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Derivatives
THE TOOLS THAT CHANGED FINANCE

Derivatives
THE TOOLS THAT CHANGED FINANCE

Phelim Boyle & Feidhlim Boyle

Acknowledgements
Several people have helped us in connection with this book and it has benefited from their comments and their suggestions. Even when we did not follow their advice on a particular point, we were forced to think about how we could do a better job of explaining the issue. These individuals are not responsible for any remaining errors – we are.
Junichi Imai provided excellent technical assistance throughout the project. Darko Lakota and Sahar Kfir read earlier drafts and made many thoughtful suggestions. Peter Christoffersen and Dietmar Leisen gave useful comments on how firms use derivatives. Gladys Yam helped with the proof reading and Lochlann Boyle made suggestions on the syntax. Geoff
Chaplin critiqued our discussion of credit risk. Hans Buhlman, Yuri
Kabanov and Philippe Artzner provided several historical details.
A number of individuals shared their ideas and experiences with us.
These include Sheen Kassouf, Case Sprenkle, Ed Thorp, Mark Rubinstein,
Farshid Jamshidian, David Heath, Richard Rendleman, Britt Barter and
Tom Ho. Jeremy Evnine gave us a first-hand account of what it was like to be in the trenches during the stock market crash of October 1987.
The authors are extremely grateful to Amy Aldous for taking care of so many details associated with this work in her usual efficient manner. Bill
Falloon initially conceived the idea for this book. We would like to thank
Martin Llewellyn, our editor at Risk books, for all his hard work on this project. Feidhlim Boyle would like to thank his dad for the opportunity to work with him on this project. He credits his own interest in and knowledge of derivatives to his father’s influence. Feidhlim did much of the early research on the book but during the later stages, when he was a full time
MBA student at Cornell, he did not have as much time for the