Contents:
Examples have been revisited to reflect current market conditions. Improved material on martingales and measures, tailing the hedge, bootstrap methods, and convertible bonds helps students better understand important concepts. End-of-chapter problems have been expanded and revised. Introduction 2. Futures markets and central counterparties 3. Hedging strategies using futures 4. Interest rates 5. Determination of forward and futures prices 6. Interest rate futures 7.
Swaps 8. Securitization and the credit crisis of 9. XVAs Mechanics of options markets Properties of stock options Trading strategies involving options Binomial trees The Black—Scholes—Merton model Employee stock options Options on stock indices and currencies The Greek letters Volatility smiles Basic numerical procedures Value at risk and expected shortfall Estimating volatilities and correlations Credit risk Credit derivatives Exotic options More on models and numerical procedures Martingales and measures Interest rate derivatives: The standard market models NO YES.
Selected type: Hardcover. Added to Your Shopping Cart. Print on Demand. View on Wiley Online Library.
This is a dummy description. Learn both the theory and practice of pairs trading, why it is consistently profitable, and how you can apply the strategies in your own trading with this valuable guide. Author Douglas Ehrman covers pairs trading involving stocks, options on stocks, and futures contracts, and explains how this type of trading allows you to profit from the changing price relationship of securities.
In addition to a comprehensive discussion of the theories involved, he also includes practical examples that will to help you put what you've learned into practice. About the Author Douglas S. Ehrman holds several securities licenses and held several positions with prominent investment firms prior to launching his own enterprise.
He has been a featured speaker at several investment conferences, the editor of a daily research newsletter, and has been a guest on the CNN Financial Network to discuss pairs trading and market-neutral strategies. Contents Chapter 1.
Introduction Chapter 2. Mechanics of Futures and Forward Markets Chapter 3. Hedging Strategies Using Futures Chapter 4.
Interest Rates Chapter 5. Determination of Forward and Futures Prices Chapter 6. Interest Rate Futures Chapter 7. Swaps Chapter 8.
Securitization and the Credit Crisis of Chapter 9. Mechanics of Options Markets Chapter Properties of Stock Options Chapter Trading Strategies Involving Options Chapter Introduction to Binomial Trees Chapter Employee Stock Options Chapter Options on Stock Indices and Currencies Chapter Futures Options Chapter The Greek Letters Chapter Binomial Trees in Practice Chapter