Description
Book SynopsisJohn Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto (UofT). In 2016, he was awarded the title of University Professor (an honour granted to only 2% of faculty at UofT). He has acted as a consultant to many financial institutions around the world and has won many teaching awards, including UofT's prestigious Northrop Frye Award.
He is an internationally recognised authority on Derivatives and Risk Management and has many publications in this area. His work has an applied focus, with his research and teaching activities including risk management, regulation and machine learning, as well as derivatives. He is co-director of Rotman's Master in Finance and Master in Financial Risk Management Programs.
Table of ContentsList of Business Snapshots List of Technical Notes Preface
- Introduction
- Futures markets and central counterparties
- Hedging strategies using futures
- Interest rates
- Determination of forward and futures prices
- Interest rate futures
- Swaps
- Securitization and the financial crisis of 2007-8
- XVAs
- Mechanics of options markets
- Properties of stock options
- Trading strategies involving options
- Binomial trees
- Wiener processes and Itô's lemma
- The Black–Scholes–Merton model
- Employee stock options
- Options on stock indices and currencies
- Futures options and Black's model
- The Greek letters
- Volatility smiles and Volatility Surfaces
- Basic numerical procedures
- Value at risk and expected shortfall
- Estimating volatilities and correlations
- Credit risk
- Credit derivatives
- Exotic options
- More on models and numerical procedures
- Martingales and measures
- Interest rate derivatives: The standard market models
- Convexity, timing, and quanto adjustments
- Equilibrium models of the short rate
- No-arbitrage models of the short rate
- Modeling Forward Rates
- Swaps Revisited
- Energy and commodity derivatives
- Real options
- Derivatives mishaps and what we can learn from them
Glossary of terms DerivaGem software Major exchanges trading futures and options Tables for Nx Author Index Subject Index
