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Derivatives Markets (2nd Edition) (Addison-Wesley Series in Finance)
by Robert L. McDonald (Author)
Hardcover: 912 pages
Publisher: Addison Wesley; 2 edition (2006)
Language: English
Review:
advanced, comprehensive treatment
As financial instruments become ever more complex, McDonald's book gives a systematic treatment of the most common forms of derivatives. Providing a unified etymology that can help you understand how they work.
He groups options (puts and calls) with forward contracts like zero coupon bonds. Through numerous simple payoff graphs, as well as explanatory accompanying text, the ideas are easily grasped. The book starts with these ideas in its early chapters. Then it builds on them, to illustrate associated and often more elaborate constructs, as in insurance strategies for hedging.
Nor is the discussion confined to minimising one's risk. There is an alternative method, of deliberately speculating on volatility, for example.
The modelling of futures and options pricing is dealt with in detail. Including the seminal Black-Scholes formula and related analysis. The assumptions behind Black-Scholes are examined in detail, given the crucial influence of this on many types of pricing. The treatment gets rather advanced, invoking ideas like Monte Carlo simulations of stock prices.
The text is well suited for a graduate program in finance.
Table of Contents
Chapter 1 Introduction to Derivatives
Part I Insurance, Hedging, and Simple Strategies
Chapter 2 An Introduction to Forwards and Options
Chapter 3 Insurance, Collars, and Other Strategies
Chapter 4 Introduction to Risk Management
Part II Forwards, Futures, and Swaps
Chapter 5 Financial Forwards and Futures
Chapter 6 Commodity Forwards and Futures
Chapter 7 Interest Rates Forwards and Futures
Chapter 8 Swaps
Part III Options
Chapter 9 Parity and Other Option Relationships
Chapter 10 Binomial Option Pricing: I
Chapter 11 Binomial Option Pricing: II
Chapter 12 The Black-Scholes Formula
Chapter 13 Market-Making and Delta-Hedging
Chapter 14 Exotic Options: I
Part IV Financial Engineering and Applications
Chapter 15 Financial Engineering and Security Design
Chapter 16 Corporate Applications
Chapter 17 Real Options
Part V Advanced Pricing Theory
Chapter 18 The Lognormal Distribution
Chapter 19 Monte Carlo Valuation
Chapter 20 Brownian Motion and Ito’s Lemma
Chapter 21 The Black-Scholes Equation
Chapter 22 Exotic Options: II
Chapter 23 Interest Rate Models
Chapter 24 Risk Assessment
Chapter 25 Credit Risk
Chapter 26 Volatility
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