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Options, Futures, and Other Derivatives (4th Edition)
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About Options, Futures, And Other Derivatives
Product Description This fourth edition provides a unifying approach to the valuation of all derivatives not just futures and options and includes new chapters on value at risk and estimating volatilities and correlations. Hull (Joseph L. Rotman School of Management, U. of Toronto) assumes that the reader has taken introductory courses in finance and probability and statistics. The disk includes Excel-based software called DerivaGem which can be used to calculate options prices, imply volatilities, and calculate Greek letters for options and interest rate derivatives. For graduate and advanced undergraduate elective courses in business, economics, and financial engineering. Annotation c. Book News, Inc., Portland, OR (booknews.com) From the Inside Flap Preface This book is appropriate for graduate and advanced undergraduate elective courses in business, economics, and financial engineering. It is also suitable for practitioners who want to acquire a working knowledge of how derivatives can be analyzed. 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. In this book, great care has been taken in the use of mathematics. Nonessential mathematical material has been either eliminated or included in end-of-chapter appendices. Concepts that are likely to be new to many readers have been explained carefully, and many numerical examples have been included. This book provides a unifying approach to the valuation of all derivatives - not just futures and options. The book assumes that the reader has taken an introductory course in finance and an introductory course in probability and statistics. No prior knowledge of options, futures contracts, swaps, and so on is assumed. It is not therefore necessary for students to take an elective course in investments prior to taking a course based on this book. Changes in This Edition This edition contains more material than the third edition. The material in the third edition has been updated and its presentation has been improved in a number of places. The major changes include: 1. A new chapter (chapter 14) has been included on value at risk. 2. A new chapter (chapter 15) has been included on estimating volatilities and correlations. GARCH models are covered in much more detail than in the third edition. 3. Chapter 19 contains much new material and explains the role played by martingales and measures in the valuation of derivatives. 4. Chapter 20 on the standard market models for valuing interest rate derivatives has been revised. It now uses the material in chapter 19 to provide a more complete discussion of the models for valuing bond options, caps, and swap options. 5. There are now two chapters on equilibrium and no-arbitrage models of the term structure (chapters 21 and 22). Chapter 21 covers equilibrium models and one-factor no-arbitrage models of the short rate. Chapter 22 covers two-factor models of the short rate, the HIM model, and the LIBOR market (BGM) model. 6. Chapter 4 on Interest Rates and Duration has been rewritten to make the material clearer and more relevant. 7. Chapter 23 on Credit Risk has been rewritten to reflect developments in this important area. 8. More material has been added on volatility smiles and volatility skews (chapter 17). 9. The sequencing of the material has been changed slightly. Volatility smiles and alternatives to Black-Scholes now appear before the chapter on exotic options, which in turn appears before the material on interest rate derivatives. 10. The notation has been improved and simplified. So and Fo are used to denote the asset price and the forward price today (that is, at time zero) and the cumbersome "T - t" no longer appe
