Options, Futures, and Other Derivatives
Options, Futures, and Other Derivatives is an essential guide that contains courses in business, economics, and financial engineering and mathematics. With updated contemporary examples and discussions that take a modern look at the derivatives market, it also includes the latest regulations and trends, the Black-Scholes-Merton formulas, overnight indexed swaps, and the valuation of commodity derivatives. Options, Futures, and Other Derivatives also involves securitization and credit analysis, and ways commodity prices are modeled and commodity derivatives valued. It helps students and practitioners alike keep up with the fast pace of change in today’s derivatives markets, bridging the gap between theory and practice.
Table of Contents
1. Introduction
2. Mechanics of Futures Markets
3. Hedging Strategies Using Futures
4. Interest Rates
5. Determination of Forward and Futures Prices
6. Interest Rate Futures
7. Swaps
8. Mechanics of Options Markets
9. Properties of Stock Options
10. Trading Strategies Involving Options
11. Binomial Trees
12. Wiener Processes and Ito's Lemma
13. The Black-Scholes-Merton Model
14. Employee Stock Options
15. Options on Stock Indices and Currencies
16. Options on Futures
17. Greek Letters
18. Volatility Smiles
19. Basic Numerical Procedures
20. Value at Risk
21. Estimating Volatilities and Correlations for Risk Management
22. Credit Risk
23. Credit Derivatives
24. Exotic Options
25. Insurance, Weather, and Energy Derivatives
26. More on Models and Numerical Procedures
27. Martingales and Measures
28. Interest Rate Derivatives: The Standard Market Models
29. Convexity, Timing and Quanto Adjustments
30. Interest Rate Derivatives: Models of the Short Rate
31. Interest Rate Derivatives: HJM and LMM
32. Swaps Revisited
33. Real Options
34. Derivatives Mishaps and What We Can Learn from Them
Glossary of Terms