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| derivatives and risk management: Introduction To Derivative Securities, Financial Markets, And Risk Management, An (Third Edition) Robert A Jarrow, Arkadev Chatterjea, 2024-05-03 The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options. |
| derivatives and risk management: Derivatives and Risk Management Sundaram Janakiramanan, 2011 |
| derivatives and risk management: Shipping Derivatives and Risk Management A. Alizadeh, N. Nomikos, 2009-04-28 A comprehensive book on shipping derivatives and risk management which covers the theoretical and practical aspects of financial risk in shipping. The book provides a thorough overview of the practice of risk management in shipping with the use of theoretical examples and real-life applications. |
| derivatives and risk management: An Introduction to Derivatives & Risk Management Don M. Chance, 2004 A market leader, this book has detailed but flexible coverage of options, futures, forwards, swaps, and risk management ? as well as a solid introduction to pricing, trading, and strategy allowing readers to gain valuable information on a wide range of topics and apply to situations they may face. |
| derivatives and risk management: Financial Engineering Keith Cuthbertson, Dirk Nitzsche, 2001-06-08 This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors. The authors adopt a real-world emphasis throughout, and include features such as: * topic boxes, worked examples and learning objectives * Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases * supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software |
| derivatives and risk management: Financial Risk Management and Derivative Instruments Michael Dempsey, 2021-05-17 Financial Risk Management and Derivative Instruments offers an introduction to the riskiness of stock markets and the application of derivative instruments in managing exposure to such risk. Structured in two parts, the first part offers an introduction to stock market and bond market risk as encountered by investors seeking investment growth. The second part of the text introduces the financial derivative instruments that provide for either a reduced exposure (hedging) or an increased exposure (speculation) to market risk. The fundamental aspects of the futures and options derivative markets and the tools of the Black-Scholes model are examined. The text sets the topics in their global context, referencing financial shocks such as Brexit and the Covid-19 pandemic. An accessible writing style is supported by pedagogical features such as key insights boxes, progressive illustrative examples and end-of-chapter tutorials. The book is supplemented by PowerPoint slides designed to assist presentation of the text material as well as providing a coherent summary of the lectures. This textbook provides an ideal text for introductory courses to derivative instruments and financial risk management for either undergraduate, masters or MBA students. |
| derivatives and risk management: Derivatives and Risk Management Rajiv Srivastava, 2013-08 The second edition of Derivatives and Risk Management serves as a textbook for an introductory course on derivatives and risk management. |
| derivatives and risk management: Financial Derivatives Rob Quail, James A. Overdahl, 2003-03-20 Financial Derivatives - Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema Finanzderivate und ihre Bedeutung für das Risikomanagement im Unternehmensumfeld. Es vermittelt fundierte Kenntnisse zum Thema Finanzderivate, und zwar mit einem verständlich gehaltenen Minimum an Finanzmathematik, was Preisbildung und Bewertung angeht. Mit einer breitgefächerten Übersicht über die verschiedenen Arten von Finanzderivaten. Mit neuem Material zu Kreditderivaten und zur Kreditrisikobewertung bei Derivaten. Mit neuen und ausführlicheren Informationen zu den Themen Finanztechnik und strukturierte Finanzprodukte. Financial Derivatives - Ein unverzichtbarer Ratgeber für alle Finanzexperten im Bereich Risikomanagement. |
| derivatives and risk management: Derivatives Robert E. Whaley, 2007-02-26 Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations. |
| derivatives and risk management: Derivatives Handbook Robert J. Schwartz, Clifford W. Smith, 1997-05-23 Der schlechte Ruf der Derivative gründet sich auf Mißbrauch und das hohe Risiko, das mit diesem oft exotisch wirkenden Finanzinstrument verbunden ist. Sie wollen sich unvoreingenommen, besser informieren? Anhand signifikanter Fallstudien führt dieses Buch Sie unter anderem in Techniken des Risikomanagement und Kontrollstrukturen ein. |
| derivatives and risk management: Freight Derivatives and Risk Management in Shipping Manolis G. Kavussanos, Dimitris A. Tsouknidis, Ilias D. Visvikis, 2021-04-29 This advanced practical textbook deals with the issue of risk analysis, measurement and management in the shipping industry. It identifies and analyses the sources of risk in the shipping business and explores in detail the “traditional” and “modern” strategies for risk management at both the investment and operational levels of the business. The special features and characteristics of all available freight derivative products are compared and contrasted between them. Practical applications of derivatives are showcased through realistic practical examples, while a number of concepts across the contents of this book appear for the first time in the literature. The book also serves as “the reference” point for researchers in the area, helping them to enhance their knowledge of risk management and derivatives in the shipping industry, but also to students at both undergraduate and postgraduate levels. Finally, it provides a comprehensive manual for practitioners wishing to engage in the financial risk management of maritime business. This second edition has been fully updated in order to incorporate the numerous developments in the industry since its first edition in 2006. New chapters have been introduced on topics such as Market Risk Measurement, Credit Risk and Credit Derivatives, and Statistical Methods to Quantify Risk. Furthermore, the second edition of this book builds upon the successful first edition which has been extensively (i) taught in a number of Universities around the world and (ii) used by professionals in the industry. Shipowners, professionals in the shipping industry, risk management officers, credit officers, traders, investors, students and researchers will find the book indispensable in order to understand how risk management and hedging tools can make the difference for companies to remain competitive and stay ahead of the rest. |
| derivatives and risk management: Risk Management and Financial Derivatives Satyajit Das, 1998 Risk Management and Financial Derivatives: A Guide to the Mathematics meets the demand for a simple, nontechnical explanation of the methodology of risk management and financial derivatives. Risk Management and Financial Derivatives provides clear, concise explanations of the mathematics behind today's complex financial risk management topics. An ideal introduction for those new to the subject, it will also serve as an indispensable reference for those already experienced in the field.--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved |
| derivatives and risk management: Credit Risk Niklas Wagner, 2008-05-28 Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio |
| derivatives and risk management: Derivatives, Risk Management And Value Mondher Bellalah, 2009-10-29 This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like financial markets and instruments, option pricing models, option pricing theory, exotic derivatives, second generation options, etc.Written in a simple manner and amply supported by real world examples, questions and exercises, the book will be of interest to students, academics and practitioners alike. |
| derivatives and risk management: DERIVATIVES AND RISK MANAGEMENT KHATRI, DHANESH KUMAR , 2016-06-22 The book, in its Second Editioncontinues to present a detailed analysis of theoretical concepts and practical approach on derivatives—options, futures, forwards and swaps. It provides a deeper insight into the conceptual background as well as practical application of derivatives. Apart from discussing stock, index and commodity derivatives, it also discusses currency, energy, weather and credit derivatives that are of recent origin in the field of derivatives trading. Three new chapters on Different Types of Market Structures and Derivatives and Operational Aspects of Derivatives Chapter 2),Regulation of Derivatives in India (Chapter 6) and Linkage between Spot Market and Derivatives Market (Chapter 14) have been added in this edition. Whereas an Appendix—Derivatives from The Lenses of Mishaps gives insights on scams which took place in the past. Practical application of derivatives like trading practices, margin system, valuation of options and futures, linkage between spot market and derivatives market have been discussed using real-life stock and commodity prices. The book features application of derivatives in designing risk management, i.e., hedging strategies and profit maximisation strategies in a lively manner citing real-life data-based examples in a simulated environment. The text contains a good number of examples as well as chapter-end questions for practice on topics like valuation of options and futures, strategic application of derivatives in risk management and profit maximisation in different market swings—upswing, downswing and range-bound movement in the market. This is a comprehensive yet easy to understand text for the students of MBA/PGDBM/CA/CS/NCFM and other related postgraduate courses. SALIENT FEATURES Solved examples and unsolved questions—multiple choice, theoretical and numerical Glossary of key words to help students in understanding the terminologies Separate question bank on valuation and strategic application of derivatives Solutions manual available for instructors PowerPoint Slides available online at www.phindia.com/dhanesh-khatri-derivatives/ to provide integrated learning to the student |
| derivatives and risk management: Introduction to Derivatives and Risk Management Don M. Chance, Robert Edwin Brooks, 2015 One text equips you with a rock-solid understanding of how derivatives are used to manage the risks of financial decisions. Extremely student friendly, market-leading INTRODUCTION TO DERIVATIVES AND RISK MANAGEMENT, 10e is packed with real-world examples while keeping technical mathematics to a minimum. With a blend of institutional material, theory, and practical applications, the text delivers detailed coverage of options, futures, forwards, swaps, and risk management as well as a balanced introduction to pricing, trading, and strategy. The financial information throughout reflects the most recent changes in the derivatives market--one of the most volatile sectors in the financial world. New Taking Risk in Life features illustrate the application of risk management in real-world financial decisions. |
| derivatives and risk management: Managing Currency Risk John J. Stephens, 2003-07-07 Control the number one cause of financial loss currency fluctuation With cross-border commerce now the global norm, companies must now face the greatest threat to their financial stability: financial losses due to currency fluctuations. Written by an international business and banking expert, Managing Currency Risk is an authoritative, accessible look at the variety of methods used to minimize currency risk. Written for the financial market novice, the book explains the nature and uses of a variety of financial instruments without complicated mathematical equations. Discussed in detail are all forms of currency derivatives, such as forward foreign exchange, OTC currency options, currency swaps, currency futures, and options which are illustrated with international examples and case studies. A practical guide on every aspect of currency risk, Managing Currency Risk also serves as a guide to navigating your firm through turbulent economic times. |
| derivatives and risk management: Advanced Derivatives Pricing and Risk Management Claudio Albanese, Giuseppe Campolieti, 2006 Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management. |
| derivatives and risk management: Derivatives and Internal Models Hans-Peter Deutsch, Mark W. Beinker, 2019-10-08 Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems. |
| derivatives and risk management: Interest Rate Dynamics, Derivatives Pricing, and Risk Management Lin Chen, 2012-12-06 There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc ture consistent with the initial tenn structure data. |
| derivatives and risk management: Derivatives and Risk Management , |
| derivatives and risk management: Credit Derivatives Gunter Meissner, 2009-02-04 The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives. |
| derivatives and risk management: Theory of Financial Risk and Derivative Pricing Jean-Philippe Bouchaud, Marc Potters, 2003-12-11 Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies. |
| derivatives and risk management: Actuarial Finance Mathieu Boudreault, Jean-François Renaud, 2019-03-22 A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks. |
| derivatives and risk management: Derivatives Wendy L. Pirie, 2017-03-27 The complete guide to derivatives, from the experts at the CFA Derivatives is the definitive guide to derivatives, derivative markets, and the use of options in risk management. Written by the experts at the CFA Institute, this book provides authoritative reference for students and investment professionals seeking a deeper understanding for more comprehensive portfolio management. General discussion of the types of derivatives and their characteristics gives way to detailed examination of each market and its contracts, including forwards, futures, options, and swaps, followed by a look at credit derivatives markets and their instruments. Included lecture slides help bring this book directly into the classroom, while the companion workbook (sold separately) provides problems and solutions that align with the text and allows students to test their understanding while facilitating deeper internalization of the material. Derivatives have become essential to effective financial risk management, and create synthetic exposure to asset classes. This book builds a conceptual framework for understanding derivative fundamentals, with systematic coverage and detailed explanations. Understand the different types of derivatives and their characteristics Delve into the various markets and their associated contracts Examine the use of derivatives in portfolio management Learn why derivatives are increasingly fundamental to risk management The CFA Institute is the world's premier association for investment professionals, and the governing body for the CFA, CIPM, and Investment Foundations Programs. Those seeking a deeper understanding of the markets, mechanisms, and use of derivatives will value the level of expertise CFA lends to the discussion, providing a clear, comprehensive resource for students and professionals alike. Whether used alone or in conjunction with the companion workbook, Derivatives offers a complete course in derivatives and their markets. |
| derivatives and risk management: Derivatives Jiří Witzany, 2020-11-04 This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses. |
| derivatives and risk management: Derivatives Robert E. Whaley, 2006-10-02 Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations. |
| derivatives and risk management: Risk Management Satyajit Das, 2005-10-14 Risk Management consists of 8 Parts and 18 Chapters covering risk management, market risk methodologies (including VAR and stress testing), credit risk in derivative transactions, other derivatives trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk). |
| derivatives and risk management: Risk Management, Speculation, and Derivative Securities Geoffrey Poitras, 2002-06-10 Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, Risk Management, Speculation, and Derivative Securities is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives. |
| derivatives and risk management: Financial Derivatives Rob Quail, James A. Overdahl, 2009-10-15 Essential insights on the various aspects of financial derivatives If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities. Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities Provides thorough coverage of financial derivatives and their role in risk management Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation This informative guide will help you unlock the incredible potential of financial derivatives. |
| derivatives and risk management: Energy Derivatives Les Clewlow, Chris Strickland, 2000 |
| derivatives and risk management: Managing Interest Rate Risk John J. Stephens, 2002-03-12 This book tackles the subject of interest rate risk, a matter of key importance to all businesses, whether borrowing, investing, saving or trading. |
| derivatives and risk management: Derivatives and Risk Management in Shipping Manolis G. Kavussanos, Ilias D. Visvikis, 2006 In a multi-million dollar industry such as shipping even small currency fluctuations can have significant effects on investments. Further factors such as commodities i.e. steel, oil and gas and their consistancy of supply add to the risks in this highly capital intensive industry. |
| derivatives and risk management: Over-the-counter Derivative Products Robert M. McLaughlin, 1999 Over-the-Counter Derivative Products is the first clearly-written, systematic derivatives book for fiduciaries, senior executives, and lawyers of corporations, banks, pension funds, insurance companies - anyone who needs to know more about the booming derivatives marketplace. Written in layman's terms by globally-experienced derivatives and finance attorney Robert M. McLaughlin, Over-the-Counter Derivative Products is filled with examples, case histories and quotes from leading financial economists and legal writings that vividly bring today's derivatives marketplace to life.--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved |
| derivatives and risk management: Derivatives and Risk Management Verma, 2008 |
| derivatives and risk management: The XVA of Financial Derivatives: CVA, DVA and FVA Explained Dongsheng Lu, 2016-01-01 This latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's Credit, Funding and Debt value adjustments. |
| derivatives and risk management: Derivatives Simplified P. Vijaya Bhaskar, B. Mahapatra, 2003 |
| derivatives and risk management: COMMODITY DERIVATIVES AND RISK MANAGEMENT PRABINA RAJIB, 2014-01-17 Over the last decade, commodity derivatives trading in India has undergone a significant growth, and has surpassed equity derivatives trading. The book covers almost the entire spectrum of commodities traded in the Indian commodity market, including agricultural commodities, crude oil, base metal, precious metal, electricity, carbon, weather, freight, real estate, and water. A distinguishing feature of the book is that it lucidly explains the peculiarities of various commodities, delving into their technical and historical details. As commodity market in a country cannot function in isolation, commodity contracts traded in other international exchanges, like LME, CME, The Baltic Exchange, Nordpool, etc. have also been discussed in detail. Commodity derivatives contracts, such as futures, FRAs, options, Tapos, swaps, spreads (crush, crack, dark and spark), collars, ETFs, Contract for Differences (CfDs) and cool bonds, etc. have been discussed extensively in the book. Fundamental factors associated with different types of commodities have been dealt with to develop a deeper understanding of the peculiarities associated with various commodities. This book documents the case studies involving important commodity price manipulations and frauds in commodity derivatives trading. These have been analyzed to bring out the necessity and the role of the commodity market regulators in maintaining market integrity. Major commodity derivatives trading losses that have shaken up even some prominent companies all over the world have been discussed to highlight the risks associated with commodity derivatives trading. The book is intended for the postgraduate students of Management. It is equally beneficial for the students and professionals opting for Diploma courses in Banking and Finance.• Around 40 Business Snapshots have been presented at appropriate sections in the book, so that a reader can apply the concepts to real-life situations/happenings. • Around 100 Numerical Examples have also been worked in various chapters to help the reader develop a deeper understanding of the underlying theories. • Worked out examples and business snapshots have been provided in large numbers. • End of the chapter questions have been provided for the students to test their understanding. • Power Point slides available online at www.phindia.com/prabinarajib to provide integrated learning to the students. |
| derivatives and risk management: Modern Derivatives Pricing and Credit Exposure Analysis Roland Lichters, Roland Stamm, Donal Gallagher, 2015-11-15 This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets. |
| derivatives and risk management: Introduction to Derivatives and Risk Management Don M. Chance, Roberts Brooks, 2012-03-06 This leading text gives students a solid understanding of financial derivatives and their use in managing the risks of financial decisions. AN INTRODUCTION TO DERIVATIVES AND RISK MANAGEMENT, 9E provides a blend of institutional material, theory, and practical applications. The latest financial information throughout this edition and timely updates on the text's website ensure your course reflects the most recent changes in one of the most volatile sectors of today's financial world. You'll find detailed coverage of options, futures, forwards, swaps, and risk management as well as a balanced introduction to pricing, trading, and strategy. A variety of practical end-of-chapter applications, memorable examples from real businesses, and minimal use of technical mathematics keep the text accessible and engaging for students. Stock-Trak software, available with each new text, provides additional value and practical application opportunities for your students. Approximately 25 PowerPoint slides per chapter highlight tables and figures with useful hyperlinks that allow you to jump to the table or figure and back again without breaking the flow of your lecture. The online Solutions Review Manual gives your students a useful online review tool, providing answers to the end-of-chapter problems, as well as the step-by-step solutions, so students can check their own work and determine exactly where they may have made errors. New Test Bank questions help you better evaluate your students' understanding of the text's concepts. You'll find a variety of more than 300 questions within this proven Test Bank. Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version. |
How do I compute derivative using Numpy? - Stack Overflow
Mar 26, 2012 · scipy.interpolate's many interpolating splines are capable of providing derivatives. So, using a linear spline ( k=1 ), the derivative of the spline (using the …
How do I compute the derivative of an array in python
May 30, 2013 · numpy.diff(x) computes the difference between adjacent elements in x. just like in the answer by @tsm. As a result you get an array which is 1 element …
How to find derivative of a function using c - Stack Overflow
Dec 6, 2013 · Is it possible to find derivative of a function using c program. I am using matlab in that it has an inbuilt function diff() which can be used for finding derivative of …
Cubic interpolation in Pandas raises ValueError: The number of ...
ValueError: The number of derivatives at boundaries does not match: expected 2, got 0+0 while trying to use cubic interpolation in pandas on a 2d matrix. mat = …
Cubic interpolation in Pandas raises ValueError: The number of ...
Dec 9, 2022 · Using the below weekly dataset, I want to resample to monthly data with cubic conversion. Period Values 20-Jan-89 3 27-Jan-89 4 3-Feb-89 2 10-Feb-89 5 17-Feb-89 3 24-...
How do I compute derivative using Numpy? - Stack Overflow
Mar 26, 2012 · scipy.interpolate's many interpolating splines are capable of providing derivatives. So, using a linear spline ( k=1 ), the derivative of the spline (using the derivative() method) …
How do I compute the derivative of an array in python
May 30, 2013 · numpy.diff(x) computes the difference between adjacent elements in x. just like in the answer by @tsm. As a result you get an array which is 1 element shorter than the original …
How to find derivative of a function using c - Stack Overflow
Dec 6, 2013 · Is it possible to find derivative of a function using c program. I am using matlab in that it has an inbuilt function diff() which can be used for finding derivative of a function. …
Cubic interpolation in Pandas raises ValueError: The number of ...
ValueError: The number of derivatives at boundaries does not match: expected 2, got 0+0 while trying to use cubic interpolation in pandas on a 2d matrix. mat = pd.read_csv("m.csv") mat = …
Cubic interpolation in Pandas raises ValueError: The number of ...
Dec 9, 2022 · Using the below weekly dataset, I want to resample to monthly data with cubic conversion. Period Values 20-Jan-89 3 27-Jan-89 4 3-Feb-89 2 10-Feb-89 5 17-Feb-89 3 24-...
numpy - Partial derivative in Python - Stack Overflow
Jul 22, 2014 · I am slowly moving from C to Python. This time I need to calculate partial derivatives numerically from a grid given. I know how to do it in C, so at the moment I just use …
Implementing the derivative in C/C++ - Stack Overflow
Oct 17, 2017 · Typically signal noise impacts the derivative quality more that anything else. If you do have noise in your f(x), Savtizky-Golay is a excellent smoothing algorithm that is often used …
calculus - Python partial derivatives easy - Stack Overflow
Jun 17, 2015 · I'm interested in computing partial derivatives in Python. I've seen functions which compute derivatives for single variable functions, but not others. It would be great to find …
Enabling an extension on a Three.js shader - Stack Overflow
Jun 17, 2012 · I'm calling renderer.context.getExtension('GL_OES_standard_derivatives'); but I get ERROR: 0:114: 'GL_OES_standard_derivatives' : extension is disabled when I try to …
I Can’t get derivatives (dFdx) working in my shader with WebGL1 …
Dec 21, 2020 · THREE.WebGLProgram: shader error: 0 35715 false gl.getProgramInfoLog Must have an compiled fragment shader attached. THREE.WebGLShader: …
