An introduction to equity derivatives : theory and practice

Sébastien Bossu, Philippe Henrotte

Everything you need to get a grip on the complex world of derivatives Written by the internationally respected academic/finance professional author team of Sebastien Bossu and Philipe Henrotte, An Introduction to Equity Derivatives is the fully updated and expanded second edition of the popular Finance and Derivatives. It covers all of the fundamentals of quantitative finance clearly and concisely without going into unnecessary technical detail. Designed for both new practitioners and students, it requires no prior background in finance and features twelve chapters of gradually increasing difficulty, beginning with basic principles of interest rate and discounting, and ending with advanced concepts in derivatives, volatility trading, and exotic products. Each chapter includes numerous illustrations and exercises accompanied by the relevant financial theory. Topics covered include present value, arbitrage pricing, portfolio theory, derivates pricing, delta-hedging, the Black-Scholes model, and more. An excellent resource for finance professionals and investors looking to acquire an understanding of financial derivatives theory and practice Completely revised and updated with new chapters, including coverage of cutting-edge concepts in volatility trading and exotic products An accompanying website is available which contains additional resources including powerpoint slides and spreadsheets. Visit www.introeqd.com for details.

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Alternative title:	Finance des marchés <English>
Year of publication:	2012 ; English language ed (Online-Ausg.)
Authors:	Bossu, Sébastien
Other Persons:	Henrotte, Philippe (contributor)
Publisher:	Chichester, West Sussex : Wiley
Subject:	Kapitalanlage \| Financial investment \| Derivat \| Derivative \| Portfolio-Management \| Portfolio selection \| Optionspreistheorie \| Option pricing theory \| Kapitaleinkommen \| Capital income \| Finanzmathematik \| Mathematical finance \| Derivat <Wertpapier>
Description of contents:	Table of Contents [external.dandelon.com] ; Description [swbplus.bsz-bw.de]

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Extent:	Online-Ressource (1 online resource (xvi, 231 p.)) ill.
Series:	Wiley finance The Wiley Finance Ser ; v.647
Type of publication:	Book / Working Paper
Language:	English
Notes:	Translated from the original French ed.: Finance des marchés. 2nd ed. Paris : Dunod, 2008. - Includes bibliographical references and index. - Description based on print version record An Introduction to Equity Derivatives; Contents; Foreword; Preface; Addendum: A Path to Economic Renaissance; PART I BUILDING BLOCKS; 1 Interest Rate; 1-1 Measuring Time; 1-2 Interest Rate; 1-2.1 Gross Interest Rate; 1-2.2 Compounding. Compound Interest Rate; 1-2.3 Conversion Formula; 1-2.4 Annualization; 1-3 Discounting; 1-3.1 Present Value; 1-3.2 Discount Rate and Required Return; 1-4 Problems; 2 Classical Investment Rules; 2-1 Rate of Return. Time of Return; 2-1.1 Gross Rate of Return (ROR); 2-1.2 Time of Return (TOR); 2-2 Net Present Value (NPV); 2-3 Internal Rate of Return (IRR) 2-4 Other Investment Rules2-5 Further Reading; 2-6 Problems; 3 Fixed Income; 3-1 Financial Markets; 3-1.1 Securities and Portfolios; 3-1.2 Value and Price; 3-1.3 Financial Markets and Short-selling; 3-1.4 Arbitrage; 3-1.5 Price of a Portfolio; 3-2 Bonds; 3-2.1 Treasury Bonds; 3-2.2 Zero-Coupon Bonds; 3-2.3 Bond Markets; 3-3 Yield; 3-3.1 Yield to Maturity; 3-3.2 Yield Curve; 3-3.3 Approximate Valuation; 3-4 Zero-Coupon Yield Curve. Arbitrage Price; 3-4.1 Zero-Coupon Rate Curve; 3-4.2 Arbitrage Price of a Bond; 3-4.3 Zero-Coupon Rate Calculation by Inference: the 'Bootstrapping' Method 3-5 Further Reading3-6 Problems; 4 Portfolio Theory; 4-1 Risk and Return of an Asset; 4-1.1 Average Return and Volatility; 4-1.2 Risk-free Asset. Sharpe Ratio; 4-2 Risk and Return of a Portfolio; 4-2.1 Portfolio Valuation; 4-2.2 Return of a Portfolio; 4-2.3 Volatility of a Portfolio; 4-3 Gains of Diversification. Portfolio Optimization; 4-4 Capital Asset Pricing Model; 4-5 Further Reading; 4-6 Problems; PART II FIRST STEPS IN EQUITY DERIVATIVES; 5 Equity Derivatives; 5-1 Introduction; 5-2 Forward Contracts; 5-2.1 Payoff; 5-2.2 Arbitrage Price; 5-2.3 Forward Price; 5-2.4 Impact of Dividends 5-2.4.1 Single Cash Dividend5-2.4.2 Single Proportional Dividend; 5-3 'Plain Vanilla' Options; 5-3.1 Payoff; 5-3.2 Option Value; 5-3.3 Put-Call Parity; 5-3.4 Option Strategies; 5-3.4.1 Leverage; 5-3.4.2 Covered Call; 5-3.4.3 Straddle; 5-3.4.4 Butterfly; 5-4 Further Reading; 5-5 Problems; 6 The Binomial Model; 6-1 One-Step Binomial Model; 6-1.1 An Example; 6-1.2 General Formulas; 6-2 Multi-Step Binomial Trees; 6-3 Binomial Valuation Algorithm; 6-4 Further Reading; 6-5 Problems; 7 The Lognormal Model; 7-1 Fair Value; 7-1.1 Probability Distribution of ST; 7-1.2 Discount Rate 7-2 Closed-Form Formulas for European Options7-3 Monte-Carlo Method; 7-4 Further Reading; 7-5 Problems; 8 Dynamic Hedging; 8-1 Hedging Option Risks; 8-1.1 Delta-hedging; 8-1.2 Other Risk Parameters: the 'Greeks'; 8-1.3 Hedging the Greeks; 8-2 The P&L of Delta-hedged Options; 8-2.1 Gamma; 8-2.2 Theta; 8-2.3 Option Trading P&L Proxy; 8-3 Further Reading; 8-4 Problems; PART III ADVANCED MODELS AND TECHNIQUES; 9 Models for Asset Prices in Continuous Time; 9-1 Continuously Compounded Interest Rate; 9-1.1 Fractional Interest Rate; 9-1.2 Continuous Interest Rate 9-2 Introduction to Models for the Behavior of Asset Prices in Continuous Time
ISBN:	978-1-280-67909-4 ; 978-1-119-96185-7 ; 978-1-119-96185-7 ; 1-119-96185-8
Source:	ECONIS - Online Catalogue of the ZBW

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