Financial Derivatives

Robert W. Kolb (Chicago, IL) is the Frank W. Considine Chair of Applied Ethics and Professor of Finance at Loyola University Chicago. Before this, he was the Assistant Dean, Business and Society, and Director, Center for Business and Society, at the University of Colorado at Boulder, and department chairman at the University of Miami. Kolb is also the author of over twenty books on finance, derivatives, and futures, and has authored numerous articles in leading finance journals.James A. Overdhal (Washington, DC) a specialist in financial derivatives, is the Chief Economist of the United States Securities and Exchange Commission. He had previously served as chief economist of the Commodity Futures Trading Commission and has nearly two decades of experience in senior positions at various federal financial regulatory agencies.  He has taught economics and finance at the University of Texas at Dallas, Georgetown University, Johns Hopkins University, and George Washington University. Overdahl earned his PhD in economics from Iowa State University.

• Introduction xxiiAcknowledgments xxivPART I Overview of Financial Derivatives 11 Derivative Instruments: Forwards, Futures, Options, Swaps, and Structured Products 3G. D. Koppenhaver2 The Derivatives Marketplace: Exchanges and the Over-the-Counter Market 21Sharon Brown-Hruska3 Speculation and Hedging 43Greg Kuserk4 The Social Functions of Financial Derivatives 57Christopher L. CulpPART II Types of Financial Derivatives 735 Agricultural and Metallurgical Derivatives: Pricing 77Joan C. Junkus6 Agricultural and Metallurgical Derivatives: Speculation and Hedging 89Joan C. Junkus7 Equity Derivatives 103Jeffrey H. Harris and L. Mick Swartz8 Foreign Exchange Derivatives 115Robert W. Kolb9 Energy Derivatives 125Craig Pirrong10 Interest Rate Derivatives 135Ian Lang11 Exotic Options 143Robert W. Kolb12 Event Derivatives 157Justin Wolfers and Eric Zitzewitz13 Credit Default Swaps 177Steven Todd14 Structured Credit Products 199Steven Todd15 Executive Stock Options 211Robert W. Kolb16 Emerging Derivative Instruments 221Steve SwidlerPART III The Structure of Derivatives Markets and Institutions 23117 The Development and Current State of Derivatives Markets 233Michael A. Penick18 Derivatives Markets Intermediaries: Brokers, Dealers, Pools, and Funds 249James L. Carley19 Clearing and Settlement 263James T. Moser and David Reiffen20 Counterparty Credit Risk 283James Overdahl21 The Regulation of U.S. Commodity Futures and Options 295Walter L. Lukken22 Accounting for Financial Derivatives 305Ira G. Kawaller23 Derivative Scandals and Disasters 313John E. MarthinsenPART IV Pricing of Derivatives: Essential Concepts 33324 No-Arbitrage Pricing 335Robert A. Strong25 The Pricing of Forward and Futures Contracts 351David Dubofsky26 The Black-Scholes Option Pricing Model 371A. G. Malliaris27 The Black-Scholes Legacy: Closed-Form Option PricingModels 387António Câmara28 The Pricing and Valuation of Swaps 405Gerald Gay and Anand VenkateswaranPART V Advanced Pricing Techniques 42329 Monte Carlo Techniques in Pricing and Using Derivatives 425Cara M. Marshall30 Valuing Derivatives Using Finite Difference Methods 441Craig Pirrong31 Stochastic Processes and Models 455George Chalamandaris and A. G. Malliaris32 Measuring and Hedging Option Price Sensitivities 477R. Brian BalyeatPART VI Using Financial Derivatives 50133 Option Strategies 503Stewart Mayhew34 The Use of Derivatives in Financial Engineering: Hedge Fund Applications 525John F. Marshall and Cara M. Marshall35 Hedge Funds and Financial Derivatives 541Tom Nohel36 Real Options and Applications in Corporate Finance 559Betty Simkins and Kris Kemper37 Using Derivatives to Manage Interest Rate Risk 575Steven L. ByersIndex 591