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Derivatives
book

Derivatives

by Keith Cuthbertson, Dirk Nitzsche, Niall O'Sullivan
December 2019
Beginner content levelBeginner
912 pages
28h 36m
English
Wiley
Content preview from Derivatives

Subject Index

  • B
  • Backtesting (see also Value at Risk), 763–5
  • Backwardation, 48–50, 67
  • Bank capital, 752
  • Bank of England, 742, 764–6
  • Barings bank, 2, 327
  • Barrier Options (see Exotics)
  • Basel, 766
  • Basis risk, 16, 42, 51, 62–6, 82–3, 214, 222, 357, 550
  • Basket credit default swap, 715, 727–8
  • Basket option, 358
  • Bear spread, 315, 323–4, 332
  • Beta, 52, 82–87, 90–3, 99–114, 210, 346, 769–72, 780–2
  • Bid price, 45, 257–9, 727
  • Bid-Ask (offer) spread, 25, 105, 259, 576
  • Binomial option pricing model (BOPM), 375–419, 691–710
    • American option price, 405–7, 410
    • arbitrage, 377–9
    • call premium, 382–393
    • currencies, 408
    • delta-hedging, 375–7
    • dividends, 407
    • European option price, 375–419
    • futures option, 410–11
    • gamma, 496–9
    • one-period tree, 375–8
    • multi-period tree, 395–6
    • pricing FRN, 705–8
    • pricing swaption, 704–5
    • pricing bond ...
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Publisher Resources

ISBN: 9781119595595Purchase book