Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps PDF
Preview Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps
Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps 9259_9789814618410_tp.indd 1 26/11/14 11:32 am World Scientific Lecture Notes in Economics ISSN: 2382-6118 Series Editor: Dirk Bergemann (Yale University, USA) Vol. 1: Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps by George M. Constantinides Forthcoming: Lecture Notes on Econometric Models for Industrial Organization by Matthew Shum Cooperature Game Theory by Adam Brandenburger Economics of the Middle East by Julia C. Devlin Radha - Financial derivatives - futures, forwards.indd 1 3/11/2014 2:18:04 PM World Scientific Lecture Notes in Economics – Vol. 1 Financial Derivatives Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps George M Constantinides University of Chicago Booth School of Business, USA World Scientific NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TAIPEI • CHENNAI 9259_9789814618410_tp.indd 2 26/11/14 11:32 am Published by World Scientific Publishing Co. Pte. Ltd. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE Library of Congress Cataloging-in-Publication Data Constantinides, George M. Financial derivatives : futures, forwards, swaps, options, corporate securities and credit default swaps / by George M Constantinides (University of Chicago Booth School of Business, USA). pages cm. -- (World scientific lecture notes in economics, ISSN 2382-6118 ; vol. 1) Includes bibliographical references and index. ISBN 978-9814618410 (hardcover : alk. paper) ISBN 9789814618427 (pbk. : alk. paper) 1. Derivative securities. 2. Options (Finance) 3. Swaps (Finance) I. Title. HG6024.A3C663 2015 332.64'57--dc23 2014041576 British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. Copyright © 2015 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the publisher. For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher. In-house Editors: Parvath Radha/Philly Lim Typeset by Stallion Press Email: [email protected] Printed in Singapore Radha - Financial derivatives - futures, forwards.indd 2 3/11/2014 2:18:04 PM November25,2014 13:32 FinancialDerivatives-9inx6in b1866-fm pagev To my students and colleagues from whom I learned a great deal and who helped me build these teaching notes. v May2,2013 14:6 BC:8831-ProbabilityandStatisticalTheory PST˙ws TThhiiss ppaaggee iinntteennttiioonnaallllyy lleefftt bbllaannkk November25,2014 13:32 FinancialDerivatives-9inx6in b1866-fm pagevii Contents About the Author ix Preface xi Chapter 1 Introduction to Forward and Futures Contracts 1 Chapter 2 Pricing Forwards and Futures 13 Chapter 3 Interest Rate and Currency Swaps 39 Chapter 4 Introduction to Options and No-Arbitrage Restrictions 61 Chapter 5 Trading Strategies and Slope and Convexity Restrictions 81 Chapter 6 Optimal Early Exercise of American Options 95 Chapter 7 Binomial Option Pricing 107 Chapter 8 Using the Binomial Model 123 Chapter 9 The Black–Scholes–Merton Option Pricing Formula 139 vii November25,2014 13:32 FinancialDerivatives-9inx6in b1866-fm pageviii viii Contents Chapter 10 Options on Futures 151 Chapter 11 Risk Management 161 Chapter 12 Empirical Evidence and Fixes 179 Chapter 13 Corporate Securities and Credit Risk 197 November25,2014 13:32 FinancialDerivatives-9inx6in b1866-fm pageix About the Author The Leo Melamed Professor of Finance at the University of Chicago’s Booth School of Business, George Constantinides is a leader of academic finance, an expert in portfolio theory, asset pricing, derivatives pricing, and capital markets behavior. Widely published and a frequentspeaker and editor, heis former presidentoftheAmerican Finance Association and the Society for Financial Studies and member of Dimensional’s Boards of Directors of the US mutual funds, among many other professional affiliations. A graduate of Oxford University in England and Indiana University, he has also visited at Harvard University. ix
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