ISBN 9780631215899,Applied Derivatives

Applied Derivatives



John Wiley & Sons

Publication Year 2002

ISBN 9780631215899

ISBN-10 0631215891


Number of Pages 400 Pages
Language (English)

Medical physics

Applied Derivatives provides a detailed, yet relatively non-technical, treatment of the conceptual foundations for derivative securities markets pricing and investment principles. This book draws from the most fundamental concepts of pricing for options, futures, and swaps to provide insight into the potential risks and returns from conventional option investing. This book combines traditional topics in pricing theory with nontraditional topics that the author has researched throughout his career. Topics include, but are not limited to: a CAPM-based derivation of the binomial model which shows no strategies involving fairly-priced options can simultaneously reduce risk and increase return the effects of volatility misestimation in synthetic option replication the use of linear programming in options arbitrage and replication the formation of optimal portfolios consisting of stock, options, and safe assets pricing options when the source of risk is a potential change in interest rates, unit and tailed-based futures hedging interest rate immunization using swaps. Applied Derivatives is supported by the website http://www. rendleman. com/book which contains course software referenced in the text and additional questions and problems as they become available.

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