Options, Futures, and Other Derivatives with Derivagem CD, 7th Edition
by:
JOHN C HULL
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Publisher:
PRENTICE HALL,08.05.08
Category:
FINANCE Level: B/I/A
ISBN: 0136015867 ISBN13: 9780136015864

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PRESCRIBED TEXT FOR: FINM7041 AT ANU, SEMESTER 1 2010 FINS3635 AT UNSW, SEMESTER 2 2011
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 the top seller among both the academic audience and derivative practitioners around the world.
New To This Edition
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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 as the "bible" on trading floors and in academic classrooms throughout the world. NEW! Employee Stock Options A new chapter on employee stock options has been included in this text. Issues such as whether employee stock options align the interests of senior executives and shareholders, how the options should be valued, and backdating scandals are quite topical and students enjoy discussing them. NEW! Credit Derivatives Chapter 23 on credit derivatives has been expanded to include material on: · Subprime mortgages in the U.S.
· Assetbacked securities
· The credit crunch of 2007
· The valuation of CDO's
· The implementation of the Gaussian copula model
· Alternatives to the Gaussian copula model
OTHER TOPICS OF DISTINCTION * Options on futures are now covered in a separate chapter from options on indices and currencies. * Many new topics are covered. For example, I cover the VIX volatility index in Chapters 13 and 26, variance swaps in Chapter 26, Gaussian quadrature (for the implementation of the Gaussian copula model) in Chapter 23, how transactions involving index credit spreads work (Chapter 23), and more on volatility smiles (Chapter 18). * Endofchapter problems have been added. * Chapter 17 on Greek letters has been restructured with various letters now explained in the context of an option on a nondividend paying stock. * Chapter 4 now contains a more detailed description of liquidity preference theory and how banks manage net interest income. * The second argument of f is now the variance rather than the standard deviation of the distribution.
Features and Benefits
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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 as the "bible" on trading floors and in academic classrooms throughout the world. Mathematical Sophistication 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 endofchapter 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.
NEW! Employee Stock Options A new chapter on employee stock options has been included in this text. Issues such as whether employee stock options align the interests of senior executives and shareholders, how the options should be valued, and backdating scandals are quite topical and students enjoy discussing them. Credit Derivatives Chapter 23 on credit derivatives has been expanded to include material on: · Subprime mortgages in the U.S.
· Assetbacked securities
· The credit crunch of 2007
· The valuation of CDOs
· The implementation of the Gaussian copula model
· Alternatives to the Gaussian copula model
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 easytouse 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.
OTHER TOPICS OF DISTINCTION * Options on futures are now covered in a separate chapter from options on indices and currencies. * Many new topics are covered. For example, I cover the VIX volatility index in Chapters 13 and 26, variance swaps in Chapter 26, Gaussian quadrature (for the implementation of the Gaussian copula model) in Chapter 23, how transactions involving index credit spreads work (Chapter 23), and more on volatility smiles (Chapter 18). * Endofchapter problems have been added.
Table of Contents
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Preface 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 Itô's lemma 13.
The BlackScholesMerton Model 14.
Options on Stock Indices, Currencies, and Futures 15.
The Greek Letters 16.
Volatility Smiles 17.
Basic Numerical Procedures 18.
Value at Risk 19.
Estimating Volatilities and Correlations 20.
Credit Risk 21.
Credit Derivatives 22.
Exotic Options 23.
Weather, Energy, and Insurance Derivatives 24.
More on Models and Numerical Procedures 25.
Martingales and Measures 26.
Interest Rate Derivatives: The Standard Market Models 27.
Convexity, Timing, and Quanto Adjustments 28.
Interest Tate Derivatives: Models of the Short Rate 29.
Interest Rate Derivatives: HJM and LMM 30.
Swaps Revisited 31.
Real Options 32.
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
