Options, Futures, and
Other Derivatives, 11th Edition

 

  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 Ito’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

Glossary of Terms

DerivaGem Software

Major Exchanges Trading Futures and Options

Table for N(x) when x≤ 0

Table for N(x) when x≥0

Author Index

Subject Index