Risk Management and Financial Derivatives

Modern financial management entails an appreciation of a number of key mathematical concepts. This is particularly relevant to risk and risk management products, such as derivatives. The central role played by these products in capital markets is forcing an ever broader range of personnel to be aware of and utilise these concepts either from a supervisory perspective or in their day-to-day activities. This book explains the mathematical basis of risk and derivatives in a non-technical manner to allow non (maths) specialists to gain an appreciation of the concepts that are utilised. Each chapter is written by a leading market practitioner. The book looks at the basic mathematics underlying risk and risk management products and the applications of these techniques to a number of common settings. This should allow understanding to be gained about concepts actually used.

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