TY  - BOOK
AU  - McDonald,Robert L.
TI  - Derivatives markets
T2  - Pearson series in finance
SN  - 9789331536746 (PBK)
U1  - 332.6457 23
PY  - 2017///
CY  - U.P
PB  - Pearson
KW  - Derivative securities
N1  - Includes bibliographical references (pages 897-913) and index; Note continued: Short-selling and the Lease Rate -- No-Arbitrage Pricing Incorporating Storage Costs -- Convenience Yields -- Summary -- 6.4. Gold -- Gold Leasing -- Evaluation of Gold Production -- 6.5. Corn -- 6.6. Energy Markets -- Electricity -- Natural Gas -- Oil -- Oil Distillate Spreads -- 6.7. Hedging Strategies -- Basis Risk -- Hedging Jet Fuel with Crude Oil -- Weather Derivatives -- 6.8. Synthetic Commodities -- Chapter Summary -- Further Reading -- Problems -- ch. 7 Interest Rate Forwards and Futures -- 7.1. Bond Basics -- Zero-Coupon Bonds -- Implied Forward Rates -- Coupon Bonds -- Zeros from Coupons -- Interpreting the Coupon Rate -- Continuously Compounded Yields -- 7.2. Forward Rate Agreements, Eurodollar Futures, and Hedging -- Forward Rate Agreements -- Synthetic FRAs -- Eurodollar Futures -- 7.3. Duration and Convexity -- Price Value or a Basis Point and DV01 -- Duration -- Duration Matching -- Convexity -- 7.4. Treasury-Bond and Treasury-Note Futures
N2  - Accompanying CD-ROM contains ... "Microsoft Excel spreadsheets with option pricing functions and selected data."--Disc label
UR  - http://hdl.library.upenn.edu/1017.12/366187
ER  -