Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities (Financial Management Association Survey & Synthesis Series) [Hardcover]

Fred D. Arditti (Author)

Book Description

Series: Financial Management Association Survey & Synthesis Series | Publication Date: February 1, 1996

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.

Editorial Reviews

From Booklist

A derivative is an investment instrument such as a futures contract or an option and is so called because it is derived from a cash market. During the last decade, the growth of the derivatives market has been tremendous. Professional money managers use derivatives to help manage risk, but derivatives themselves are highly risky. Speculation in them brought about the collapse of Barings Bank and the bankruptcy of Orange County, California. Arditti is a professor of finance at Chicago's DePaul University and former chief economist at the Chicago Mercantile Exchange. He provides detailed explanations of how each of the four major classes (identified in his title) of derivatives works and when and how each should be used. Arditti targets investment bankers, corporate treasurers, fund managers, financial advisers, apprentice traders, and business students; and he assumes the reader has a knowledge of investment valuation and pricing models and "the rules and conventions that define the markets." David Rouse

About the Author

Since 1984, Harvard Business School Press has been dedicated to publishing the most contemporary management thinking, written by authors and practitioners who are leading the way. Whether readers are seeking big-picture strategic thinking or tactical problem solving, advice in managing global corporations or for developing personal careers, HBS Press helps fuel the fire of innovative thought. HBS Press has earned a reputation as the springboard of thought for both established and emerging business leaders.

Product Details

• Hardcover: 394 pages
• Publisher: Harvard Business Press (February 1, 1996)
• Language: English
• ISBN-10: 0875845606
• ISBN-13: 978-0875845609
• Product Dimensions: 9.6 x 7.7 x 1.2 inches
• Shipping Weight: 2.3 pounds
• Average Customer Review: 3.2 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #1,833,637 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

9 of 9 people found the following review helpful:

4.0 out of 5 stars EXCELLENT AND IN PATCHES OUTSTANDING, August 8, 2000

By 

M. MAHAPATRA (CHICAGO, IL United States) - See all my reviews

This review is from: Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities (Financial Management Association Survey & Synthesis Series) (Hardcover)

This book is an excellent resource for beginning and intermediate level fund managers who want to understand the derivatives to be able to use them in risk hedging and income maximization.

The book is excellently organized in four sections and each section is self sufficient. Each of the sections begin with basics, illustrates the concepts with example, introduces the mathematics of pricing and methodology of hedginag of risks

Every section has also a nice subsection on terminology and definitions.

The book is an excellent attempt to explain a highly technical and complex subject.The section on Interest Rate swaps is outstanding. A must read for all corporate money managers and a must addition to all financial libraries.

4 of 5 people found the following review helpful:

5.0 out of 5 stars He knows how to design derivatives and make them work, July 27, 2003

By 

Salil Talauliker (Kansas City, MO USA) - See all my reviews
(REAL NAME)   

This review is from: Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities (Financial Management Association Survey & Synthesis Series) (Hardcover)

I am completely satisfied with this book. He knows how to design derivatives and make them work. This book does a remarkable job of explaining the theory and practice of derivative securities.

1 of 2 people found the following review helpful:

4.0 out of 5 stars Very good Book for a practitioner, December 9, 2005

By 

W. Chen "texan" (Houston, TX United States) - See all my reviews
(REAL NAME)   

This review is from: Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps, and Mortgage Securities (Financial Management Association Survey & Synthesis Series) (Hardcover)

I found the book very useful in practice. It gave you a lot of details.