Hull, John, 1946-
Options, futures and other derivatives / John C. Hull. - 7th ed. - Upper Saddle River, NJ : Prentice Hall, c2009. - xxii, 821 p. : ill. ; 26 cm. + 1 CD-ROM (4 3/4 in.)
Includes bibliographical references and indexes.
Introduction -- Mechanics of futures markets -- Hedging strategies using futures -- Interest rates -- Determination of forward and futures prices -- Interest rate futures -- Swaps -- Mechanics of options markets -- Properties of stock options -- Trading strategies involving options -- Binomial trees -- Wiener processes and Ito's Lemma -- The Black-Scholes-Merton model -- Employee stock options -- Options on stock indices and currencies -- Options on futures -- Greek letters -- Volatility smiles -- Basic numerical procedures -- Value at risk -- Estimating volatilities and correlations for risk management -- Credit risk -- Credit derivatives -- Exotic options -- Insurance, weather, and energy derivatives -- More on models and numerical procedures -- Martingales and measures -- Interest rate derivatives : the standard market models -- Convexity, timing and quanto adjustments -- Interest rate derivatives : models of the short rate -- Interest rate derivatives : HJM and LMM -- Swaps revisited -- Real options -- Derivatives mishaps and what we can learn from them.
9780136015864
2008010842
Futures.
Stock options.
Derivative securities.
HG6024.A3 / H85 2009
Options, futures and other derivatives / John C. Hull. - 7th ed. - Upper Saddle River, NJ : Prentice Hall, c2009. - xxii, 821 p. : ill. ; 26 cm. + 1 CD-ROM (4 3/4 in.)
Includes bibliographical references and indexes.
Introduction -- Mechanics of futures markets -- Hedging strategies using futures -- Interest rates -- Determination of forward and futures prices -- Interest rate futures -- Swaps -- Mechanics of options markets -- Properties of stock options -- Trading strategies involving options -- Binomial trees -- Wiener processes and Ito's Lemma -- The Black-Scholes-Merton model -- Employee stock options -- Options on stock indices and currencies -- Options on futures -- Greek letters -- Volatility smiles -- Basic numerical procedures -- Value at risk -- Estimating volatilities and correlations for risk management -- Credit risk -- Credit derivatives -- Exotic options -- Insurance, weather, and energy derivatives -- More on models and numerical procedures -- Martingales and measures -- Interest rate derivatives : the standard market models -- Convexity, timing and quanto adjustments -- Interest rate derivatives : models of the short rate -- Interest rate derivatives : HJM and LMM -- Swaps revisited -- Real options -- Derivatives mishaps and what we can learn from them.
9780136015864
2008010842
Futures.
Stock options.
Derivative securities.
HG6024.A3 / H85 2009