Derivatives markets / Robert L. McDonald.

By: McDonald, Robert L. (Robert Lynch), 1954-Material type: TextTextSeries: Pearson series in financePublication details: U.P : Pearson, ©2017Edition: 3rd edDescription: 898 pages : illustrations ; 27 cmISBN: 9789331536746 (PBK)Subject(s): Derivative securitiesDDC classification: 332.6457 Online resources: The Charles R. Anderson Endowment Fund Home Page
Contents:
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.
Summary: Accompanying CD-ROM contains ... "Microsoft Excel spreadsheets with option pricing functions and selected data."--Disc label.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode Item holds
Books Books Namal Library
Management 		332.6457 MCD-D 2017 11155 (Browse shelf (Opens below)) 1 Available 0011155
Books Books Namal Library
Management 		332.6457 MCD-D 2017 11154 (Browse shelf (Opens below)) 2 Available 0011154
Total holds: 0

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.

Accompanying CD-ROM contains ... "Microsoft Excel spreadsheets with option pricing functions and selected data."--Disc label.

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