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ISBN: 9781292212920
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Options, Futures, and Other Derivatives, 9e (e-Book VS 12m)


By John C. Hull

Descripción:

For graduate courses in business, economics, financial mathematics, and financial engineering; for advanced undergraduate courses with students who have good quantitative skills; and for practitioners involved in derivatives markets

Practitioners refer to it as “the bible;” in the university and college marketplace it’s the best seller; and now it’s been revised and updated to cover the industry’s hottest topics and the most up-to-date material on new regulations. Options, Futures, and Other Derivatives by John C. Hull bridges the gap between theory and practice by providing a current look at the industry, a careful balance of mathematical sophistication, and an outstanding ancillary package that makes it accessible to a wide audience. Through its coverage of important topics such as the securitization and the credit crisis, the overnight indexed swap, the Black-Scholes-Merton formulas, and the way 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.

This program provides a better teaching and learning experience—for you and your students. Here’s how:

  •    NEW! Available with a new version of DerivaGem software—including two Excel applications, the Options Calculator and the Applications Builder
  •    Bridges the gap between theory and practice—a best-selling college text, and considered “the bible” by practitioners, it provides the latest information in the industry
  •    Provides the right balance of mathematical sophistication—careful attention to mathematics and notation
Offers outstanding ancillaries to round out the high quality of the teaching and learning package

Contenido:

Chapter 1.Introduction

 

1.1 Exchange-traded markets

1.2 Over-the-counter markets

1.3 Forward contracts

1.4 Futures contracts

1.5 Options

1.6 Types of traders

1.7 Hedgers

1.8 Speculators

1.9 Arbitrageurs

1.10 Dangers

Summary

Further reading

Practice questions

Further questions

 

Chapter 2.Mechanics of futures markets

 

2.1 Background

2.2 Specification of a futures contract

2.3 Convergence of futures price to spot price

2.4 The operation of margin accounts

2.5 OTC markets

2.6 Market quotes

2.7 Delivery

2.8 Types of traders and types of orders

2.9 Regulation

2.10 Accounting and tax

Summary

Further reading

Practice questions

Further questions

 

Chapter 3.Hedging strategies using futures

 

3.1 Basic principles

3.2 Arguments for and against hedging

3.3 Basis risk

3.4 Cross hedging

3.5 Stock index futures

3.6 Stack and roll

Summary

Further reading

Practice questions

Further questions

Appendix: Capital asset pricing model

 

Chapter 4.Interest rates

 

4.1 Types of rates

4.2 Measuring interest rates

4.3 Zero rates

4.4 Bond pricing

4.5 Determining Treasury zero rates

4.6 Forward rates

4.7 Forward rate agreements

4.8 Duration

4.9 Convexity

4.10 Theories of the term structure of interest rates

Summary

Further reading

Practice questions

Further questions

 

Chapter 5.Determination of forward and futures prices

 

5.1 Investment assets vs. consumption assets

5.2 Short selling

5.3 Assumptions and notation

5.4 Forward price for an investment asset

5.5 Known income

5.6 Known yield

5.7 Valuing forward contracts

5.8 Are forward prices and futures prices equal?

5.9 Futures prices of stock indices

5.10 Forward and futures contracts on currencies

5.11 Futures on commodities

5.12 The cost of carry

5.13 Delivery options

5.14 Futures prices and expected future spot prices

Summary

Further reading

Practice questions

Further questions

 

Chapter 6.Interest rate futures

 

6.1 Day count and quotation conventions

6.2 Treasury bond futures

6.3 Eurodollar futures

6.4 Duration-based hedging strategies using futures

6.5 Hedging portfolios of assets and liabilities

Summary

Further reading

Practice questions

Further questions

 

Chapter 7.Swaps

 

7.1 Mechanics of interest rate swaps

7.2 Day count issues

7.3 Confirmations

7.4 The comparative-advantage argument

7.5 The nature of swap rates

7.6 Determining LIBOR/swap zero rates

7.7 Valuation of interest rate swaps

7.8 Term structure effects

7.9 Fixed-for-fixed currency swaps

7.10 Valuation of fixed-for-fixed currency swaps

7.11 Other currency swaps

7.12 Credit risk

7.13 Other types of swaps

Summary

Further reading

Practice questions

Further questions

 

Chapter 8.Securitization and the credit crisis of 2007

 

8.1 Securitization

8.2 The US housing market

8.3 What went wrong?

8.4 The aftermath

Summary

Further reading

Practice questions

Further questions

 

Chapter 9.OIS discounting, credit issues, and funding costs

 

9.1 The risk-free rate

9.2 The OIS rate

9.3 Valuing swaps and FRAs with OIS discounting

9.4 OIS vs. LIBOR: Which is correct?

9.5 Credit risk: CVA and DVA

9.6 Funding costs

Summary

Further reading

Practice questions

Further questions

 

Chapter 10.Mechanics of options markets

 

10.1 Types of options

10.2 Option positions

10.3 Underlying assets

10.4 Specification of stock options

10.5 Trading

10.6 Commissions

10.7 Margin requirements

10.8 The options clearing corporation

10.9 Regulation

10.10 Taxation

10.11 Warrants, employee stock options, and convertibles

10.12 Over-the-counter options markets

Summary

Further reading

Practice questions

Further questions

 

Chapter 11.Properties of stock options

 

11.1 Factors affecting option prices

11.2 Assumptions and notation

11.3 Upper and lower bounds for option prices

11.4 Put–call parity

11.5 Calls on a non-dividend-paying stock

11.6 Puts on a non-dividend-paying stock

11.7 Effect of dividends

Summary

Further reading

Practice questions

Further questions

 

Chapter 12.Trading strategies involving options

 

12.1 Principal-protected notes

12.2 Trading an option and the underlying asset

12.3 Spreads

12.4 Combinations

12.5 Other payoffs

Summary

Further reading

Practice questions

Further questions

 

Chapter 13.Binomial trees

 

13.1 A one-step binomial model and a no-arbitrage argument

13.2 Risk-neutral valuation

13.3 Two-step binomial trees

13.4 A put example

13.5 American options

13.6 Delta

13.7 Matching volatility with u and d

13.8 The binomial tree formulas

13.9 Increasing the number of steps

13.10 Using DerivaGem

13.11 Options on other assets

Summary

Further reading

Practice questions

Further questions

Appendix: Derivation of the Black–Scholes–Merton option-pricing formula from a binomial tree

 

Chapter 14.Wiener processes and Itô’s lemma

 

14.1 The Markov property

14.2 Continuous-time stochastic processes

14.3 The process for a stock price

14.4 The parameters

14.5 Correlated processes

14.6 Itô’s lemma

14.7 The lognormal property

Summary

Further reading

Practice questions

Further questions

Appendix: Derivation of Itô’s lemma

 

Chapter 15.The Black–Scholes–Merton model

 

15.1 Lognormal property of stock prices

15.2 The distribution of the rate of return

15.3 The expected return

15.4 Volatility

15.5 The idea underlying the Black–Scholes–Merton differential equation

15.6 Derivation of the Black–Scholes–Merton differential equation

15.7 Risk-neutral valuation

15.8 Black–Scholes–Merton pricing formulas

15.9 Cumulative normal distribution function

15.10 Warrants and employee stock options

15.11 Implied volatilities

15.12 Dividends

Summary

Further reading

Practice questions

Further questions

Appendix: Proof of Black–Scholes–Merton formula using risk-neutral valuation

 

Chapter 16.Employee stock options

 

16.1 Contractual arrangements

16.2 Do options align the interests of shareholders and managers?

16.3 Accounting issues

16.4 Valuation

16.5 Backdating scandals

Summary

Further reading

Practice questions

Further questions

 

Chapter 17.Options on stock indices and currencies

 

17.1 Options on stock indices

17.2 Currency options

17.3 Options on stocks paying known dividend yields

17.4 Valuation of European stock index options

17.5 Valuation of European currency options

17.6 American options

Summary

Further reading

Practice questions

Further questions

 

Chapter 18.Futures options

 

18.1 Nature of futures options

18.2 Reasons for the popularity of futures options

18.3 European spot and futures options

18.4 Put–call parity

18.5 Bounds for futures options

18.6 Valuation of futures options using binomial trees

18.7 Drift of a futures price in a risk-neutral world

18.8 Black’s model for valuing futures options

18.9 American futures options vs. American spot options

18.10 Futures-style options

Summary

Further reading

Practice questions

Further questions

 

Chapter 19.The Greek letters

 

19.1 Illustration

19.2 Naked and covered positions

19.3 A stop-loss strategy

19.4 Delta hedging

19.5 Theta

19.6 Gamma

19.7 Relationship between delta, theta, and gamma

19.8 Vega

19.9 Rho

19.10 The realities of hedging

19.11 Scenario analysis

19.12 Extension of formulas

19.13 Portfolio insurance

19.14 Stock market volatility

Summary

Further reading

Practice questions

Further questions

Appendix: Taylor series expansions and hedge parameters

 

Chapter 20.Volatility smiles

 

20.1 Why the volatility smile is the same for calls and puts

20.2 Foreign currency options

20.3 Equity options

20.4 Alternative ways of characterizing the volatility smile

20.5 The volatility term structure and volatility surfaces

20.6 Greek letters

20.7 The role of the model

20.8 When a single large jump is anticipated

Summary

Further reading

Practice questions

Further questions

Appendix: Determining implied risk-neutral distributions from volatility smiles

 

Chapter 21.Basic numerical procedures

 

21.1 Binomial trees

21.2 Using the binomial tree for options on indices, currencies, and futures contracts

21.3 Binomial model for a dividend-paying stock

21.4 Alternative procedures for constructing trees

21.5 Time-dependent parameters

21.6 Monte Carlo simulation

21.7 Variance reduction procedures

21.8 Finite difference methods

Summary

Further reading

Practice questions

Further questions

 

Chapter 22.Value at risk

 

22.1 The VaR measure

22.2 Historical simulation

22.3 Model-building approach

22.4 The linear model

22.5 The quadratic model

22.6 Monte Carlo simulation

22.7 Comparison of approaches

22.8 Stress testing and back testing

22.9 Principal components analysis

Summary

Further reading

Practice questions

Further questions

 

Chapter 23.Estimating volatilities and correlations

 

23.1 Estimating volatility

23.2 The exponentially weighted moving average model

23.3 The GARCH (1,1) model

23.4 Choosing between the models

23.5 Maximum likelihood methods

23.6 Using GARCH (1,1) to forecast future volatility

23.7 Correlations

23.8 Application of EWMA to four-index example

Summary

Further reading

Practice questions

Further questions

 

Chapter 24.Credit risk

 

24.1 Credit ratings

24.2 Historical default probabilities

24.3 Recovery rates

24.4 Estimating default probabilities from bond yield spreads

24.5 Comparison of default probability estimates

24.6 Using equity prices to estimate default probabilities

24.7 Credit risk in derivatives transactions

24.8 Default correlation

24.9 Credit VaR

Summary

Further reading

Practice questions

Further questions

 

Chapter 25.Credit derivatives

 

25.1 Credit default swaps

25.2 Valuation of credit default swaps

25.3 Credit indices

25.4 The use of ?xed coupons

25.5 CDS forwards and options

25.6 Basket credit default swaps

25.7 Total return swaps

25.8 Collateralized debt obligations

25.9 Role of correlation in a basket CDS and CDO

25.10 Valuation of a synthetic CDO

25.11 Alternatives to the standard market model

Summary

Further reading

Practice questions

Further questions

 

Chapter 26.Exoticoptions

 

26.1 Packages

26.2 Perpetual American call and put options

26.3 Nonstandard American options

26.4 Gap options

26.5 Forward start options

26.6 Cliquet options

26.7 Compound options

26.8 Chooser options

26.9 Barrier options

26.10 Binary options

26.11 Lookback options

26.12 Shout options

26.13 Asian options

26.14 Options to exchange one asset for another

26.15 Options involving several assets

26.16 Volatility and variance swaps

26.17 Static options replication

Summary

Further reading

Practice questions

Further questions

 

Chapter 27.More on models and numerical procedures

 

27.1 Alternatives to Black–Scholes–Merton

27.2 Stochastic volatility models

27.3 The IVF model

27.4 Convertible bonds

27.5 Path-dependent derivatives

27.6 Barrier options

27.7 Options on two correlated assets

27.8 Monte Carlo simulation and American options

Summary

Further reading

Practice questions

Further questions

 

Chapter 28.Martingales and measures

 

28.1 The market price of risk

28.2 Several state variables

28.3 Martingales

28.4 Alternative choices for the numeraire

28.5 Extension to several factors

28.6 Black’s model revisited

28.7 Option to exchange one asset for another

28.8 Change of numeraire

Summary

Further reading

Practice questions

Further questions

 

Chapter 29.Interest rate derivatives: The standard market models

 

29.1 Bond options

29.2 Interest rate caps and ?oors

29.3 European swap options

29.4 OIS discounting

29.5 Hedging interest rate derivatives

Summary

Further reading

Practice questions

Further questions

 

Chapter 30.Convexity, timing, and quanto adjustments

 

30.1 Convexity adjustments

30.2 Timing adjustments

30.3 Quantos

Summary

Further reading

Practice questions

Further questions

Appendix: Proof of the convexity adjustment formula

 

Chapter 31.Interest rate derivatives: Models of the short rate

 

31.1 Background

31.2 Equilibrium models

31.3 No-arbitrage models

31.4 Options on bonds

31.5 Volatility structures

31.6 Interest rate trees

31.7 A general tree-building procedure

31.8 Calibration

31.9 Hedging using a one-factor model

Summary

Further reading

Practice questions

Further questions

 

Chapter 32.HJM, LMM, and multiple zero curves

 

32.1 The Heath, Jarrow, and Morton model

32.2 The LIBOR market model

32.3 Handling multiple zero curves

32.4 Agency mortgage-backed securities

Summary

Further reading

Practice questions

Further questions

 

Chapter 33.Swaps Revisited

 

33.1 Variations on the vanilla deal

33.2 Compounding swaps

33.3 Currency swaps

33.4 More complex swaps

33.5 Equity swaps

33.6 Swaps with embedded options

33.7 Other swaps

Summary

Further reading

Practice questions

Further questions

 

Chapter 34.Energy and commodity derivatives

 

34.1 Agricultural commodities

34.2 Metals

34.3 Energy products

34.4 Modeling commodity prices

34.5 Weather derivatives

34.6 Insurance derivatives

34.7 Pricing weather and insurance derivatives

34.8 How an energy producer can hedge risks

Summary

Further reading

Practice questions

Further questions

 

Chapter 35.Real options

 

35.1 Capital investment appraisal

35.2 Extension of the risk-neutral valuation framework

35.3 Estimating the market price of risk

35.4 Application to the valuation of a business

35.5 Evaluating options in an investment opportunity

Summary

Further reading

Practice questions

Further questions

 

Chapter 36.Derivatives mishaps and what we can learn from them

 

36.1 Lessons for all users of derivatives

36.2 Lessons for financial institutions

36.3 Lessons for nonfinancial corporations

Summary

Further reading

DerivaGem software

Major exchanges trading futures and options

Tables for N(x)

Author index

Subject index