Don Chance Essays In Derivatives Of E

Don M. Chance, Louisiana State University

Don M. Chance, Ph.D., CFA, holds the James C. Flores Endowed Chair of MBA Studies and is Professor of Finance at the E.J. Ourso College of Business at Louisiana State University. He previously held the William H. Wright, Jr. Endowed Chair for Financial Services at LSU, and the First Union Professorship in Financial Risk Management at Virginia Tech. Prior to his academic career, he worked for a large southeastern bank. He has been a visiting scholar at the University of Adelaide (Australia), the University of Strathclyde (Scotland), the University of North Carolina at Chapel Hill, the Korea Advanced Institute for Science and Technology, and the University of Missouri at Kansas City. Dr. Chance is widely published in derivatives and risk management, as well as other areas of finance. He has published numerous articles in academic and practitioner journals and is the author of ESSAYS IN DERIVATIVES: RISK TRANSFER TOOLS AND TOPICS MADE EASY, 2e, and ANALYSIS OF DERIVATIVES FOR THE CFA PROGRAM. He has extensive experience conducting professional training programs, and his consulting practice (Omega Risk Advisors, LLC) serves companies, organizations, and law firms. Dr. Chance is also involved in the development and writing of the derivatives curriculum in the CFA program.

Robert Brooks, University of Alabama, Tuscaloosa

Robert Brooks is the Wallace D. Malone, Jr. Endowed Chair of Financial Management at The University of Alabama; president of derivatives consulting firm Financial Risk Management, LLC (www.frmhelp.com); and founding partner of money management firm BlueCreek Investment Partners, LLC (www.bluecreekip.com). The author of numerous articles appearing in both academic and practitioner journals, Dr. Brooks has been quoted in THE WALL STREET JOURNAL, THE NEW YORK TIMES, BLOOMBERG NEWS, and THE BOND BUYER, as well as regional newspapers. He is the author of several books, including BUILDING FINANCIAL RISK MANAGEMENT APPLICATIONS WITH C++. Dr. Brooks has testified in a subcommittee hearing of the U.S. House of Representatives in Washington, D.C., as well as in a field hearing of the Securities and Exchange Commission in Birmingham, Alabama. He also has consulted with money managers, major public utilities, energy companies, auditing firms, corporations, investment bankers, elected municipal officials, and commercial bankers. In addition, Dr. Brooks conducts professional development seminars on various aspects of finance. He earned his B.S. in finance from Florida State University and his Ph.D. in finance from the University of Florida.

Preface To The New Edition.

Preface To The First Edition.

Section One. Derivatives And Their Markets.

Essay 1. The Structure Of Derivative Markets.

Essay 2. A Brief History Of Derivatives.

Essay 3. Why Derivatives?

Essay 4. Forward Contracts And Futures Contracts.

Essay 5. Options.

Essay 6. Swaps.

Essay 7. Types Of Risks.

Section Two. The Basic Instruments.

Essay 8. Interest Rate Derivatives: FRAs And Options.

Essay 9. Interest Rate Derivatives: Swaps.

Essay 10. Currency Swaps.

Essay 11. Structured Notes.

Essay 12. Securitized Instruments.

Essay 13. Equity Swaps.

Essay 14. Equity-Linked Debt.

Essay 15. Commodity Swaps.

Essay 16. American Versus European Options.

Essay 17. Swaptions.

Essay 18. Credit Derivatives.

Essay 19. Volatility Derivatives.

Essay 20. Weather And Environmental Derivatives.

Section Three. Derivative Pricing.

Essay 21. Forward And Futures Pricing.

Essay 22. Put-Call Parity For European Options On Assets.

Essay 23. Put-Call Parity For American Options On Assets.

Essay 24. Call Options As Insurance And Margin.

Essay 25. A Nontechnical Introduction To Brownian Motion.

Essay 26. Building A Model Of Brownian Motion In The Stock Market.

Essay 27. Option Pricing: The Black-Scholes-Merton Model.

Essay 28. Option Pricing: The Binomial Model.

Essay 29. Option Pricing: Numerical Methods.

Essay 30. Dynamic Option Replication.

Essay 31. Risk-Neutral Pricing Of Derivatives: I.

Essay 32. Risk-Neutral Pricing Of Derivatives: II.

Essay 33. It's All Greek To Me.

Essay 34. Implied Volatility.

Essay 35. American Call Option Pricing.

Essay 36. American Put Option Pricing.

Essay 37. Swap Pricing.

Section Four. Derivative Strategies.

Essay 38. Asset Allocation With Derivatives.

Essay 39. Protective Puts And Portfolio Insurance.

Essay 40. Misconceptions About Covered Call Writing.

Essay 41. Hedge Funds And Other Privately Managed Accounts.

Essay 42. Spreads, Collars, And Prepaid Forwards.

Essay 43. Box Spreads.

Section Five. Exotic Instruments.

Essay 44. Barrier Options.

Essay 45. Straddles And Chooser Options.

Essay 46. Compound And Installment Options.

Essay 47. Digital Options.

Essay 48. Geographic Options.

Essay 49. Multi-Asset Options.

Essay 50. Range Forwards And Break Forwards.

Essay 51. Lookback Options.

Essay 52. Deferred Start And Contingent Premium Options.

Section Six. Fixed Income Securities And Derivatives.

Essay 53. Duration.

Essay 54. Limitations Of Duration And The Concept Of Convexity.

Essay 55. The Term Structure Of Interest Rates.

Essay 56. Theories Of The Term Structure: I.

Essay 57. Theories Of The Term Structure: II.

Essay 58. Simple Models Of The Term Structure: Vasicek And Cox-Ingersoll-Ross.

Essay 59. No-Arbitrage Models Of The Term Structure: Ho-Lee And Heath-Jarrow-Morton.

Essay 60. Tree Pricing Of Bond And Interest Rate Derivatives: I.

Essay 61. Tree Pricing Of Bonds And Interest Rate Derivatives: II.

Essay 62. Tree Pricing Of Bonds And Interest Rate Derivatives: III.

Essay 63. Tree Pricing Of Bonds And Interest Rate Derivatives: IV.

Essay 64. Tree Pricing Of Bonds And Interest Rate Derivatives: V.

Section Seven. Other Topics And Issues.

Essay 65. Stock Options.

Essay 66.Value At Risk.

Essay 67. Stock As An Option .

Essay 68. The Credit Risk Of Derivatives.

Essay 69. Operational Risk.

Essay 70. Risk Management In An Organization.

Essay 71. Accounting And Disclosure Of Derivatives.

Essay 72. Worst Practices In Derivatives.

Essay 73. Best Practices In Derivatives.

Recommended Reading.

Answers To End-Of-Essay Questions.

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