Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate Securities, and Credit Default Swaps

Derivatives markets are an important and growing segment of financial markets and play an important role in the management of risk.

This invaluable set of lecture notes is meant to be used in conjunction with a standard textbook on derivatives in an advanced undergraduate or MBA elective course on futures, forwards, swaps, options, corporate securities, and credit default swaps. It covers the foundations of derivatives pricing in arbitrage-free markets, develops the methodology of risk-neutral valuation, and discusses hedging and the management of risk.

Contents:

• Introduction to Forward and Futures Contracts
• Pricing Forwards and Futures
• Interest Rate and Currency Swaps
• Introduction to Options and No-Arbitrage Restrictions
• Trading Strategies and Slope and Convexity Restrictions
• Optimal Early Exercise of American Options
• Binomial Option Pricing
• Using the Binomial Model
• The Black–Scholes–Merton Option Pricing Formula
• Options on Futures
• Risk Management
• Empirical Evidence and Fixes
• Corporate Securities and Credit Risk

Readership: Advanced undergraduates and postgraduate students of finance along with MBA students taking an elective on derivatives and risk management in finance.
Key Features:

• Develops the theory of arbitrage-free derivatives pricing
• Covers a broad set of derivatives including futures, forwards, swaps, options, corporate securities, and credit default swaps
• Discusses hedging and risk management