"Rendleman provides the
very best combination of theoretical grounding, applications, and intuition for serious
practitioners of modern financial technology. The knowledge in this text is essential for
success in today's sophisticated financial environment and forthcoming product
innovations. I strongly recommend Applied Derivatives for anyone who is interested
in pursuing a career in financial risk management."
Stanley J. Kon, Smith Breeden Associates, Inc.
Applied Derivatives
provides a detailed, yet relatively non-technical, treatment of the conceptual foundations
of derivative securities markets' pricing and investment principles. This book draws from
the most fundamental concepts of pricing for options, futures, and swaps to provide
insight into the potential risks and returns from conventional option investing.
Richard J. Rendleman, Jr. is
Professor of Finance at the University of North Carolina at Chapel Hill. He is considered
one of the premier researchers in the field of option pricing. He helped develop implied
volatility and the binomial option pricing model, both of which are two of the most widely
used tools for evaluating option prices today.
Table of Contents
Preface.
1. An Introduction to Option Markets.
2. Put-Call Parity and Other Pricing Restrictions.
3. An Introduction to the Binomial Option Pricing Model.
4. Advanced Binomial Option Pricing.
5. Practical Issues Associated with Binomial and Black-Scholes-based Option Replication.
6. The Black-Scholes Model: Using and Interpreting the "Greeks".
7. Options Arbitrage.
8. Option Investing from a Risk-Return Perspective.
9. Advanced Option Replication: Creating the Most Cost-effective Replicating Portfolio.
10. The Use of Exchange-traded Options in Asset Allocation.
11. Pricing Interest Rate-dependent Financial Claims with Option Features.
12. Introduction to Futures, Forward, and Swap Markets.
13. Futures Pricing.
14. Hedging with Futures.
15. Interest Rate Futures.
16. Swap Markets.
Index.
384 pages