Options, Futures, and Other Derivatives

For courses in business, economics, and financial engineering and mathematics.

The definitive guide to derivatives markets, updated with contemporary examples and discussions

Known as “the bible” to business and economics professionals and a consistent best-seller, Options, Futures, and Other Derivatives gives readers a modern look at derivatives markets. By incorporating the industry’s hottest topics, such as the securitization and credit crisis, author John C. Hull helps bridge the gap between theory and practice. The 10th Edition covers all of the latest regulations and trends, including the Black-Scholes-Merton formulas, overnight indexed swaps, and the valuation of commodity derivatives.

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.

List of Business Snapshots

List of Technical Notes

Preface

 

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

 

Glossary of terms

DerivaGem software

Major exchanges trading futures and options

Tables for N (x)

Author index

Subject index