1.1 Fractional Interest Rate 95

    9-1.2 Continuous Interest Rate 96

    9-2 Introduction to Models for the Behavior of Asset Prices in Continuous Time 96

    9-3 Introduction to Stochastic Processes 97

    9-3.1 Standard Brownian Motion 98

    9-3.2 Generalized Brownian Motion 99

    9-3.3 Geometric Brownian Motion 100

    9-4 Introduction to Stochastic Calculus 101

    9-4.1 Ito Process 101

    9-4.2 The Ito-Doeblin Theorem 101

    9-4.3 Heuristic Proof of the Ito-Doeblin Theorem 102

    9-5 Further Reading 103

    9-6 Problems 103

    10 The Black-Scholes Model 109

    10-1 The Black-Scholes Partial Differential Equation 109

    10-1.1 Ito-Doeblin Theorem for the Derivative's Value 110

    10-1.2 Riskless Hedged Portfolio 111

    10-1.3 Arbitrage Argument 111

    10-1.4 Partial Differential Equation 111

    10-1.5 Continuous Delta-hedging 112

    10-2 The Black-Scholes Formulas for European Vanilla Options 112

    10-3 Volatility 113

    10-3.1 Historical Volatility 113

    10-3.2 Implied Volatility 114

    10-4 Further Reading 114

    10-5 Problems 114

    11 Volatility Trading 117

    11-1 Implied and Realized Volatilities 117

    11-1.1 Realized Volatility 117

    11-1.2 Implied Volatility 117

    11-2 Volatility Trading Using Options 118

    11-3 Volatility Trading Using Variance Swaps 119

    11-3.1 Variance Swap Payoff 120

    11-3.2 Variance Swap Market 120

    11-3.3 Variance Swap Hedging and Pricing 120

    11-4 Further Reading 123

    11-5 Problems 123

    12 Exotic Derivatives 127

    12-1 Single-Asset Exotics 127

    12-1.1 Digital Options 127

    12-1.2 Asian Options 127

    12-1.3 Barrier Options 128

    12-1.4 Lookback Options 129

    12-1.5 Forward Start Options 129

    12-1.6 Cliquet Options 130

    12-1.7 Structured Products 130

    12-2 Multi-Asset Exotics 131

    12-2.1 Spread Options 131

    12-2.2 Basket Options 132

    12-2.3 Worst-of and Best-of Options 132

    12-2.4 Quanto Options 133

    12-2.5 Structured Products 133

    12-2.6 Dispersion and Correlation Trading 134

    12-3 Beyond Black-Scholes 134

    12-3.1 Black-Scholes on Multiple Assets 134

    12-3.2 Fitting the Smile 135

    12-3.2.1 Stochastic Volatility 135

    12-3.2.2 Jumps 135

    12-3.2.3 Local Volatility 136

    12-3.3 Discrete Hedging and Transaction Costs 137

    12-3.3.1 Discrete Hedging 137

    12-3.3.2 Transaction Costs 137

    12-3.4 Correlation Modeling 138

    12-4 Further Reading 139

    12-5 Problems 139

    SOLUTIONS

    Problem Solutions 145

    Chapter 1 145

    Chapter 2 148

    Chapter 3 151

    Chapter 4 156

    Chapter 5 161

    Chapter 6 167

    Chapter 7 172

    Chapter 8 182

    Chapter 9 186

    Chapter 10 194

    Chapter 11 197

    Chapter 12 199

    APPENDICES

    A Probability Review 205

    A-1 States of Nature. Random Variables. Events 205

    A-2 Probability. Expectation. Variance 206

    A-3 Distribution. Normal Distribution 207

    A-4 Independence. Correlation 209

    A-5 Probability Formulas 210

    A-6 Further Reading 211

    B Calculus Review 213

    B-1 Functions of Two Variables x and y 213

    B-2 Taylor Expansions 214

    C Finance Formulas 217

    C-1 Rates and Yields 217

    C-2 Present Value. Arbitrage Price 217

    C-3 Forward Contracts 217

    C-4 Options 218

    C-5 Volatility 219

    C-6 Stochastic Processes. Stochastic Calculus 220

    C-7 Greeks etc. 220

    Index 223