Atjaunināt sīkdatņu piekrišanu

Fundamentals of Futures and Options Markets 9th edition [Hardback]

3.84/5 (167 ratings by Goodreads)
  • Formāts: Hardback, 624 pages, height x width x depth: 100x100x100 mm, weight: 100 g
  • Izdošanas datums: 03-Jun-2016
  • Izdevniecība: Pearson
  • ISBN-10: 0134083245
  • ISBN-13: 9780134083247
Citas grāmatas par šo tēmu:
  • Hardback
  • Cena: 308,30 €
  • Grāmatu piegādes laiks ir 3-4 nedēļas, ja grāmata ir uz vietas izdevniecības noliktavā. Ja izdevējam nepieciešams publicēt jaunu tirāžu, grāmatas piegāde var aizkavēties.
  • Daudzums:
  • Ielikt grozā
  • Piegādes laiks - 4-6 nedēļas
  • Pievienot vēlmju sarakstam
Fundamentals of Futures and Options Markets 9th editionPalielināt
  • Formāts: Hardback, 624 pages, height x width x depth: 100x100x100 mm, weight: 100 g
  • Izdošanas datums: 03-Jun-2016
  • Izdevniecība: Pearson
  • ISBN-10: 0134083245
  • ISBN-13: 9780134083247
Citas grāmatas par šo tēmu:
Permanent link: https://www.kriso.lv/db/9780134083247.html
Keywords:

For courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.

 

An Easily Understandable Introduction to Futures and Options Markets

Fundamentals of Futures and Options Markets covers much of the same material as Hull’s acclaimed title,Options, Futures, and Other Derivatives . However, this text simplifies the language for a less mathematically sophisticated audience. Omitting calculus completely, the book is suitable for any graduate or undergraduate course in business, economics, and other faculties.

 

The Ninth Edition has a flexible structure that can be used for any course length. Instructors can choose to cover only the first 12 chapters, finishing with binomial trees, or to cover chapters 13-25 in a variety of different sequences. Each chapter from 18 onwards can be taught independently as its own unit. No matter how you elect to divide the material,Fundamentals of Futures and Options Markets offers a wide audience a sound and easy-to-grasp introduction into financial mathematics.

Preface xv
Chapter 1 Introduction 1(23)
1.1 Futures Contracts
1(1)
1.2 History of Futures Markets
2(2)
1.3 The Over-the-Counter Market
4(2)
1.4 Forward Contracts
6(1)
1.5 Options
7(3)
1.6 History of Options Markets
10(1)
1.7 Types of Trader
11(1)
1.8 Hedgers
11(3)
1.9 Speculators
14(3)
1.10 Arbitrageurs
17(1)
1.11 Dangers
18(1)
Summary
18(2)
Further Reading
20(1)
Quiz
20(1)
Practice Questions
20(2)
Further Questions
22(2)
Chapter 2 Futures Markets and Central Counterparties 24(25)
2.1 Opening and Closing Futures Positions
24(1)
2.2 Specification of a Futures Contract
25(3)
2.3 Convergence of Futures Price to Spot Price
28(1)
2.4 The Operation of Margin Accounts
29(3)
2.5 OTC Markets
32(3)
2.6 Market Quotes
35(2)
2.7 Delivery
37(1)
2.8 Types of Trader and Types of Order
38(1)
2.9 Regulation
39(1)
2.10 Accounting and Tax
40(2)
2.11 Forward vs. Futures Contracts
42(2)
Summary
44(1)
Further Reading
45(1)
Quiz
45(1)
Practice Questions
46(1)
Further Questions
47(2)
Chapter 3 Hedging Strategies Using Futures 49(32)
3.1 Basic Principles
49(3)
3.2 Arguments for and Against Hedging
52(3)
3.3 Basis Risk
55(4)
3.4 Cross Hedging
59(4)
3.5 Stock Index Futures
63(6)
3.6 Stack and Roll
69(1)
Summary
70(2)
Further Reading
72(1)
Quiz
72(1)
Practice Questions
73(1)
Further Questions
74(2)
Appendix: Review of Key Concepts in Statistics and the CAPM
76(5)
Chapter 4 Interest Rates 81(26)
4.1 Types of Rates
81(2)
4.2 Swap Rates
83(1)
4.3 The Risk-Free Rate
84(1)
4.4 Measuring Interest Rates
85(2)
4.5 Zero Rates
87(1)
4.6 Bond Pricing
88(1)
4.7 Determining Zero Rates
89(4)
4.8 Forward Rates
93(2)
4.9 Forward Rate Agreements
95(2)
4.10 Theories of the Term Structure of Interest Rates
97(3)
Summary
100(1)
Further Reading
101(1)
Quiz
101(1)
Practice Questions
102(1)
Further Questions
103(2)
Appendix: Exponential and Logarithmic Functions
105(2)
Chapter 5 Determination of Forward and Futures Prices 107(29)
5.1 Investment Assets vs. Consumption Assets
107(1)
5.2 Short Selling
108(1)
5.3 Assumptions and Notation
109(1)
5.4 Forward Price for an Investment Asset
110(3)
5.5 Known Income
113(2)
5.6 Known Yield
115(1)
5.7 Valuing Forward Contracts
115(3)
5.8 Are Forward Prices and Futures Prices Equal?
118(1)
5.9 Futures Prices of Stock Indices
118(3)
5.10 Forward and Futures Contracts on Currencies
121(3)
5.11 Futures on Commodities
124(3)
5.12 The Cost of Carry
127(1)
5.13 Delivery Options
127(1)
5.14 Futures Prices and Expected Spot Prices
128(2)
Summary
130(1)
Further Reading
131(1)
Quiz
132(1)
Practice Questions
132(2)
Further Questions
134(2)
Chapter 6 Interest Rate Futures 136(25)
6.1 Day Count and Quotation Conventions
136(3)
6.2 Treasury Bond Futures
139(4)
6.3 Eurodollar Futures
143(5)
6.4 Duration
148(4)
6.5 Duration-Based Hedging Strategies Using Futures
152(4)
Summary
156(1)
Further Reading
157(1)
Quiz
157(1)
Practice Questions
158(1)
Further Questions
159(2)
Chapter 7 Swaps 161(29)
7.1 Mechanics of Interest Rate Swaps
162(5)
7.2 Day Count Issues
167(1)
7.3 Confirmations
167(1)
7.4 The Comparative-Advantage Argument
168(3)
7.5 Valuation of Interest Rate Swaps
171(3)
7.6 How the Value Changes through Time
174(1)
7.7 Fixed-for-Fixed Currency Swaps
175(3)
7.8 Valuation of Fixed-for-Fixed Currency Swaps
178(2)
7.9 Other Currency Swaps
180(1)
7.10 Credit Risk
181(1)
7.11 Credit Default Swaps
182(1)
7.12 Other Types of Swaps
183(1)
Summary
184(1)
Further Reading
185(1)
Quiz
185(1)
Practice Questions
186(2)
Further Questions
188(2)
Chapter 8 Securitization and the Credit Crisis of 2007 190(15)
8.1 Securitization
190(4)
8.2 The U.S. Housing Market
194(4)
8.3 What Went Wrong?
198(2)
8.4 The Aftermath
200(2)
Summary
202(1)
Further Reading
202(1)
Quiz
203(1)
Practice Questions
203(1)
Further Questions
204(1)
Chapter 9 Mechanics of Options Markets 205(22)
9.1 Types of Option
205(3)
9.2 Option Positions
208(2)
9.3 Underlying Assets
210(1)
9.4 Specification of Stock Options
211(4)
9.5 Trading
215(1)
9.6 Commissions
216(1)
9.7 Margin Requirements
217(2)
9.8 The Options Clearing Corporation
219(1)
9.9 Regulation
220(1)
9.10 Taxation
220(1)
9.11 Warrants, Employee Stock Options, and Convertibles
221(1)
9.12 Over-the-Counter Options Markets
222(1)
Summary
223(1)
Further Reading
223(1)
Quiz
224(1)
Practice Questions
224(1)
Further Questions
225(2)
Chapter 10 Properties of Stock Options 227(22)
10.1 Factors Affecting Option Prices
227(4)
10.2 Assumptions and Notation
231(1)
10.3 Upper and Lower Bounds for Option Prices
232(3)
10.4 Put-Call Parity
235(4)
10.5 Calls on a Non-Dividend-Paying Stock
239(2)
10.6 Puts on a Non-Dividend-Paying Stock
241(2)
10.7 Effect of Dividends
243(1)
Summary
244(1)
Further Reading
245(1)
Quiz
245(1)
Practice Questions
246(1)
Further Questions
247(2)
Chapter 11 Trading Strategies Involving Options 249(19)
11.1 Principal-Protected Notes
249(2)
11.2 Strategies Involving a Single Option and a Stock
251(2)
11.3 Spreads
253(8)
11.4 Combinations
261(3)
11.5 Other Payoffs
264(1)
Summary
264(1)
Further Reading
265(1)
Quiz
265(1)
Practice Questions
266(1)
Further Questions
266(2)
Chapter 12 Introduction to Binomial Trees 268(25)
12.1 A One-Step Binomial Model and a No-Arbitrage Argument
268(4)
12.2 Risk-Neutral Valuation
272(2)
12.3 Two-Step Binomial Trees
274(3)
12.4 A Put Example
277(1)
12.5 American Options
278(1)
12.6 Delta
279(1)
12.7 Determining u and d
280(1)
12.8 Increasing the Number of Time Steps
281(1)
12.9 Using DerivaGem
282(1)
12.10 Options on Other Assets
282(5)
Summary
287(1)
Further Reading
287(1)
Quiz
287(1)
Practice Questions
288(1)
Further Questions
289(2)
Appendix: Derivation of the Black-Scholes-Merton Option Pricing Formula from Binomial Tree
291(2)
Chapter 13 Valuing Stock Options: The Black-Scholes-Merton Model 293(25)
13.1 Assumptions about How Stock Prices Evolve
294(3)
13.2 Expected Return
297(1)
13.3 Volatility
298(1)
13.4 Estimating Volatility from Historical Data
299(2)
13.5 Assumptions Underlying Black-Scholes-Merton
301(1)
13.6 The Key No-Arbitrage Argument
302(2)
13.7 The Black-Scholes-Merton Pricing Formulas
304(2)
13.8 Risk-Neutral Valuation
306(1)
13.9 Implied Volatilities
307(2)
13.10 Dividends
309(2)
Summary
311(1)
Further Reading
312(1)
Quiz
313(1)
Practice Questions
313(2)
Further Questions
315(1)
Appendix: The Early Exercise of American Call Options on Dividend-Paying Stocks
316(2)
Chapter 14 Employee Stock Options 318(10)
14.1 Contractual Arrangements
318(2)
14.2 Do Options Align the Interests of Shareholders and Managers?
320(1)
14.3 Accounting Issues
321(2)
14.4 Valuation
323(1)
14.5 Backdating Scandals
324(1)
Summary
325(1)
Further Reading
326(1)
Quiz
326(1)
Practice Questions
327(1)
Further Questions
327(1)
Chapter 15 Options on Stock Indices and Currencies 328(16)
15.1 Options on Stock Indices
328(3)
15.2 Currency Options
331(2)
15.3 Options on Stocks Paying Known Dividend Yields
333(2)
15.4 Valuation of European Stock Index Options
335(3)
15.5 Valuation of European Currency Options
338(1)
15.6 American Options
339(1)
Summary
340(1)
Further Reading
341(1)
Quiz
341(1)
Practice Questions
341(2)
Further Questions
343(1)
Chapter 16 Futures Options and Black's Model 344(15)
16.1 Nature of Futures Options
344(2)
16.2 Reasons for the Popularity of Futures Options
346(1)
16.3 European Spot and Futures Options
347(1)
16.4 Put-Call Parity
347(2)
16.5 Bounds for Futures Options
349(1)
16.6 A Futures Price as an Asset Providing a Yield
349(1)
16.7 Black's Model for Valuing Futures Options
350(1)
16.8 Using Black's Model Instead of Black-Scholes-Merton
350(1)
16.9 Valuation of Futures Options Using Binomial Trees
351(3)
16.10 American Futures Options vs. American Spot Options
354(1)
16.11 Futures-Style Options
354(1)
Summary
355(1)
Further Reading
356(1)
Quiz
356(1)
Practice Questions
356(1)
Further Questions
357(2)
Chapter 17 The Greek Letters 359(32)
17.1 Illustration
359(1)
17.2 Naked and Covered Positions
360(2)
17.3 Greek Letter Calculation
362(1)
17.4 Delta
363(6)
17.5 Theta
369(2)
17.6 Gamma
371(3)
17.7 Relationship Between Delta, Theta, and Gamma
374(4)
17.8 Vega
378
17.9 Rho
377(2)
17.10 The Realities of Hedging
379(1)
17.11 Scenario Analysis
379(1)
17.12 Extension of Formulas
380(2)
17.13 Creating Options Synthetically for Portfolio Insurance
382(3)
17.14 Stock Market Volatility
385(1)
Summary
385(2)
Further Reading
387(1)
Quiz
387(1)
Practice Questions
388(1)
Further Questions
389(2)
Chapter 18 Binomial Trees in Practice 391(22)
18.1 The Binomial Model for a Non-Dividend-Paying Stock
391(7)
18.2 Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts
398(3)
18.3 The Binomial Model for a Dividend-Paying Stock
401(4)
18.4 Extensions of the Basic Tree Approach
405(2)
18.5 Alternative Procedure for Constructing Trees
407(1)
18.6 Monte Carlo Simulation
407(2)
Summary
409(1)
Further Reading
410(1)
Quiz
410(1)
Practice Questions
411(1)
Further Questions
412(1)
Chapter 19 Volatility Smiles 413(15)
19.1 Foreign Currency Options
413(3)
19.2 Equity Options
416(2)
19.3 The Volatility Term Structure and Volatility Surfaces
418(2)
19.4 When a Single Large Jump Is Anticipated
420(1)
Summary
421(1)
Further Reading
422(1)
Quiz
423(1)
Practice Questions
423(1)
Further Questions
424(2)
Appendix: Why the Put Volatility Smile is the Same as the Call Volatility Smile
426(2)
Chapter 20 Value at Risk and Expected Shortfall 428(30)
20.1 The VaR and ES Measures
428(3)
20.2 Historical Simulation
431(5)
20.3 Model-Building Approach
436(3)
20.4 Generalization of Linear Model
439(5)
20.5 Quadratic Model
444(2)
20.6 Estimating Volatilities and Correlations
446(5)
20.7 Comparison of Approaches
451(1)
20.8 Back Testing
452(1)
Summary
452(1)
Further Reading
453(1)
Quiz
453(1)
Practice Questions
454(1)
Further Questions
455(3)
Chapter 21 Interest Rate Options 458(19)
21.1 Exchange-Traded Interest Rate Options
458(2)
21.2 Embedded Bond Options
460(1)
21.3 Black's Model
460(2)
21.4 European Bond Options
462(2)
21.5 Interest Rate Caps
464(5)
21.6 European Swap Options
469(3)
21.7 Term Structure Models
472(1)
Summary
473(1)
Further Reading
473(1)
Quiz
474(1)
Practice Questions
474(1)
Further Questions
475(2)
Chapter 22 Exotic Options and Other Nonstandard Products 477(19)
22.1 Exotic Options
477(7)
22.2 Agency Mortgage-Backed Securities
484(1)
22.3 Nonstandard Swaps
485(7)
Summary
492(1)
Further Reading
492(1)
Quiz
493(1)
Practice Questions
493(1)
Further Questions
494(2)
Chapter 23 Credit Derivatives 496(19)
23.1 Credit Default Swaps
497(4)
23.2 Valuation of Credit Default Swaps
501(4)
23.3 Total Return Swaps
505(1)
23.4 CDS Forwards and Options
506(1)
23.5 Credit Indices
507(1)
23.6 The Use of Fixed Coupons
507(2)
23.7 Collateralized Debt Obligations
509(2)
Summary
511(1)
Further Reading
512(1)
Quiz
512(1)
Practice Questions
513(1)
Further Questions
513(2)
Chapter 24 Weather, Energy, and Insurance Derivatives 515(8)
24.1 Weather Derivatives
515(1)
24.2 Energy Derivatives
516(3)
24.3 Insurance Derivatives
519(1)
Summary
520(1)
Further Reading
520(1)
Quiz
521(1)
Practice Questions
521(1)
Further Question
522(1)
Chapter 25 Derivatives Mishaps and What We Can Learn From Them 523(12)
25.1 Lessons for All Users of Derivatives
523(4)
25.2 Lessons for Financial Institutions
527(5)
25.3 Lessons for Nonfinancial Corporations
532(2)
Summary
534(1)
Further Reading
534(1)
Answers to Quiz Questions 535(24)
Glossary of Terms 559(18)
DerivaGem Software 577(4)
Major Exchanges Trading Futures and Options 581(1)
Table for N(x) When x < or = to 0 582(1)
Table for N(x) When x > or = to 0 583(2)
Index 585
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 Torontos prestigious Northrop Frye award.