Derivatives
a comprehensive resource for options, futures, interest rate swaps, and mortgage securities
by Fred D. Arditti
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The growth of derivative markets during the past decade has been nothing short of astounding and so, of late, has been the misunderstanding of their use. This book is the definitive resource on derivatives. It is the first to explain all four major classes of derivative instruments - options, futures, interest rate swaps, and mortgage securities - in terms of their market structure, applications, and pricing, with a focus on the valuation methods used most commonly by professional market participants.
Unlike most treatments of derivatives, this book offers detailed explanations of the institutional procedure and market practice for each class of derivative as well as the pricing and hedging of mortgage-backed securities and the central role of prepayment in both activities. It also covers a wide variety of topics such as the structuring of CMOs, PACs, and TACs; smile option pricing; and pricing and hedging of long-dated swaps.
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Derivatives: a comprehensive resource for options, futures, interest rate swaps, and mortgage securities
1996, Harvard Business School Press
in English
0875845606 9780875845609
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Includes bibliographical references (p. 375-385) and index.
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- Created April 1, 2008
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| July 19, 2024 | Edited by MARC Bot | import existing book |
| March 7, 2023 | Edited by MARC Bot | import existing book |
| January 7, 2023 | Edited by MARC Bot | import existing book |
| November 20, 2020 | Edited by MARC Bot | import existing book |
| April 1, 2008 | Created by an anonymous user | Imported from Scriblio MARC record |