Table of Contents

Preface ix

Acknowledgments xxv

About the Author xxvii

Part One Derivative Markets 1

Chapter 1 Derivative Contracts and Markets 3

Part Two Fundamentals of Valuation 49

Chapter 2 Assumptions and Interest Rate Mechanics 51

Chapter 3 Relation between Return and Risk 89

Part Three Forwards/Futures/Swap Valuation 119

Chapter 4 No-Arbitrage Price Relations: Forwards, Futures, Swaps 121

Chapter 5 Risk Management Strategies: Futures 143

Part Four Option Valuation 173

Chapter 6 No-Arbitrage Price Relations: Options 175

Chapter 7 Valuing Standard Options Analytically 201

Chapter 8 Valuing Nonstandard Options Analytically 261

Chapter 9 Valuing Options Numerically 303

Chapter 10 Risk Management Strategies: Options 347

Part Five Stock Derivatives 381

Chapter 11 Stock Products 383

Chapter 12 Corporate Securities 419

Chapter 13 Compensation Agreements 451

Part Six Stock Index Derivatives 467

Chapter 14 Stock Index Products: Futures and Options 469

Chapter 15 Stock Index Products: Strategy Based 517

Part Seven Currency Derivatives 563

Chapter 16 Currency Products 565

Part Eight Interest Rate Derivatives 601

Chapter 17 Interest Rate Products: Futures and Options 603

Chapter 18 Interest Rate Products: Swaps 637

Chapter 19 Credit Products 679

Chapter 20 Valuing Interest Rate Products Numerically 705

Part Nine Commodity Derivatives 729

Chapter 21 Commodity Products 731

Part Ten Lessons Learned 771

Chapter 22 Key Lessons 773

Appendices

A. Elementary Statistics 779

B. Regression Analysis 821

C. Statistical Tables 861

D. Glossary 869

About the Author

ROBERT E. WHALEY is the Valere Blair Potter Professor of Management at the Owen Graduate School of Management, Vanderbilt University. His current research interests are in the areas of market microstructure, valuation of exotic options, stock splits, and executive stock option valuation. Professor Whaley's research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars. He holds a number of editorial positions, including Associate Editor of the Journal of Futures Markets, Journal of Derivatives, Journal of Risk, Pacific-Basin Finance Journal, and Advances in Futures and Options Research.