Option, futures and other derivatives, 11e
The first edition of this book was published in 1988, and in the last two decades, massive changes and developments have happened in the options and the derivatives markets. The 11th edition of Options, Futures, and Other Derivatives takes in to account these changes, and presents the reader with an up-to- date scenario. Like earlier editions, this edition has also been designed to address the needs of a wide spectrum of the market. The book will be appropriate for students pursuing graduate courses in business, finance, economics, and financial engineering. It can be used for advanced undergraduate courses involving quantitative skills. Many practitioners who are involved in derivatives markets should also find the book useful.
Features :
- A major change in financial markets will be the phase-out of LIBOR. This has led to important changes throughout the 11th edition. The overnight reference rates that will replace LIBOR, and the way they are used to determine zero curves, are discussed carefully.
- The new reference rates are considered to be risk-free whereas LIBOR incorporates a time-varying credit spread. The book discusses the desire on the part of banks to augment the new reference rates with a measure of the level of credit spreads in the market.
- The chapter on Wiener processes now covers fractional Brownian motion. This is becoming increasingly used in modeling volatility.
- Rough volatility models which have in the last few years been found to fit volatility surfaces well are added to the models considered in Chapter 27.
Contents:
1. Introduction
2. Futures markets and central counterparties
3. Hedging strategies using futures
4. Interest rates
5. Determination of forward and futures prices
6. Interest rate futures
7. Swaps
8. Securitization and the financial crisis of 2007–8
9. XVAs
10. Mechanics of options markets
11. Properties of stock options
12. Trading strategies involving options
13. Binomial trees
14. Wiener processes and Itô’s lemma
15. The Black–Scholes–Merton model
16. Employee stock options
17. Options on stock indices and currencies
18. Futures options and Black’s model
19. The Greek letters
20. Volatility smiles and volatility surfaces
21. Basic numerical procedures
22. Value at risk and expected shortfall
23. Estimating volatilities and correlations
24. Credit risk
25. Credit derivatives
26. Exotic options
27. More on models and numerical procedures
28. Martingales and measures
29. Interest rate derivatives: The standard market models
30. Convexity, timing, and quanto adjustments
31. Equilibrium models of the short rate
32. No-arbitrage models of the short rate
33. Modeling forward rates
34. Swaps revisited
35. Energy and commodity derivatives
36. Real options
37. Derivatives mishaps and what we can learn from them
| Book | |
|---|---|
| Author | Hull |
| Pages | 920 |
| Year | 2022 |
| ISBN | 9789392970962 |
| Publisher | Pearson |
| Language | English |
| Uncategorized | |
| Edition | 11/e |
| Weight | 2.97 kg |
| Dimensions | 20.3 x 25.4 x 4.7 cm |
| Binding | Paperback |