Since the first edition of this book was published in 1988, there have been many developments in the options and the derivatives markets. The 10th edition of Options, Futures, and Other Derivatives has taken into account these fast-paced changes, and presents the reader with an up-to- date scenario. Like earlier editions, this book has been designed to serve the wider spectrum of the market. It is appropriate for students pursuing graduate courses in business, economics, and financial engineering. It can be used for advanced undergraduate courses involving quantitative skills. Many practitioners who are involved in derivatives markets may also find the book useful.
About the Author
John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is an internationally recognized authority on derivatives and risk management with many publications in this area. His work has an applied focus. In 1999, he was voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award.
Features
1. OIS discounting is now used throughout the book. This makes the presentation of the material more straightforward and more theoretically appealing.
2. A rewrite of the chapter on swaps (Chapter 7) to improve presentation and reflect changing market practices.
3. A new chapter (Chapter 9) on valuation adjustments (CVA, DVA, FVA, MVA, and KVA).
4. A new chapter on equilibrium models of the term structure (Chapter 31).
5. More details on the calculation of Greek letters and smile dynamics.
6. More discussion of the expected shortfall measure and stressed risk measures, reflecting their increasing use in regulation and risk management. Coverage of the SABR model.
7. Updated material on CCPs and the regulation of OTC derivatives.
8. Improved material on martingales and measures, tailing the hedge, bootstrap methods, and convertible bonds.
9. Updating of examples to reflect current market conditions.
10. New end-of-chapter problems and revisions to many old end-of-chapter problems.
11. New version of the software DerivaGem.
Table Content
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 credit crisis of 2007
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
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 HJM, LMM, and multiple zero curves
34 Swaps Revisited
35 Energy and commodity derivatives
36 Real options
37 Derivatives mishaps and what we can learn from them
