Derivatives The tools that changed finance

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1、DerivativesTHETOOLSTHATCHANGEDFINANCEDerivativesTHETOOLSTHATCHANGEDFINANCEPhelimBoyle&FeidhlimBoyleAcknowledgementsSeveralpeoplehavehelpedusinconnectionwiththisbookandithasben-efitedfromtheircommentsandtheirsuggestions.Evenwhenwedidnotfollowtheiradviceonaparticu

2、larpoint,wewereforcedtothinkabouthowwecoulddoabetterjobofexplainingtheissue.Theseindividualsarenotresponsibleforanyremainingerrors–weare.JunichiImaiprovidedexcellenttechnicalassistancethroughoutthepro-ject.DarkoLakotaandSaharKfirreadearlierdraftsandmademanythoug

3、htfulsuggestions.PeterChristoffersenandDietmarLeisengaveuse-fulcommentsonhowfirmsusederivatives.GladysYamhelpedwiththeproofreadingandLochlannBoylemadesuggestionsonthesyntax.GeoffChaplincritiquedourdiscussionofcreditrisk.HansBuhlman,YuriKabanovandPhilippeArtznerp

4、rovidedseveralhistoricaldetails.Anumberofindividualssharedtheirideasandexperienceswithus.TheseincludeSheenKassouf,CaseSprenkle,EdThorp,MarkRubinstein,FarshidJamshidian,DavidHeath,RichardRendleman,BrittBarterandTomHo.JeremyEvninegaveusafirst-handaccountofwhatitwa

5、sliketobeinthetrenchesduringthestockmarketcrashofOctober1987.TheauthorsareextremelygratefultoAmyAldousfortakingcareofsomanydetailsassociatedwiththisworkinherusualefficientmanner.BillFallooninitiallyconceivedtheideaforthisbook.WewouldliketothankMartinLlewellyn,ou

6、reditoratRiskbooks,forallhishardworkonthisproject.FeidhlimBoylewouldliketothankhisdadfortheopportunitytoworkwithhimonthisproject.Hecreditshisowninterestinandknowledgeofderivativestohisfather’sinfluence.Feidhlimdidmuchoftheearlyresearchonthebookbutduringthelater

7、stages,whenhewasafulltimeMBAstudentatCornell,hedidnothaveasmuchtimeforthebookashewouldhaveliked.HeisindebtedtoJimDoakandProfessorCharlesM.C.Leewhoseknowledgeofinvestmentscontributedtogreatlytohisunder-standingofmarkets.Onapersonalnote,Feidhlimisdeeplygratefulto

8、RobenStikemanforallhersupportandencouragementduringtheresearchandwritingprocess.PhelimBoyle’sideasonderivativeshavebeenshapedbydiscussionovertheyearswithhisstudents,colleagu