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The Demonization of Derivatives Culp, Risk Transfer
3.52M 英文 2003.07 共三大部分 16章
The essential feature of derivatives that distinguishes them from traditional agreements to purchase or sell a physical or financial asset on the spot is the explicit treatment in derivatives contracts of time and space. A spot transaction is the purchase or sale of an asset for immediate delivery by the seller to the purchaser, whereas derivatives involve the purchase or sale of an asset at a specified place and time that differs from the here and now. As a result, derivatives are essentially contracts to facilitate asset loans over space and time.
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CONTENTS
Preface: The Demonization of Derivatives i
Acknowledgments and Dedication xiv
Introduction and Structure of the Book xvii
Mathematical Notation xxvii
Contents xxx
PART I: THE ECONOMICS OF RISK TRANSFER 1
1. The Determinants of Financial Innovation 2
2. Risk, Uncertainty, and Profit 22
3. Methods of Controlling Risk and Uncertainty 61
4. Risk Transfer and Contracting Structures 97
5. The Evolution of Derivatives Activity 119
6. Derivatives Trading, Clearance, and Settlement 162
PART II: DERIVATIVES VALUATION AND ASSET LENDING 206
7. Principles of Derivatives Valuation 207
8. Own Rates of Interest and the Cost of Carry Model 251
9. The Supply of Storage and the Term Structure of Forward Prices 305
10. The Term Structure of Interest Rates 327
11. The Basis and Spreads 350
PART III: SPECULATION AND HEDGING 377
12. Speculation and the Speculative Risk Premium 378
13. Hedging Objectives 418
14. Hedge Ratios 462
15. Quality Basis Risk 507
16. Calendar Basis Risk 535
PART IV: APPENDIXES 569
Appendix 1: Economic Theory and Equilibrium 570
Appendix 2: Derivation of the Fundamental Value Equation 587
Appendix 3: Relation Between the Cost of Carry Model and the Fundamental Value Equation 589
References 591
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