Full file at http://textbooktestbank.eu/Derivatives-Markets-3rd-Edition-Solutions-McDonal
Online Instructor’s Solutions Manual
By
Rüdiger Fahlenbrach
École Polytechnique Fédérale de Lausanne
For
Derivatives Markets
Third Edition
Robert L. McDonald
Northwestern University
Kellogg School of Management
Copyright 2013 Pearson Education, Inc. Publishing as Prentice Hall.
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ISBN-13: 978-0-13-611804-6
Full file at http://textbooktestbank.eu/Derivatives-Markets-3rd-Edition-Solutions-McDonal
ISBN-10: 0-13-611804-6
Contents
Chapter 1
Introduction to Derivatives.................................................................................................. 1
Part One
Insurance, Hedging, and Simple Strategies
Chapter 2
An Introduction to Forwards and Options ........................................................................... 8
Chapter 3
Insurance, Collars, and Other Strategies ........................................................................... 22
Chapter 4
Introduction to Risk Management ..................................................................................... 44
Part Two
Forwards, Futures, and Swaps
Chapter 5
Financial Forwards and Futures ........................................................................................ 69
Chapter 6
Commodity Forwards and Futures .................................................................................... 83
Chapter 7
Interest Rate Forwards and Futures ................................................................................... 92
Chapter 8
Swaps .............................................................................................................................. 107
Part Three
Options
Chapter 9
Parity and Other Option Relationships ............................................................................ 116
Chapter 10
Binomial Option Pricing: Basic Concepts....................................................................... 128
Chapter 11
Binomial Option Pricing: Selected Topics ...................................................................... 147
Chapter 12
The Black-Scholes Formula ............................................................................................ 170
Chapter 13
Market-Making and Delta-Hedging ................................................................................ 193
Chapter 14
Exotic Options: I ............................................................................................................. 209
Part Four
Financial Engineering and Applications
Chapter 15
Financial Engineering and Security Design .................................................................... 219
Chapter 16
Corporate Applications ................................................................................................... 230
Chapter 17
Real Options .................................................................................................................... 242
Part Five
Advanced Pricing Theory
Chapter 18
The Lognormal Distribution............................................................................................ 254
Chapter 19
Monte Carlo Valuation .................................................................................................... 260
Chapter 20
Brownian Motion and Ito’s Lemma ................................................................................ 270
Chapter 21
The Black-Scholes-Merton Equation .............................................................................. 277
Chapter 22
Risk-Neutral and Martingale Pricing .............................................................................. 285
Chapter 23
Exotic Options: II ............................................................................................................ 295
©2013 Pearson Education, Inc. Publishing as Prentice Hall
iv
Contents
Chapter 24
Volatility.......................................................................................................................... 307
Chapter 25
Interest Rate and Bond Derivatives ................................................................................. 328
Chapter 26
Value at Risk ................................................................................................................... 342
Chapter 27
Credit Risk....................................................................................................................... 350