Designed to bridge the gap between theory and practice, this highly successful book is the top seller among both the academic audience and derivative practitioners around the world.

Table of Contents

Preface

1.    Introduction

2.    Mechanics of Futures Markets

3.    Hedging Strategies Using Futures

4.    Interest Rates

5.    Determination of Forward and Futures Prices

6.    Interest Rate Futures

7.    Swaps

8.    Mechanics of Options Markets

9.    Properties of Stock Options

10.    Trading Strategies Involving Options

11.    Binomial Trees

12.    Wiener Processes and Itô’s lemma

13.    The Black-Scholes-Merton Model

14.    Options on Stock Indices, Currencies, and Futures

15.    The Greek Letters

16.    Volatility Smiles

17.    Basic Numerical Procedures

18.    Value at Risk

19.    Estimating Volatilities and Correlations

20.    Credit Risk

21.    Credit Derivatives

22.    Exotic Options

23.    Weather, Energy, and Insurance Derivatives

24.    More on Models and Numerical Procedures

25.    Martingales and Measures

26.    Interest Rate Derivatives: The Standard Market Models

27.    Convexity, Timing, and Quanto Adjustments

28.    Interest Tate Derivatives: Models of the Short Rate

29.    Interest Rate Derivatives: HJM and LMM

30.    Swaps Revisited

31.    Real Options

32.    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