Options, Futures, and Other 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 NotesPreface  1. Introduction2. Futures markets and central counterparties3. Hedging strategies using futures 4. Interest rates 5. Determination of forward and futures prices6. Interest rate futures 7. Swaps 8. Securitization and the credit crisis of 2007 9. XVAs10. Mechanics of options markets 11. Properties of stock options12. Trading strategies involving options 13. Binomial trees 14. Wiener processes and Itô’s lemma 15. The Black—Scholes—Merton model16. Employee stock options 17. Options on stock indices and currencies 18. Futures options and Black’s model19. 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 options27. More on models and numerical procedures28. Martingales and measures 29. Interest rate derivatives: The standard market models30. Convexity, timing, and quanto adjustments31. Equilibrium models of the short rate 32. No-arbitrage models of the short rate 33. HJM, LMM, and multiple zero curves34. Swaps Revisited35. Energy and commodity derivatives 36. Real options 37. Derivatives mishaps and what we can learn from them  Glossary of terms DerivaGem softwareMajor exchanges trading futures and options Tables for N (x)Author indexSubject index