Risk Management and Financial Derivatives

SATYAJIT DAS is a leading international specialist in the area of financial derivatives and treasury management. He has presented seminars on financial derivatives and treasury management/corporate finance in Europe, North America, Asia and Australia. He acts as a consultant to financial institutions and corporations on derivative instruments, risk management and treasury/financial management issues.

• Preface About the Authors Selected Bibliography PART 1: INTRODUCTION Risk-Reward Relationships - Foundations of Derivatives; L.Smith PART 2: INTEREST RATES AND YIELD CURVES Interest Rates, Bond Pricing, Duration and Convexity; R.Cohen Interest Rate and Yield Curve Modelling; S.Das (with a contribution from R.Cohen PART 3: DERIVATIVE PRICING Pricing Forwards and Futures Contracts; J.Martin Pricing Options; S.Das Interest Rate Option Pricing Models; J.Rowlands Pricing Models for Complex/Exotic Options; Dr G.deJager Estimating Volatility; S.Das Estimating Volatility and Correlation using ARCH/GARCH Models; C.Alexander Measuring Option Price Sensitivity - The "Greek Alphabet" of Risk; S.Das Option Replication Utilising Delta Hedging; S.Das PART 4: INVESTMENT MANAGEMENT Portfolio Optimisation; G.Brianton Risk Management for Bond Portfolios; R.Cohen Portfolio Insurance; S.Roe Indexation of Portfolios; F.Cowell PART 5: RISK MANAGEMENT Value at Risk Models; S.Das & J.Martin Portfolio Simulation: Stress Testing Techniques; L.Smith Credit Risk Measurement; A.Bustany PART 6: MATHEMATICAL TECHNIQUES Mathematical Techniques; T.R.Gillespie Index