Options Futures and Other Derivatives 11e John C Hull

List of business snapshots ...................................................................................................15

List of technical notes .........................................................................................................16

Preface ...................................................................................................................................17

1. Introduction ..........................................................................................................................23

2. Futures markets and central counterparties ....................................................................46

3. Hedging strategies using futures .......................................................................................70

4. Interest rates .........................................................................................................................98

5. Determination of forward and futures prices ................................................................124

6. Interest rate futures ...........................................................................................................152

7. Swaps ...................................................................................................................................172

8. Securitization and the financial crisis of 2007–8 ...........................................................201

9. XVAs ...................................................................................................................................216

10. Mechanics of options markets ..........................................................................................227

11. Properties of stock options ...............................................................................................247

12. Trading strategies involving options ...............................................................................268

13. Binomial trees ....................................................................................................................288

14. Wiener processes and Itô’s lemma ..................................................................................316

15. The Black–Scholes–Merton model .................................................................................338

16. Employee stock options ....................................................................................................371

17. Options on stock indices and currencies ........................................................................384

18. Futures options and Black’s model .................................................................................401

19. The Greek letters ............................................................................................................... 417

20. Volatility smiles and volatility surfaces ..........................................................................451

21. Basic numerical procedures .............................................................................................470

22. Value at risk and expected shortfall ................................................................................ 514

23. Estimating volatilities and correlations ..........................................................................542

24. Credit risk ...........................................................................................................................562

25. Credit derivatives ...............................................................................................................587

26. Exotic options ..................................................................................................................... 614

27. More on models and numerical procedures .................................................................. 640

28. Martingales and measures ................................................................................................670

29. Interest rate derivatives: The standard market models ................................................688

30. Convexity, timing, and quanto adjustments ...................................................................707

31. Equilibrium models of the short rate ..............................................................................719

32. No-arbitrage models of the short rate .............................................................................732

33. Modeling forward rates .....................................................................................................755

34. Swaps revisited ...................................................................................................................773

35. Energy and commodity derivatives .................................................................................785

36. Real options ....................................................................................................................... 802

37. Derivatives mishaps and what we can learn from them ...............................................815

Glossary of terms ...............................................................................................................827

DerivaGem software .........................................................................................................851

Exchanges trading futures and options ..........................................................................856

Table for N(x) When x … 0 ..............................................................................................857

Author index ......................................................................................................................859

Subject index ......................................................................................................................863