Derivatives
Subtitle: a comprehensive resource for options, futures, interest rate swaps, and mortgage securities
By: Fred D. Arditti.
Series: Financial Management Association survey and synthesis series
Publisher: Harvard Business School Press
Published: 1996
Place of publication: Boston
Language: eng
Number of pages: 394
Subjects: Derivative securities -- United States
Description: The growth of derivative markets during the past decade has been nothing short of astounding and so, of late, has been the misunderstanding of their use. This book is the definitive resource on derivatives. It is the first to explain all four major classes of derivative instruments - options, futures, interest rate swaps, and mortgage securities - in terms of their market structure, applications, and pricing, with a focus on the valuation methods used most commonly by professional market participants.

Unlike most treatments of derivatives, this book offers detailed explanations of the institutional procedure and market practice for each class of derivative as well as the pricing and hedging of mortgage-backed securities and the central role of prepayment in both activities. It also covers a wide variety of topics such as the structuring of CMOs, PACs, and TACs; smile option pricing; and pricing and hedging of long-dated swaps.
Notes: Includes bibliographical references (p. 375-385) and index.