Abstract
A derivative (derivative security or contingent claim) is a financial instrument whose value depends on the value of others, more basic underlying variables. Options, future contracts, forward contracts, and swaps are examples of derivatives. The aim of this chapter is to present and discuss various options strategies. The exercises emphasize the differences of the strategies through an intuitive approach using payoff graphs.
Don’t put all eggs in one basket
Don’t put all eggs in one basket
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Breiman, L. (1973). Statistics: With a view towards application. Boston: Houghton Mifflin Company.
Cizek, P., Härdle, W., & Weron, R. (2011). Statistical tools in finance and insurance (2nd ed.). Berlin/Heidelberg: Springer.
Feller, W. (1966). An introduction to probability theory and its application (Vol. 2). New York: Wiley.
Franke, J., Härdle, W., & Hafner, C. (2011). Statistics of financial markets (3rd ed.). Berlin/ Heidelberg: Springer.
Härdle, W., & Simar, L. (2012). Applied multivariate statistical analysis (3rd ed.). Berlin: Springer.
Härdle, W., Müller, M., Sperlich, S., & Werwatz, A. (2004). Nonparametric and semiparametric models. Berlin: Springer.
Harville, D. A. (2001). Matrix algebra: Exercises and solutions. New York: Springer.
Klein, L. R. (1974). A textbook of econometrics (2nd ed., 488 p.). Englewood Cliffs: Prentice Hall.
MacKinnon, J. G. (1991). Critical values for cointegration tests. In R. F. Engle & C. W. J. Granger (Eds.), Long-run economic relationships readings in cointegration (pp. 266–277). New York: Oxford University Press.
Mardia, K. V., Kent, J. T., & Bibby, J. M. (1979). Multivariate analysis. Duluth/London: Academic.
RiskMetrics. (1996). J.P. Morgan/Reuters (4th ed.). RiskMetricsTM.
Serfling, R. J. (2002). Approximation theorems of mathematical statistics. New York: Wiley.
Tsay, R. S. (2002). Analysis of financial time series. New York: Wiley.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2013 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Borak, S., Härdle, W.K., López-Cabrera, B. (2013). Derivatives. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33929-5_1
Download citation
DOI: https://doi.org/10.1007/978-3-642-33929-5_1
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-33928-8
Online ISBN: 978-3-642-33929-5
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)