Applied Derivatives provides a detailed, yet relatively non-technical, treatment of the conceptual foundations for derivative securities markets pricing and investment principles. This book draws from the most fundamental concepts of pricing for options, futures, and swaps to provide insight into the potential risks and returns from conventional option investing. Combining traditional topics in pricing theory with nontraditional topics that the author has researched throughout his career, this book provides comprehensive and engaging coverage of securities markets. Topics include, but are not limited to: a CAPM-based derivation of the binomial model which shows no strategies involving fairly-priced options can simultaneously reduce risk and increase return the effects of volatility misestimation in synthetic option replication the use of linear programming in options arbitrage and replication the formation of optimal portfolios consisting of stock, options, and safe assets...

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