Derivatives and Risk Management
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Financial Engineering by Keith Cuthbertson
Book DescriptionThis text provides a thorough treatment of futures, a plain vanillaa options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand--alone text or as a follow--on to Investments: Spot and Derivatives Markets by the same authors. The authors adopt a real--world emphasis throughout, and include features such as: aeo topic boxes, worked examples and learning objectives aeo Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases aeo supporting web site including Lecturera s Resource Pack and Student Centre with interactive Excel and GAUSS software
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Book DetailsISBN: 9780471495840
(247mm x 190mm x 41mm)
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 24-Apr-2001
Country of Publication: United Kingdom
Books By Author Keith Cuthbertson
Investments, Paperback (July 2008)
Designed for MBA and advanced undergraduate students taking a course in investments/introduction to finance/financial markets. These courses aim to introduce students to the financial markets and instruments (including money markets, fixed income, equities and FX markets).
Quantitative Financial Economics, Paperback (November 2004)» View all books by Keith Cuthbertson
Reflects the theoretical and econometric/empirical advances in the financial markets. This book provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis.
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Author Biography - Keith Cuthbertson
KEITH CUTHBERTSON is Professor of Finance at the Management School, Imperial College. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve. He has held chairs at the University of Newcastle and City University Business School, as well as undertaking consultancy with financial institutions. DIRK NITSCHE is a lecturer in Finance at the Management School, Imperial College. He is also a Visiting Lecturer at City university Business School.
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