Risk Transfer Derivatives in Theory and Practice(絕)
- 20本以上，享 8.5折
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- 一般書籍
- ISBN：9780471464983
- 作者：Christopher L. Culp
- 版次：1
- 年份：2004
- 出版商：John Wiley
書籍介紹
目錄
作者介紹
Description
Based on an enormously popular "derivative instruments and applications" course taught by risk expert Christopher Culp at the University of Chicago, Risk Transfer will prepare both current practitioners and students alike for many of the issues and problems they will face in derivative markets. Filled with in-depth insight and practical advice, this book is an essential resource for those who want a comprehensive education and working knowledge of this major field in finance, as well as professionals studying to pass the GARP FRM exam.
Based on an enormously popular "derivative instruments and applications" course taught by risk expert Christopher Culp at the University of Chicago, Risk Transfer will prepare both current practitioners and students alike for many of the issues and problems they will face in derivative markets. Filled with in-depth insight and practical advice, this book is an essential resource for those who want a comprehensive education and working knowledge of this major field in finance, as well as professionals studying to pass the GARP FRM exam.
Table of Contents
Preface: The Demonization of Derivatives
Introduction and Structure of the Book
Mathematical Notation
PART ONE: The Economics of Risk Transfer
CHAPTER 1: The Determinants of Financial Innovation
CHAPTER 2: Risk, Uncertainty, and Profit
CHAPTER 3: Methods of Controlling Risk and Uncertainty
CHAPTER 4: Risk Transfer and Contracting Structures
CHAPTER 5: The Evolution of Derivatives Activity
CHAPTER 6: Derivatives Trading, Clearance, and Settlement
PART TWO: Derivatives Valuation and Asset Lending
CHAPTER 7: Principles of Derivatives Valuation
CHAPTER 8: Own Rates of Interest and the Cost of Carry Model
CHAPTER 9: The Supply of Storage and the Term Structure of Forward Prices
CHAPTER 10: The Term Structure of Interest Rates
CHAPTER 11: Basis Relations and Spreads
PART THREE: Speculation and Hedging
CHAPTER 12: Speculation and the Speculative Risk Premium
CHAPTER 13: Hedging Objectives
CHAPTER 14: Hedge Ratios
CHAPTER 15: Quality Basis Risk
CHAPTER 16: Calendar Basis Risk
PART FOUR: Appendixes
APPENDIX 1: Economic Theory and Equilibrium
APPENDIX 2: Derivation of the Fundamental Value Equation
APPENDIX 3: Relation between the Cost of Carry Model and the Fundamental Value Equation
References
Index
Preface: The Demonization of Derivatives
Introduction and Structure of the Book
Mathematical Notation
PART ONE: The Economics of Risk Transfer
CHAPTER 1: The Determinants of Financial Innovation
CHAPTER 2: Risk, Uncertainty, and Profit
CHAPTER 3: Methods of Controlling Risk and Uncertainty
CHAPTER 4: Risk Transfer and Contracting Structures
CHAPTER 5: The Evolution of Derivatives Activity
CHAPTER 6: Derivatives Trading, Clearance, and Settlement
PART TWO: Derivatives Valuation and Asset Lending
CHAPTER 7: Principles of Derivatives Valuation
CHAPTER 8: Own Rates of Interest and the Cost of Carry Model
CHAPTER 9: The Supply of Storage and the Term Structure of Forward Prices
CHAPTER 10: The Term Structure of Interest Rates
CHAPTER 11: Basis Relations and Spreads
PART THREE: Speculation and Hedging
CHAPTER 12: Speculation and the Speculative Risk Premium
CHAPTER 13: Hedging Objectives
CHAPTER 14: Hedge Ratios
CHAPTER 15: Quality Basis Risk
CHAPTER 16: Calendar Basis Risk
PART FOUR: Appendixes
APPENDIX 1: Economic Theory and Equilibrium
APPENDIX 2: Derivation of the Fundamental Value Equation
APPENDIX 3: Relation between the Cost of Carry Model and the Fundamental Value Equation
References
Index
CHRISTOPHER L. CULP is an Adjunct Professor of Finance at the University of Chicago’s Graduate School of Business, a Principal at Chicago Partners LLC, and, during the winter academic term, a Resident Guest Professor of Risk and Insurance in the Institut fur Finanzmanagement at Universitat Bern in Switzerland. Culp is an active consultant to various financial and non-financial firms on risk management, financial instrument selection, and capital allocation. In addition, he is an independent non-executive Director of Idaho Power Company, Inc., and IDACORP, Inc., where he is a member of the Audit and Governance Committees of both boards, and he is a Senior Fellow in Financial Regulation with the Competitive Enterprise Institute in Washington, D.C. Culp is the author of two previous books (both published by Wiley), The ART of Risk Management and The Risk Management Process. He recently coedited for Wiley (with William Niskanen) Corporate Aftershock: The Public Policy Lessons from the Collapse of Enron and Other Major Corporations. Culp holds a PhD in finance from the Graduate School of Business of the University of Chicago and a BA in economics from the Johns Hopkins University.
