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Options, futures and other derivatives / John C. Hull.

By: Material type: TextTextPublication details: Upper Saddle River, NJ : Prentice Hall, c2009.Edition: 7th edDescription: xxii, 821 p. : ill. ; 26 cm. + 1 CD-ROM (4 3/4 in.)ISBN:
  • 9780135009949
Subject(s): DDC classification:
  • 332.645   22
Contents:
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.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Books Books Main library General Stacks 332.645 / HU.O 2009 (Browse shelf(Opens below)) 1 Available 002790

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.

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