Derivative Products and Pricing: The Swaps & Financial Derivatives Library, 3rd Edition Revised

Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.

ROLE AND FUNCTION OF DERIVATIVES.

1. Financial Derivatives Building Blocks – Forward & Option Contracts.

DERIVATIVE INSTRUMENTS.

2. Exchange-Traded Products – Futures & Options On Futures Contracts.

3. Over-The-Counter Products – FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options.

PRICING & VALUING DERIVATIVE INSTRUMENTS.

4. Derivatives Pricing Framework.

5. Interest Rates & Yield Curves.

6. Pricing Forward & Futures Contracts.

7. Option Pricing.

8. Interest Rate Options Pricing.

9. Estimating Volatility & Correlation.

10. Pricing Interest Rate & Currency Swaps.

11. Swap Spreads.

DERIVATIVE TRADING & PORTFOLIO MANAGEMENT.

12. Derivatives Trading & Portfolio Management.

13. Hedging Interest Rate Risk – Individual Instruments.

14. Hedging Interest Rate Risk – Portfolios.

15. Measuring Option Price Sensitivities — The Greek Alphabet of Risk.

16. Delta Hedging/Management of Option Portfolios.