An Introduction to Derivative Securities, Financial Markets, and Risk Management
Robert Jarrow () and
Arkadev Chatterjea
in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Abstract:
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
Keywords: Derivatives; Financial Markets; Risk Management; Arbitrage; Financial Engineering; Forwards; Futures; Call Options; Put Options; European Options; American Options; Swaps; Currency Swaps; Interest Rate Swaps; Commodity Swaps; Equity Swaps; Credit Default Swaps; Commodity Derivatives; Equity Derivatives; Index Derivatives; Interest Rate Derivatives; Commodities; Margins and Daily Settlements; Binomial Model; Black-Scholes Model; Black-Scholes-Merton Model; Delta Hedging; Gamma Hedging; Heath-Jarrow-Morton Model; Libor Model; Forward Rate Agreements; Interest Rate Futures; Interest Rate Options; Market Manipulation; Regulation; Derivatives Exchanges (search for similar items in EconPapers)
JEL-codes: C58 G1 G10 G13 G2 G20 G32 (search for similar items in EconPapers)
Date: 2024
ISBN: 9789811291647
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https://www.worldscientific.com/worldscibooks/10.1142/13797 (text/html)
Ebook Access is available upon purchase
Chapters in this book:
- Ch 1 Derivatives and Risk Management , pp 2-20
- Robert Jarrow and Arkadev Chatterjea
- Ch 2 Interest Rates , pp 21-49
- Robert Jarrow and Arkadev Chatterjea
- Ch 3 Stocks , pp 50-68
- Robert Jarrow and Arkadev Chatterjea
- Ch 4 Forwards and Futures , pp 69-88
- Robert Jarrow and Arkadev Chatterjea
- Ch 5 Options , pp 89-108
- Robert Jarrow and Arkadev Chatterjea
- Ch 6 Arbitrage and Trading , pp 109-125
- Robert Jarrow and Arkadev Chatterjea
- Ch 7 Financial Engineering and Swaps , pp 126-148
- Robert Jarrow and Arkadev Chatterjea
- Ch 8 Forwards and Futures Markets , pp 152-169
- Robert Jarrow and Arkadev Chatterjea
- Ch 9 Futures Trading , pp 170-189
- Robert Jarrow and Arkadev Chatterjea
- Ch 10 Futures Regulations , pp 190-206
- Robert Jarrow and Arkadev Chatterjea
- Ch 11 The Cost-of-Carry Model , pp 207-225
- Robert Jarrow and Arkadev Chatterjea
- Ch 12 The Extended Cost-of-Carry Model , pp 226-252
- Robert Jarrow and Arkadev Chatterjea
- Ch 13 Futures Hedging , pp 253-282
- Robert Jarrow and Arkadev Chatterjea
- Ch 14 Options Markets and Trading , pp 286-307
- Robert Jarrow and Arkadev Chatterjea
- Ch 15 Option Trading Strategies , pp 308-333
- Robert Jarrow and Arkadev Chatterjea
- Ch 16 Option Relations , pp 334-364
- Robert Jarrow and Arkadev Chatterjea
- Ch 17 Single-Period Binomial Model , pp 365-388
- Robert Jarrow and Arkadev Chatterjea
- Ch 18 Multiperiod Binomial Model , pp 389-418
- Robert Jarrow and Arkadev Chatterjea
- Ch 19 The Black–Scholes–Merton Model , pp 419-458
- Robert Jarrow and Arkadev Chatterjea
- Ch 20 Using the Black–Scholes–Merton Model , pp 459-490
- Robert Jarrow and Arkadev Chatterjea
- Ch 21 Yields and Forward Rates , pp 494-533
- Robert Jarrow and Arkadev Chatterjea
- Ch 22 Interest Rate Swaps , pp 534-553
- Robert Jarrow and Arkadev Chatterjea
- Ch 23 Single-Period Binomial Heath–Jarrow–Morton Model , pp 554-587
- Robert Jarrow and Arkadev Chatterjea
- Ch 24 Multiperiod Binomial HJM Model , pp 588-613
- Robert Jarrow and Arkadev Chatterjea
- Ch 25 The Heath–Jarrow–Morton Libor Model , pp 614-649
- Robert Jarrow and Arkadev Chatterjea
- Ch 26 Risk Management Models , pp 650-678
- Robert Jarrow and Arkadev Chatterjea
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