| Description |
1 online resource (621 p.) |
| Series |
Frank J. Fabozzi Series |
|
Frank J. Fabozzi Series
|
| Contents |
Cover -- Title Page -- Copyright -- Contents -- Preface -- Chapter 1 Introduction and Overview -- 1.1 Motivation for This Book -- 1.2 What Is a Derivative? -- 1.3 Options Versus Forwards, Futures, and Swaps -- 1.4 Size and Scope of the Financial Derivatives Markets -- 1.5 Outline and Features of the Book -- 1.6 Final Thoughts and Preview -- Questions and Problems -- Notes -- Part I Basic Foundations for Derivative Pricing -- Chapter 2 Boundaries, Limits, and Conditions on Option Prices -- 2.1 Setup, Definitions, and Arbitrage -- 2.2 Absolute Minimum and Maximum Values |
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2.3 The Value of an American Option Relative to the Value of a European Option -- 2.4 The Value of an Option at Expiration -- 2.5 The Lower Bounds of European and American Options and the Optimality of Early Exercise -- 2.6 Differences in Option Values by Exercise Price -- 2.7 The Effect of Differences in Time to Expiration -- 2.8 The Convexity Rule -- 2.9 Put-Call Parity -- 2.10 The Effect of Interest Rates on Option Prices -- 2.11 The Effect of Volatility on Option Prices -- 2.12 The Building Blocks of European Options -- 2.13 Recap and Preview -- Questions and Problems -- Notes |
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Chapter 3 Elementary Review of Mathematics for Finance -- 3.1 Summation Notation -- 3.2 Product Notation -- 3.3 Logarithms and Exponentials -- 3.4 Series Formulas -- 3.5 Calculus Derivatives -- 3.6 Integration -- 3.7 Differential Equations -- 3.8 Recap and Preview -- Questions and Problems -- Notes -- Chapter 4 Elementary Review of Probability for Finance -- 4.1 Marginal, Conditional, and Joint Probabilities -- 4.2 Expectations, Variances, and Covariances of Discrete Random Variables -- 4.3 Continuous Random Variables -- 4.4 Some General Results in Probability Theory |
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4.5 Technical Introduction to Common Probability Distributions Used in Finance -- 4.6 Recap and Preview -- Questions and Problems -- Notes -- Chapter 5 Financial Applications of Probability Distributions -- 5.1 The Univariate Normal Probability Distribution -- 5.2 Contrasting the Normal with the Lognormal Probability Distribution -- 5.3 Bivariate Normal Probability Distribution -- 5.4 The Bivariate Lognormal Probability Distribution -- 5.5 Recap and Preview -- Appendix 5A An Excel Routine for the Bivariate Normal Probability -- Questions and Problems -- Notes |
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Chapter 6 Basic Concepts in Valuing Risky Assets and Derivatives -- 6.1 Valuing Risky Assets -- 6.2 Risk-Neutral Pricing in Discrete Time -- 6.3 Identical Assets and the Law of One Price -- 6.4 Derivative Contracts -- 6.5 A First Look at Valuing Options -- 6.6 A World of Risk-Averse and Risk-Neutral Investors -- 6.7 Pricing Options Under Risk Aversion -- 6.8 Recap and Preview -- Questions and Problems -- Notes -- Part II Discrete Time Derivatives Pricing Theory -- Chapter 7 The Binomial Model -- 7.1 The One-Period Binomial Model for Calls -- 7.2 The One-Period Binomial Model for Puts |
| Notes |
Description based upon print version of record |
|
7.3 Arbitraging Price Discrepancies |
| Form |
Electronic book
|
| Author |
Chance, Don M
|
| ISBN |
9781394179671 |
|
1394179677 |
|
