Description of Options, Futures and Other Derivatives 4/e
Note: new Excel-based software, called DerivaGem, (on PC floppy disk) is included with this book. It has been designed to compliment the material in the text. Users can calculate options prices; imply volatilities, calculate Greek letters for European options. American options, exotic options, and interest rate derivatives. Interest rate derivatives can be valued using either Black's model or a no-arbitrage model. The software can be used to display binomial trees and provide many different charts showing the impact of different variables on either option prices or the Greek letters.
Contents of Options, Futures and Other Derivatives 4/e
Preface 1. Introduction 2. Futures Market and the Use of Futures for Hedging 3. Forward and Futures Pricing 4. Interest Rate Futures 5. Swaps 6. Options Markets 7. Properties of Stock Option Prices 8. Trading Strategies Involving Options 9. A model of the Behaviour of Stock Prices 10. The Black-Scholes Analysis 11. Options on Stock Indices, Currencies, and Futures Contracts 12. A General Approach to Pricing Derivative Securities 13. Hedging Positions in Options and Other Derivative Securities 14. Numerical Procedures 15. Interest Rate Derivative Securities 16. Exotic Options 17. Alternatives to Black-Scholes for Option Pricing 18. Credit Risk 19. Review of Key Concepts
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