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

232 Pages·2014·5.592 MB·English

by  GEORGE MICHAEL CONSTANTINIDES

Financial
Derivatives
Futures, Forwards, Swaps, Options, Corporate
Securities, and Credit Default Swaps
9259_9789814618410_tp.indd 1 26/11/14 11:32 am
World Scientific Lecture Notes in Economics
ISSN: 2382-6118
Series Editor: Dirk Bergemann (Yale University, USA)
Vol. 1: Financial Derivatives: Futures, Forwards, Swaps, Options, Corporate
Securities, and Credit Default Swaps
by George M. Constantinides
Forthcoming:
Lecture Notes on Econometric Models for Industrial Organization
by Matthew Shum
Cooperature Game Theory
by Adam Brandenburger
Economics of the Middle East
by Julia C. Devlin
Radha - Financial derivatives - futures, forwards.indd 1 3/11/2014 2:18:04 PM
World Scientific Lecture Notes in Economics – Vol. 1
Financial
Derivatives
Futures, Forwards, Swaps, Options, Corporate
Securities, and Credit Default Swaps
George M Constantinides
University of Chicago Booth School of Business, USA
World Scientific
NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TAIPEI • CHENNAI
9259_9789814618410_tp.indd 2 26/11/14 11:32 am
Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
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Library of Congress Cataloging-in-Publication Data
Constantinides, George M.
Financial derivatives : futures, forwards, swaps, options, corporate securities and credit default
swaps / by George M Constantinides (University of Chicago Booth School of Business, USA).
pages cm. -- (World scientific lecture notes in economics, ISSN 2382-6118 ; vol. 1)
Includes bibliographical references and index.
ISBN 978-9814618410 (hardcover : alk. paper)
ISBN 9789814618427 (pbk. : alk. paper)
1. Derivative securities. 2. Options (Finance) 3. Swaps (Finance) I. Title.
HG6024.A3C663 2015
332.64'57--dc23
2014041576
British Library Cataloguing-in-Publication Data
A catalogue record for this book is available from the British Library.
Copyright © 2015 by World Scientific Publishing Co. Pte. Ltd.
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,
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In-house Editors: Parvath Radha/Philly Lim
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Printed in Singapore
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To my students and colleagues from whom I learned a great deal
and who helped me build these teaching notes.
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Contents
About the Author ix
Preface xi
Chapter 1 Introduction to Forward and Futures Contracts 1
Chapter 2 Pricing Forwards and Futures 13
Chapter 3 Interest Rate and Currency Swaps 39
Chapter 4 Introduction to Options and No-Arbitrage
Restrictions 61
Chapter 5 Trading Strategies and Slope
and Convexity Restrictions 81
Chapter 6 Optimal Early Exercise of American Options 95
Chapter 7 Binomial Option Pricing 107
Chapter 8 Using the Binomial Model 123
Chapter 9 The Black–Scholes–Merton Option
Pricing Formula 139
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viii Contents
Chapter 10 Options on Futures 151
Chapter 11 Risk Management 161
Chapter 12 Empirical Evidence and Fixes 179
Chapter 13 Corporate Securities and Credit Risk 197
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About the Author
The Leo Melamed Professor of Finance at
the University of Chicago’s Booth School of
Business, George Constantinides is a leader
of academic finance, an expert in portfolio
theory, asset pricing, derivatives pricing, and
capital markets behavior. Widely published
and a frequentspeaker and editor, heis former
presidentoftheAmerican Finance Association
and the Society for Financial Studies and
member of Dimensional’s Boards of Directors
of the US mutual funds, among many other professional affiliations.
A graduate of Oxford University in England and Indiana University,
he has also visited at Harvard University.
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