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.
Pearson offers affordable and accessible purchase options to meet the needs of your students. Connect with us to learn more. He is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus.
He has acted as a consultant to many financial institutions throughout the world and has won many teaching awards, including UofTs prestigious Northrop Frye award. His research and teaching activities include risk management, regulation, and machine learning, as well as derivatives.
We're sorry! We don't recognize your username or password. Please try again. The work is protected by local and international copyright laws and is provided solely for the use of instructors in teaching their courses and assessing student learning. You have successfully signed out and will be required to sign back in should you need to download more resources. Options, Futures, and Other Derivatives, 11th Edition. John C. Hull, University of Toronto.
Description For courses in business, economics, and financial engineering and mathematics. A delicate balance of m athematical s ophistication Nonessential mathematical material has been eliminated or included in end-of-chapter appendices and the technical notes on the authors website. Concepts that are likely to be new to many readers have been explained carefully. Coverage of the latest market trends keeps students abreast of key financial events Tables, charts, examples, and market data discussions have all been revisited to reflect current market conditions, including: NEW - Overnight reference rates that will replace LIBOR at the end of , and their impact on valuation models.
NEW - Rough volatility models which have in the last few years been found to fit volatility surfaces Chapter NEW - Machine learning in the pricing and hedging of derivatives. Accompanying DerivaGem software helps students get comfortable with the models in the text An Options Calculator helps students value a wide range of options. An Applications Builder enables instructors and students to build their own applications, using a variety of Excel functions.
Students can explore the properties of numerical procedures and options more effectively, and instructors can design more engaging assignments around custom applications. It also includes a number of sample applications. A Monte Carlo simulation worksheet illustrates how to use the simulation for valuing options. Practice-focused r esources help students overcome learning obstacles UPDATED End-of-chapter problems help students determine whether or not they understand key ideas.
Problems, which were previously based on LIBOR, have been replaced by examples based on the new reference rates or generic examples.
NEW - Short Concept Questions in the first 20 chapters help students determine whether they understand the key ideas theyve just covered. NEW - Solutions to all end-of-chapter problems and questions are now available on pearson. New to This Edition. A delicate balance of mathematical sophistication Numerical examples have been included for added clarity.
Coverage of the latest market trends keeps students abreast of key financial events Tables, charts, examples, and market data discussions have all been revisited to reflect current market conditions, including: Overnight reference rates that will replace LIBOR at the end of , and their impact on valuation models. Rough volatility models which have in the last few years been found to fit volatility surfaces Chapter Machine learning in the pricing and hedging of derivatives. The fractional Brownian motion in the discussion on Wiener processes.
Changes in the regulatory environment, including Basel IV. Practice-focused resources help students overcome learning obstacles End-of-chapter problems help students determine whether or not they understand key ideas.
Short Concept Questions in the first 20 chapters help students determine whether they understand the key ideas theyve just covered. Solutions to all end-of-chapter problems and questions are now available on pearson. Derivatives mishaps and what we can learn from them Glossary of terms DerivaGem software Major exchanges trading futures and options Tables for N x.
New to This Edition. Chapter 7 has been rewritten to improve presentation and reflect changing market practices in relation to swaps.
Chapter 31 provides details about equilibrium models of the term structure, which are widely used in long-term scenario analysis. Negative interest rates are now covered throughout the book to reflect a number of European and Asian markets. More detailed explanations give a fuller picture of the calculation of Greek letters and smile dynamics.
Discussion of the expected shortfall measure and stressed risk measures has been expanded to reflect their increasing use in regulation and risk management.
Increased coverage of the SABR model gives students a more firm grasp on stochastic volatility. Examples have been revisited to reflect current market conditions. Improved material on martingales and measures, tailing the hedge, bootstrap methods, and convertible bonds helps students better understand important concepts.
End-of-chapter problems have been expanded and revised. Introduction 2. Futures markets and central counterparties 3. Hedging strategies using futures 4. Interest rates 5. Determination of forward and futures prices 6. Interest rate futures 7. Swaps 8. Securitization and the credit crisis of 9. XVAs Mechanics of options markets Properties of stock options Trading strategies involving options Binomial trees The Black—Scholes—Merton model Employee stock options Options on stock indices and currencies The Greek letters Volatility smiles 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 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 N x Author index Subject index.
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