Robert E. Whaley

　　Filled with in-depth insight and practical advice, Derivatives provides readers with a comprehensive understanding of derivatives markets, derivatives valuation, and risk management using derivative contracts. With this book, author Robert Whaley-a leading authority in this field-details the derivatives markets and why and how they have flourished. Chapter by chapter, Whaley provides the underpinnings of derivatives valuation and risk measurement, shows how derivatives can be used effectively in managing risk exposures related to commodities, stocks, stock portfolios, bonds, currencies, interest rates, and credit, and offers readers valuable guidance that cannot be found anywhere else.

　　Robert E. Whaley (Durham, NC) is the T. Austin Finch Foundation Professor of Business Administration at the Fuqua School of Business, Duke University.

　　Robert E. Whaley is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaleys research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific-Basin Finance Journal, and Advances in Futures and Options Research.

PART ONE: Derivative Markets.
Chapter 1: Derivative Contracts and Markets.

PART TWO: Fundamentals of Valuation.
Chapter 2: Assumptions and Interest Rate Mechanics.
Chapter 3: Relation between Return and Risk.

PART THREE: Forwards/Futures/Swap Valuation.
Chapter 4: No-Arbitrage Price Relations: Forwards, Futures, Swaps.
Chapter 5: Risk Management Strategies: Futures.

PART FOUR: Option Valuation.
Chapter 6: No-Arbitrage Price Relations: Options.
Chapter 7: Valuing Standard Options Analytically.
Chapter 8: Valuing Nonstandard Options Analytically.
Chapter 9: Valuing Options Numerically.
Chapter 10: Risk Management Strategies: Options.

PART FIVE: Stock Derivatives.
Chapter 11: Stock Products.
Chapter 12: Corporate Securities.
Chapter 13: Compensation Agreements.

PART SIX: Stock Index Derivatives.
Chapter 14: Stock Index Products: Futures and Options.
Chapter 15: Stock Index Products: Strategy Based.
PART SEVEN: Currency Derivatives.
Chapter 16: Currency Products.

PART EIGHT: Interest Rate Derivatives.
Chapter 17: Interest Rate Products: Futures and Options.
Chapter 18: Interest Rate Products: Swaps.
Chapter 19: Credit Products.
Chapter 20: Valuing Interest Rate Products Numerically.

PART NINE: Commodity Derivatives.
Chapter 21: Commodity Products.

PART TEN: Lessons Learned.
Chapter 22: Key Lessons 773

APPENDICES.
A. Elementary Statistics.
B. Regression Analysis.
C. Statistical Tables.
D. Glossary.
ABOUT THE CD-ROM.
INDEX.