Publisher's Synopsis
Volume 1 consists of 4 Parts divided into 16 Chapters covering the role and function of derivatives, basic derivative instruments [exchange traded products (futures and options on futures contracts) and over–the–counter products(forwards, options and swaps)], the pricing and valuation of derivative instruments, and derivative trading and portfolio management.
Volume 2 consists of 8 Parts and 18 Chapters covering risk management, market risk metodologies (including VAR and stress testing), credit risk in derivative transactions, other derivative trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including the ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities dealers (including the Basel framework for capital to be held against credit and market risk).
Volume 3 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivatives (such as asset swaps, structured notes and repackaged assests), exotic options, and non–generic derivative structures used in interest rate and currency markets (including non–generic swaps, basis (floating–to–floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products).
Volume 4 consists of 5 Parts and 21 Chapters covering equity derivatives (including equity swaps/options, convertible securities and equity linked notes), commodity derivatives (including energy, metal and agricultural derivatives), credit derivatives (including inflation linked derivatives and notes, insurance derivatives, weather derivatives, property, bandwidth.telephone minutes, macro–economic index and emission/environmental derivatives) and tax based applications of derivatives. It also covers the structure and evolution of derivative markets including electronic trading markets and the origins, evolution and prospects for derivative markets.
