1st Edition

Derivatives Markets

By David Goldenberg Copyright 2016
    704 Pages 97 Color Illustrations
    by Routledge

    Derivatives Markets is a thorough and well-presented textbook that offers readers an introduction to derivatives instruments, with a gentle introduction to mathematical finance, and provides a working knowledge of derivatives to a wide area of market participants.

    This new and accessible book provides a lucid, down-to-earth, theoretically rigorous but applied introduction to derivatives. Many insights have been discovered since the seminal work in the 1970s and the text provides a bridge to and incorporates them. It develops the skill sets needed to both understand and to intelligently use derivatives. These skill sets are developed in part by using concept checks that test the reader's understanding of the material as it is presented.

    The text discusses some fairly sophisticated topics not usually discussed in introductory derivatives texts. For example, real-world electronic market trading platforms such as CME’s Globex. On the theory side, a much needed and detailed discussion of what risk-neutral valuation really means in the context of the dynamics of the hedge portfolio. 

    The text is a balanced, logical presentation of the major derivatives classes including  forward and futures contracts in Part I, swaps in Part II, and options in Part III. The material is unified by providing a modern conceptual framework and exploiting the no-arbitrage relationships between the different derivatives classes.

    Some of the elements explained in detail in the text are:

    • Hedging, Basis Risk, Spreading, and Spread Basis Risk 
    • Financial Futures Contracts, their Underlying Instruments, Hedging and Speculating
    • OTC  Markets and Swaps
    • Option Strategies: Hedging and Speculating
    • Risk-Neutral Valuation and the Binomial Option Pricing Model
    • Equivalent Martingale Measures: The Modern Approach to Option Pricing
    • Option Pricing in Continuous Time: from Bachelier to Black-Scholes and Beyond.

    Professor Goldenberg’s clear and concise explanations and end-of-chapter problems, guide the reader through the derivatives markets, developing the reader’s skill sets needed in order to incorporate and manage derivatives in a corporate or risk management setting. This textbook is for students, both undergraduate and postgraduate, as well as for those with an interest in how and why these markets work and thrive.

    1. Derivatives Markets  2. Background in Portfolio Analysis  3. Forward and Futures Contracts  4. Hedging and Basis Risk  5. Financial Futures Contracts  6. Options Markets  7. Rational  Option Pricing  8. Option Trading Strategies  9. Valuing European Options in Discrete Time: the Binomial Option Pricing Model 10. Valuing European Options in Continuous Time: the Black Scholes Model  11. Valuing American Put and Call Options  12. Risk Management of an Option  Portfolio  13. Futures Options and Currency Options  14. Swaps  15. Interest Rate Options  16. Miscellaneous topics: Exotic Options 

    Biography

    David H. Goldenberg is an independent researcher in New York , USA.