0 avis
Options, futures and other derivatives / John C. Hull,...
Livre
Edité par Pearson/Prentice Hall. Upper Saddle River, N.J. - 2009 - 7th edition
His book is appropriate for graduate and advanced undergraduate elective courses in business, economics, and financial engineering. It is also suitable for practitioners who want to acquire a working knowledge of how derivatives can be analyzed. 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. In this book, great care has been taken in the use of mathematics. Nonessential mathematical material has been either eliminated or included in end-of-chapter appendices. Concepts that are likely to be new to many readers have been explained carefully, and many numerical examples have been included. This book provides a unifying approach to the valuation of all derivatives - not just futures and options. The book assumes that the reader has taken an introductory course in finance and an introductory course in probability and statistics. No prior knowledge of options, futures contracts, swaps, and so on is assumed. It is not therefore necessary for students to take an elective course in investments prior to taking a course based on this book.
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.
Autres documents dans la collection «Prentice Hall finance series»
Se procurer le document
Autre format
Issus de la même oeuvre
Suggestions
Du même auteur
Du même sujet
