Options, Futures and Other Derivatives: Middle East, Asia, Africa, Eastern Europe Edition
Autor John C. Hullen Limba Engleză Mixed media product – 29 feb 2008
Designed to bridge the gap between theory and practice, this highly successful book is regarded is the standard reference on trading floors and in academic classrooms throughout the world.
(This International Markets Edition of Hull is selling into Middle East, Africa, South Africa and Eastern Europe - if you are not in these regions please refer to the following ISBN: 9780136015864)
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Specificații
ISBN-13: 9780135009949
ISBN-10: 0135009944
Pagini: 848
Dimensiuni: 203 x 254 mm
Greutate: 1.31 kg
Ediția:7Nouă
Editura: Pearson Education
Colecția Pearson Education
Locul publicării:Upper Saddle River, United States
ISBN-10: 0135009944
Pagini: 848
Dimensiuni: 203 x 254 mm
Greutate: 1.31 kg
Ediția:7Nouă
Editura: Pearson Education
Colecția Pearson Education
Locul publicării:Upper Saddle River, United States
Cuprins
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. Derivatives Markets in Developing Countries
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
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
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. Derivatives Markets in Developing Countries
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
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
Caracteristici
For undergraduate and graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.
Designed to bridge the gap between theory and practice, this highly successful book is regarded is the standard reference on trading floors and in academic classrooms throughout the world.
Minimizes Unnecessary Mathematical Complexity
One of the key decisions that must be made by an author who is writing in the area of derivatives concerns the use of mathematics. If the level of mathematical sophistication is too high, the material is likely to be inaccessible to many students and practitioners. If it is too low, some important issues will inevitably be treated in a rather superficial way.
• Nonessential mathematical material has been either eliminated or included in end-of-chapter appendices and the technical notes on my website.
• Concepts that are likely to be new to many readers have been explained carefully, and many numerical examples have been included.
Software
Version 1.5101 of DerivaGem is included with this book. This consists of two Excel applications: the Options Calculator and the Applications Builder.
• The Options Calculator - Consists of easy-to-use software for valuing a wide range of options.
• The Applications Builder - consists of a number of Excel functions from which users can build their own applications. It includes a number of sample applications and enables students to explore the properties of options and numerical procedures more easily. It also allows more interesting assignments to be designed.
Designed to bridge the gap between theory and practice, this highly successful book is regarded is the standard reference on trading floors and in academic classrooms throughout the world.
Minimizes Unnecessary Mathematical Complexity
One of the key decisions that must be made by an author who is writing in the area of derivatives concerns the use of mathematics. If the level of mathematical sophistication is too high, the material is likely to be inaccessible to many students and practitioners. If it is too low, some important issues will inevitably be treated in a rather superficial way.
• Nonessential mathematical material has been either eliminated or included in end-of-chapter appendices and the technical notes on my website.
• Concepts that are likely to be new to many readers have been explained carefully, and many numerical examples have been included.
Software
Version 1.5101 of DerivaGem is included with this book. This consists of two Excel applications: the Options Calculator and the Applications Builder.
• The Options Calculator - Consists of easy-to-use software for valuing a wide range of options.
• The Applications Builder - consists of a number of Excel functions from which users can build their own applications. It includes a number of sample applications and enables students to explore the properties of options and numerical procedures more easily. It also allows more interesting assignments to be designed.
Caracteristici noi
Derivatives Markets in Developing Countries
A new chapter 14, Derivatives Markets in Developing Countries,discusses the progress derivatives markets have made in developing countries since 2000 and suggests that these markets will become increasingly important in the years to come.
Credit Derivatives Extensively Revised
The chapter on credit derivatives (Chapter 23 in the new edition) has been largely rewritten. Before covering CDOs it discusses subprime mortgage lending in the US, the different types of asset-backed securities that were used for securitization, and the current credit crisis. This material can be used without the material in the rest of the chapter to cover the subprime crisis. For instructors who want to talk about the valuations of ABSs and CDOs, the Gaussian copula model is explained in more detail than in the sixth edition and a Gaussian quadrature Excel spreadsheet is provided to help students implement the model. (The material on convertibles has been moved from the credit derivatives chapter to Chapter 26.)
Reorganization for Better Flow
Options on futures are now covered in a separate chapter from options on indices and currencies. (See Chapters 15 and 16). There has also been some restructuring of the material. Chapter 15, which covers options on indices and currencies, first gives examples of how index and currency options can be used and then covers valuation issues. This makes the chapter flow better. Chapter 16, which covers options on futures, provides more details on how Black's model is used as an alternative to Black--Scholes for valuing a wide range of European options.
Restructuring of Chapter 17, Greek Letters
Chapter 17, which covers Greek letters, has also been restructured. Delta, gamma, theta, vega, etc are explained in the context of an option on a non-dividend paying stock. Formulas for the Greek letters for other types of options are given in a table toward the end of the chapter. This approach to teaching the material has been found to work well.
Consistency with CFA Exam
Issues associated with tailing the hedge are covered in Chapter 3. This resolves some minor inconsistencies between formulas in the book and those used in CFA exams.
Other New Topics
• The VIX volatility index is explained in 24
• Variance swaps (including their valuation) are covered in Chapter 24
• How transactions involving index credit spreads work is explained in detail in Chapter 23
• There is more material on volatility smiles in Chapter 18 including an explanation (with a numerical example) of how an implied probability distribution can be calculated from implied volatilities.
• Lookback options are covered in more detail in Chapter 24 with fixed lookbacks being distinguished from floating lookbacks.
• Futures-style options are covered in Chapter 16
Revisions to Supplements
• A new release of the widely acclaimed software, DerivaGem, is included with the book (Version 1.52). An installation routine is now provided with the software. This ensures that files are loaded into the correct directories, creates icons, and makes it easier for students to use the software.
• Solutions to end-of-chapter Questions and Problems are in the Solutions Manual. The Instructors Manual has been restructured so that it contains the answers to both Questions and Problems and Assignment Questions. (Both Manuals are written by the author.) For ease of reference the end-of-chapter questions, as well as the answers, are given in the Manuals.
• Several hundred PowerPoint slides (prepared by the author) have been updated and will be provided with the book.
A new chapter 14, Derivatives Markets in Developing Countries,discusses the progress derivatives markets have made in developing countries since 2000 and suggests that these markets will become increasingly important in the years to come.
Credit Derivatives Extensively Revised
The chapter on credit derivatives (Chapter 23 in the new edition) has been largely rewritten. Before covering CDOs it discusses subprime mortgage lending in the US, the different types of asset-backed securities that were used for securitization, and the current credit crisis. This material can be used without the material in the rest of the chapter to cover the subprime crisis. For instructors who want to talk about the valuations of ABSs and CDOs, the Gaussian copula model is explained in more detail than in the sixth edition and a Gaussian quadrature Excel spreadsheet is provided to help students implement the model. (The material on convertibles has been moved from the credit derivatives chapter to Chapter 26.)
Reorganization for Better Flow
Options on futures are now covered in a separate chapter from options on indices and currencies. (See Chapters 15 and 16). There has also been some restructuring of the material. Chapter 15, which covers options on indices and currencies, first gives examples of how index and currency options can be used and then covers valuation issues. This makes the chapter flow better. Chapter 16, which covers options on futures, provides more details on how Black's model is used as an alternative to Black--Scholes for valuing a wide range of European options.
Restructuring of Chapter 17, Greek Letters
Chapter 17, which covers Greek letters, has also been restructured. Delta, gamma, theta, vega, etc are explained in the context of an option on a non-dividend paying stock. Formulas for the Greek letters for other types of options are given in a table toward the end of the chapter. This approach to teaching the material has been found to work well.
Consistency with CFA Exam
Issues associated with tailing the hedge are covered in Chapter 3. This resolves some minor inconsistencies between formulas in the book and those used in CFA exams.
Other New Topics
• The VIX volatility index is explained in 24
• Variance swaps (including their valuation) are covered in Chapter 24
• How transactions involving index credit spreads work is explained in detail in Chapter 23
• There is more material on volatility smiles in Chapter 18 including an explanation (with a numerical example) of how an implied probability distribution can be calculated from implied volatilities.
• Lookback options are covered in more detail in Chapter 24 with fixed lookbacks being distinguished from floating lookbacks.
• Futures-style options are covered in Chapter 16
Revisions to Supplements
• A new release of the widely acclaimed software, DerivaGem, is included with the book (Version 1.52). An installation routine is now provided with the software. This ensures that files are loaded into the correct directories, creates icons, and makes it easier for students to use the software.
• Solutions to end-of-chapter Questions and Problems are in the Solutions Manual. The Instructors Manual has been restructured so that it contains the answers to both Questions and Problems and Assignment Questions. (Both Manuals are written by the author.) For ease of reference the end-of-chapter questions, as well as the answers, are given in the Manuals.
• Several hundred PowerPoint slides (prepared by the author) have been updated and will be provided with the book.