IPE Libraray Catalogue Hyderabad

Forward Contracts --
Futures Contracts --
Options --
Other Derivatives --
Types of Traders --
Those Big Losses --
Futures Markets and the Use of Futures for Hedging --
Trading Futures Contracts --
Specification of the Futures Contract --
Operation of Margins --
Newspaper Quotes --
Convergence of Futures Price to Spot Price --
Settlement --
Regulation --
Hedging Using Futures --
Optimal Hedge Ratio --
Rolling the Hedge Forward --
Accounting and Tax --
Forward and Futures Prices --
Some Preliminaries --
The Forward Price for an Investment Asset --
The Effect of Known Income --
The Effect of a Known Dividend Yield --
Value of a Forward Contract --
Forward Prices versus Futures Prices --
Stock Index Futures --
Foreign Currencies --
Futures on Commodities --
The Cost of Carry --
Delivery Options --
Futures Prices and the Expected Future Spot Price --
Assets Providing Dividend Yields --
Proof That Forward and Futures Prices Are Equal When Interest Rates Are Constant --
Interest Rates and Duration --
Types of Rates --
Zero Rates --
Bond Pricing --
Determining Zero Rates --
Forward Rates --
Forward-Rate Agreements --
Theories of the Term Structure --
Day Count Conventions --
Quotations --
Interest Rate Futures --
Treasury Bond Futures --
Eurodollar Futures --
Duration --
Duration-Based Hedging Strategies --
Limitations of Duration --
Swaps --
Mechanics of Interest Rate Swaps --
The Comparative Advantage Argument --
Valuation of Interest Rate Swaps --
Currency Swaps --
Valuation of Currency Swaps --
Other Swaps --
Credit Risk --
Construction of Zero-Coupon LIBOR Curve --
Options Markets --
Underlying Assets --
Specification of Stock Options --
Newspaper Quotes --
Trading --
Commissions --
Margins --
The Options Clearing Corporation --
Regulation --
Taxation --
Warrants, Executive Stock Options, and Convertibles --
Properties of Stock Option Prices --
Factors Affecting Option Prices --
Assumptions and Notation --
Upper and Lower Bounds for Option Prices --
Put--Call Parity --
Early Exercise: Calls on a Non-Dividend-Paying Stock --
Early Exercise: Puts on a Non-Dividend-Paying Stock --
Relationship Between American Put and Call Prices --
The Effect of Dividends --
Empirical Research --
Trading Strategies Involving Options --
Strategies Involving a Single Option and a Stock --
Spreads --
Combinations --
Other Payoffs --
Introduction to Binomial Trees --
A One-Step Binomial Model --
Risk-Neutral Valuation --
Two-Step Binomial Trees --
A Put Option Example --
American Options --
Delta --
Matching Volatility with u and d --
Binomial Trees in Practice --
Model of the Behavior of Stock Prices --
The Markov Property --
Continuous Time Stochastic Processes --
The Process for Stock Prices --
Review of the Model --
The Parameters --
Ito's Lemma --
Derivation of Ito's Lemma --
The Black--Scholes Model --
Lognormal Property of Stock Prices --
The Distribution of the Rate of Return --
Volatility --
Concepts Underlying the Black--Scholes--Merton Differential Equation --
Derivation of the Black--Scholes--Merton Differential Equation --
Risk-Neutral Valuation --
Black--Scholes Pricing Formulas --
Cumulative Normal Distribution Function --
Warrants Issued by a Company on Its Own Stock --
Implied Volatilities --
The Causes of Volatility --
Dividends --
Proof of Black--Scholes--Merton Formula --
Exact Procedure for Calculating Values of American Calls on Dividend-Paying Stocks --
Calculation of Cumulative Probability in Bivariate Normal Distribution --
Options on Stock Indices, Currencies, and Futures --
Results for a Stock Paying a Continuous Dividend Yield --
Option Pricing Formulas --
Options on Stock Indices --
Currency Options --
Futures Options --
Valuation of Futures Options Using Binomial Trees --
A Futures Price as a Stock Paying a Continuous Dividend Yield --
Black's Model for Valuing Futures Options --
Comparison of Futures Option and Spot Option Prices --
Derivation of Differential Equation Satisfied by a Derivative Dependent on a Stock Providing a Continuous Dividend Yield --
Derivation of Differential Equation Satisfied by a Derivative Dependent on a Futures Price --
The Greek Letters --
Naked and Covered Positions --
A Stop-Loss Strategy --
Delta Hedging --
Theta --
Gamma --
Relationship among Delta, Theta, and Gamma --
Vega --
Rho --
Hedging in Practice --
Scenario Analysis --
Portfolio Insurance --
Stock Market Volatility --
Taylor Series Expansions and Hedge Parameters --
Value at Risk --
Daily Volatilities --
Calculation of VaR in Simple Situations --
A Linear Model --
How Interest Rates Are Handled --
When the Linear Model Can Be Used --
A Quadratic Model --
Monte Carlo Simulation --
Historical Simulation --
Stress Testing and Back-Testing --
Principal Components Analysis --
Use of the Cornish-Fisher Expansion to Estimate VaR --
Estimating Volatilities and Correlations --
Estimating Volatility --
The Exponentially Weighted Moving Average Model --
The GARCH (1,1) Model --
Choosing Between the Models --
Maximum Likelihood Methods --
Using GARCH (1,1) to Forecast Future Volatility --
Correlations --
Numerical Procedures --
Binomial Trees --
Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts --
Binomial Model for a Dividend-Paying Stock --
Extensions of the Basic Tree Approach --
Alternative Procedures for Constructing Trees --
Monte Carlo Simulation --
Variance Reduction Procedures --
Finite Difference Methods --
Analytic Approximation to American Option Prices --
Analytic Approximation to American Option Prices --
Volatility Smiles and Alternatives to Black-Scholes --
Preliminaries --
Foreign Currency Options --
Equity Options --
The Volatility Term Structure --
Volatility Matrices --
Relaxing the Assumptions in Black-Scholes --
Alternative Models for Stock Options --
Pricing Models Involving Jumps --
Stochastic Volatility Models --
Empirical Research --
Pricing Formulas for Alternative Models --
Exotic Options --
Types of Exotic Options --
Path-Dependent Derivatives --
Lookback Options --
Barrier Options --
Options on Two Correlated Assets --
Implied Trees --
Hedging Issues --
Static Options Replication --
Calculation of the First Two Moments of Arithmetic Averages and Baskets --
Extensions of the Theoretical Framework for Pricing Derivatives: Martingales and Measures --
The Market Price of Risk --
Derivitives Dependent on Several State Variables --
Derivatives Dependent on Commodity Prices --
Martingales and Measures --
Alternative Choices for the Numeraire --
Extension to Multiple Independent Factors --
Applications --
Change of Numeraire --
Quantos --
Siegel's Paradox --
Generalization of Ito's Lemma --
Derivation of the General Differential Equation Satisfied by Derivatives --
Interest Rate Derivatives: The Standard Market Models --
Black's Model --
Bond Options --
Interest Rate Caps --
European Swap Options --
Generalizations --
Convexity Adjustments --
Timing Adjustments --
When Is an Adjustment Necessary? --
Accrual Swaps --
Spread Options --
Hedging Interest Rate Derivatives --
Proof of the Convexity Adjustment Formula --
Interest Rate Derivatives: Models of the Short Rate --
Equilibrium Models --
One-Factor Equilibrium Model --
The Rendleman and Bartter Model --
The Vasicek Model --
The Cox, Ingersoll, and Ross Model --
Two-Factor Equilibrium Models --
No-Arbitrage Models --
The Ho and Lee Model --
The Hull and White Model --
Options on Coupon-Bearing Bonds --
Interest Rate Trees --
A General Tree-Building Procedure --
Nonstationary Models --
Calibration --
Hedging Using a One-Factor Model --
Forward Rates and Futures Rates --
Interest Rate Derivatives: More Advanced Models --
Two-Factor Models of the Short Rate --
The Heath, Jarrow, and Morton Approach --
The LIBOR Market Model --
Mortgage-Backed Securities --
The A(t, T), [sigma][rho] and [thetas](t) Functions in the Two-Factor Hull-White Model --
Credit Risk --
The Probability of Default and Expected Losses --
Adjusting the Prices of Derivatives to Reflect Counterparty Default Risk --
Credit Value at Risk --
Credit Derivatives --
Valuation of Convertible Bonds --
Manipulation of the Matrices of Credit Rating Changes --
DerivaGem Software --
Major Exchanges Trading Futures and Options --
Table for N(x) when x [less than or equal] 0 --
Table for N(x) when x [greater than or equal] 0.

This text examines how academia and real-world practice have come together with common respect and focus for theory and practice. It provides a unifying approach in the calculation of all derivatives - not just futures.