Advanced strategies in financial risk management

목차 (Table of Contents)

• CONTENTS
• Foreword by John B. Caouette = ix
• Acknowledgments = xi
• About the Editors = xii
• Contributors = xiii
• Introduction / by Robert J. Schwartz ; Clifford W. Smith, Jr = xxiii
• Part One Interest Rates = 1
• 1 A Survey of Bond Option Pricing Models / Georges Courtadon = 3
• 2 Mean Reversion Interest Rate Modeling / Don Goldman = 31
• 3 Interest-Rate Options : Choosing a Model for Trading / John Hufl ; Alan- White = 49
• 4 The Pricing of Options on Interest-Rate Caps and Floors Using the Hull-White Model / John Hull ; Alan White = 59
• Part Two Exchange Rates = 69
• 5 A Quick Algorithm for Pricing European Average Options / Stuart M. Turnbull ; Lee MacDonald Wakeman = 71
• 6 Currency Derivatives for the Investor / James C. F. McVay = 89
• Part Three Risk Management Techniques-101
• 7 The Use of Interest Rate Swaps in Managing Corporate Liabilities / Laurie S. Goodman = 103
• 8 The Uses of Hybrid Debt in Magaging Corporate Risk / Charles W. Smithson ; Donald H. Chew, Jr = 129
• 9 Risk Management in Banking / Clifford W. Smith, Jr = 147
• 10 Option Replication Technology / Richard M. Bookstaber = 163
• 11 Techniques for Managing a LIBOR-Plus Fund / Paul DeRosa ; Laurie Goodman = 181
• Part Four Innovative Applications = 193
• 12 Environmental Futures : Preliminary Thoughts on the Market for Sulfur Dioxide Emission Allowances / Richard L. Sandor ; Michael J. Walsh = 195
• 13 Hedging Business Cycle RiskArith Macro Swaps and Options / John F. Marshall ; Vipul K- Barisal ; Anthony F. Herbst ; Alan L. Tucker = 213
• 14 Equity Derivatives for Investors / Tanya Styblo Beder = 223
• 15 Yield Curve Applications of Swap Products / Rupert Brotherton-Ratcliffe ; Ben Then = 245
• Part Five Systems and Credits = 267
• 16 Visualization of Deriva'U'ves Risk / Rod A. Beckstr$$\ddot{o}$$m ; Peter C. McDonald = 269
• 17 The Default Risk of Swaps / Ian A. Cooper ; Antonio S. Mello = 295
• Part Six Tax = 325
• 18 Equity Derivative Products : Financial Innovation's Newest Challenge to the Tax SysEem / Edward D. Kleitibtrd = 327
• 19 Uncertain Futures : The Tax T ceatment of Hedging / Robert J. Mackay ; Phoebe A. Mix = 377
• Part Seven Legal and Regtdatory = 385
• 20 A Review of International and U.S. Case Law Affecting Swaps and Related Derivative Products / Anthony C. Gooch ; Linda B. Klein = 387
• 21 Financial Innovation and Uncertain Regulation : Selected Issues Regarding New Product Development / Thomas A. Russo ; Marlisa. Vinciguerra = 439
• 22 Hybrid Instruments and the Commodity Exchange Act-A Practical Guide / Joanne T. Medero = 507
• 23 US Hybrid Instruments : Evolving Legal and Economic Issues / Dean Furbush ; Michael Sackheim = 517
• 24 The New Regulation of Hybrid Debt Instruments / James V. Jordan ; RobertJ. Mackay ; Eugene J. Moriarty = 531
• 25 Managing a Derivative Products Business from a Risk-Adjusted Perspective / Ronald D. Reading ; James C. Lam = 553
• Part Eight Accounting-577
• 26 Hedge Accounting : A State-of-the-Art Review / J. Matthew Single' ton = 579
• 27 Accounting for Futures Contracts and the Effect on Earnings Variability / Jennifer Francis = 591
• 28 Characteristics of Hedging Firms : An Empirical Examination / Jennifer Francis ; Jens Stephan = 615
• Glossary = 637
• Chapter Note = 653
• Index = 655