Practical Readings in Financial Derivatives

Robert W. Kolb has 17 years' experience teaching finance at university level. A prolific writer of scholarly publications, he has published 50 journal articles and over 20 textbooks in the area of finance. His principal areas of research interest are financial derivatives, investments, and bond portfolios.

• Part I: Instruments and Pricing:. Futures and Forwards:.1. Determining the Relevant Fair Value(s) of S & P 500 Futures: A Case Study Approach: Ira G. Kawaller.2. Cash-and-Carry Trading and the Pricing of Treasury Bill Futures: Ira G. Kawaller and Timothy W. Koch.Options:.3. How to Use the Holes in Black and Scholes: Fischer Black.Swaps:.4. Beyond Plain Vanilla: A Taxonomy of Swaps: Peter A. Abken.5. The Pricing of Interest Rate Swaps: John F. Marshall and Kenneth R. Kapner. 6. Over-the-Counter Interest Rate Derivatives: Anatoli Kuprianov.Exotics:.7. Path-Dependent Options: William C. Hunter and David W. Stowe.8. Path-Dependent Options: Valuation and Applications: William C. Hunter and David W. Stowe.9. An Introduction to Special-Purpose Derivatives: Path-Dependent Options: Gary Gastineau.Part II: Risk Management Applications:.Overview:.10. Managing Financial Risk: Clifford W. Smith, Jr. Charles W. Smithson, and D. Sykes Wilford.Debt Markets:.11. Improving Hedging Performance Using Interest Rate Futures: Robert W. Kolb and Raymond Chiang.12. Immunizing Bond Portfolios with Interest Rate Futures: Robert W. Kolb and Gerald D. Gay.13. Interest Rate Swaps versus Eurodollar Strips: Ira G. Kawaller.Equity Markets:.14. The Mechanics of Portfolio Insurance: Thomas J. O'Brien.15. Alternative Paths to Portfolio Insurance: Mark Rubinstein.16. The October Crash: Some Evidence on the Cascade Theory: G. J. Santoni.17. Portfolio Insurance and the Market Crash: Mark Rubinstein.Over-the-Counter Markets:.18. The Role of Interest Rate Swaps in Corporate Finance: Anatoli Kuprianov.19. A Tale of Two Bond Swaps: Andrew Kalotay and Bruce Tuckman.20. Over-the-Counter Financial Derivatives: Risky Business?: Peter A. Abken.Preface.