July 2011
Intermediate to advanced
304 pages
8h 11m
English
Content preview from The Devil's Derivatives
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Appendix
A timeline of some significant historical events referred to in the book, and episodes involving the book’s key characters.
| 1973 | Fischer Black, Myron Scholes, and Robert Merton publish seminal papers on option pricing |
| 1974 | Robert Merton publishes paper using option theory to link debt and equity |
| 1986 | Start of S&L crisis |
| 1987 | Oldrich Vasicek publishes working paper applying Merton’s work to credit portfolios |
Federal Reserve protects Wall Street securities firms from October stock market crash by ensuring that banks lend | |
| 1988 | Basel I bank capital accord agreed |
Nick Sossidis and Stephen Partridge-Hicks set up Alpha Finance for Citibank | |
| 1994 | VAR models protect commercial banks from market turmoil |
| 1995 | Barings Bank almost bankrupted by Nick Leeson’s ... |
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