Derivatives Internet Links
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REFERENCE SOURCES & ARTICLES
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Reference Sources
- NYU-Courant Quantitative Finance Server
- Reference site for research. Contains a virtual option pricer, a Java option pricer, and a yield curve calibrator (build interest rate curve from bond prices). Also contains links to research papers.
- Derivative Markets news from Newspage
- Database of Exchange Traded Derivatives - from IFCI
- Characteristics and Risks of Standardized Options
- DERIVATIVES 'R US - a collection of the weekly DRUS that appeared in misc.invest.futures (now stopped); "provides a simple non-technical treatment of various topics in derivatives". [written by Don Chance - author of the excellent "Intro to Options and Futures" book].
- Commodity Contract Information - Exchanges, Trading Hours, Delivery Months & First Notice Dates
- General trading info - from FOTG (Rules to follow for Successful Futures Trading; The Basics of Futures/Options Trading; How do I find out what individual financial futures/commodity contract specifications are? What are typical margin requirements?).
- General explanation of derivatives
- Bibliography on Derivatives - from the CME
- Derivatives: State of the Debate - from the CME [October 1995]
- Understanding Derivatives - by T. Rowe Price [Jun 96]
- Group of Thirty Publications: Global Risk Management, Derivatives and Monetary Policy, Special Report on Global Derivatives (Order Form), Global Derivatives: Public Sector Responses, Derivatives: Practices & Principles
- Contingency Analysis - information on financial risk management.
- Giulio M. Occhionero - articles on applications of stochastic processes to derivatives
Articles
- Orange County Case - Using Value at Risk to Control Financial Risk, (Philippe Jorion [1997]
- Correlation Products and Risk Management Issues - Economic Policy Review, Federal Reserve Bank of New York [Oct 1995]
- Ending the Search for Component VaR - Financial Engineering Associates [May 1997]
- Principles for the Management of Interest Rate Risk - (Basle Committee on Banking Supervision)
- Generally Accepted Risk Principles - A framework for control called GARP (Coopers & Lybrand)
- Nassim Taleb's Home Page - articles on VaR, exotic options and dynamic hedging
- Derivatives: Are They Dominoes Waiting to Fall? - (Wichita State University), presented at the 1996 Accounting and Auditors Conference.
- Exotics enter the mainstream - Euromoney [Mar 97]
- Asian Derivatives - Euromoney [Feb 97]
- Emerging markets derivatives - Euromoney [June 1996]
- Investment banks and their triple-A rated derivatives subsidiaries - Euromoney [June 1996]
- Latin American derivatives - Euromoney [April 1996]
- Credit derivatives - Euromoney [March 1996]
- Euro and Asian convertible bond markets - Euromoney [March 1996]
- Corporate treasurers and currency options - Euromoney [December 1995]
- Managing Risk Exposure in Derivatives 1995: Recent Developments - Practising Law Institute
- The fall and rise of derivatives - CNN [March 1996]
- Fortitude Funds - collection of essays.
- Symposium: Regulation of Financial Derivatives - excerpts from Stanford Journal of Law
- Pension Review Board Derivatives Study Committee Report - State Pension Review Board, Texas, US [May 95]
- Derivatives and their Role in the Financial Markets - by MeesPierson Capital Management (C.I.) Limited in Offshore Financial World
- Derivatives: In the Wake of Disaster - Federal Reserve Bank of Dallas [1st Qtr 1995]
- The Benefits and Risks of Derivative Instruments: An Economic Perspective - IFCI
- The Risk Management Revolution - Bankers Trust New York Corporation [1995]
- Six Recent Reports On Financial Derivatives: A Critical Appraisal - IFCI
- Recovering Probabilistic Information From Option Markets
- You, Too, Can Invest in (Gasp!) Derivatives - Washington Post [April 1995]
- NYU Course notes (in postscript format) on the theory of option pricing, exotic options, gamma risk, volatility risk, hedging, also collection of a few papers dealing with transaction costs in hedging and risk-management of volatility
- Derivatives Study Committee Report - State Pension Review Board, Texas, US [May 95]
- Recommended
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