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Options, futures, and other derivatives / John C. Hull.
Author
Hull, John, 1946-
[Browse]
Format
Book
Language
English
Εdition
Ninth edition.
Published/Created
Boston : Pearson, [2015]
©2015
Description
xxi, 869 pages : illustrations ; 27 cm
Availability
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Engineering Library - Stacks
HG6024.A3 H85 2015
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Details
Subject(s)
Futures
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Stock options
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Derivative securities
[Browse]
Futures market
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Restricted stock options
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Employee stock options
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Summary note
This textbook bridges the gap between theory and practice by providing a current look at the industry, a careful balance of mathematical sophistication, and an outstanding ancillary package that makes it accessible to a wide audience. Through its coverage of important topics such as the securitization and the credit crisis, the overnight indexed swap, the Black-Scholes-Merton formulas, and the way commodity prices are modeled and commodity derivatives valued, it helps students and practitioners alike keep up with the fast pace of change in today's derivatives markets.
Bibliographic references
Includes bibliographical references and indexes.
Contents
Introduction
Mechanics of futures markets
Hedging strategies using futures
Interest rates
Determination of forward and futures prices
Interest rate futures
Swaps
Securitization and the credit crisis of 2007
OIS discounting, credit issues, and funding costs
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
The Greek letters
Volatility smiles
Basic numerical procedures
Value at risk
Extimating 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
Interest rate derivatives: models of the short rate
HJM, LMM, and multiple zero curves
Swaps revisited
Energy and commodity derivatives
Real options
Derivatives mishaps and what we can learn from them.
Show 33 more Contents items
ISBN
9780133456318 ((hardcover))
0133456315 ((hardcover))
LCCN
2013042324
OCLC
862928890
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Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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