Options, Futures, and Other Derivatives, 10th Edition
©2018 |Pearson | Available
John C. Hull, University of Toronto
©2018 |Pearson | Available
For courses in business, economics, and financial engineering and mathematics.
The definitive guide to derivatives markets, updated with contemporary examples and discussionsKnown as “the bible” to business and economics instructors and a consistent best-seller in the university and college marketplace, Options, Futures, and Other Derivatives gives students a modern look at derivatives markets. By incorporating the industry’s hottest topics, such as the securitization and credit crisis, author John C. Hull helps bridge the gap between theory and practice. The 10th Edition covers all of the latest regulations and trends, including the Black-Scholes-Merton formulas, overnight indexed swaps, and the valuation of commodity derivatives.
Available with the latest version of DerivaGem software--includes two Microsoft Excel® applications, Options Calculator, Applications Builder, and a Monte Carlo simulation worksheet:
The Options Calculator features easy-to-use software to help value a wide range of options.
The 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.
Bridges the gap between theory and practice--considered “the bible” of derivatives markets by practitioners, the best-selling college text provides the most up-to-date information on key topics:
Regulations for over-the-counter derivatives
Overnight indexed swap (OIS) rates
The Black-Scholes-Merton formulas
Credit risk, discount rates, and funding costs
Perpetual options and other perpetual derivatives
Products such as DOOM options and CEBOs offered by CME Group
Central Clearing, margin requirements, and swap execution facilities
One-factor equilibrium models of the term structure
Provides a delicate balance of mathematical sophistication--careful attention to mathematical concepts and notation:
Expanded numerical examples of key concepts
End-of-chapter appendices for non-essential mathematical material
Detailed explanations of concepts likely new to students
Offers a comprehensive understanding of important topics--includes helpful resources for teachers and students:
Hundreds of PowerPoint® slides are available for download from Pearson’s Instructor Resource Center or the author’s website.
The Solutions Manual features answers to the “Questions and Problems” at the end of each chapter.
The Instructor’s Manual contains solutions to all end-of-chapter exercises, including “Further Questions” sections. The manual also includes test bank questions, relevant Excel worksheets, and notes on course organization and teaching each chapter.
Technical Notes elaborate on points made in the text and can be downloaded from the author’s website at www.rotman.utoronto.ca/~hull/TechnicalNotes.
UPDATED! Chapter 7 has been rewritten to improve presentation and reflect changing market practices in relation to swaps.
NEW! Chapter 9 has been added to cover valuation adjustments, such as CVA, DVA, FVA, MVA, and KVA.
NEW! Chapter 31 provides details about equilibrium models of the term structure, which are widely used in long-term scenario analysis.
EXPANDED! Negative interest rates are now covered throughout the book to reflect a number of European and Asian markets.
EXPANDED! More detailed explanations give a fuller picture of the calculation of Greek letters and smile dynamics.
EXPANDED! Discussion of the expected shortfall measure and stressed risk measures has been expanded to reflect their increasing use in regulation and risk management.
EXPANDED! Increased coverage of the SABR model gives students a more firm grasp on stochastic volatility.
UPDATED! Materials on CCPs and OTC derivative regulation includes the most current information.
UPDATED! Examples have been revisited to reflect current market conditions.
REVISED! Improved material on martingales and measures, tailing the hedge, bootstrap methods, and convertible bonds helps students better understand important concepts.
EXPANDED! End-of-chapter problems have been expanded and revised.
Chapter 7 has been rewritten to improve presentation and reflect changing market practices in relation to swaps.
Chapter 9 has been added to cover valuation adjustments, such as CVA, DVA, FVA, MVA, and KVA.
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.
Materials on CCPs and OTC derivative regulation includes the most current information.
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.
List of Business Snapshots
List of Technical Notes
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
8. Securitization and the credit crisis of 2007
10. Mechanics of options markets
11. Properties of stock options
12. Trading strategies involving options
13. Binomial trees
14. Wiener processes and Itô’s lemma
15. The Black—Scholes—Merton model
16. Employee stock options
17. Options on stock indices and currencies
18. Futures options and Black’s model
19. The Greek letters
20. Volatility smiles
21. Basic numerical procedures
22. Value at risk and expected shortfall
23. Estimating volatilities and correlations
24. Credit risk
25. Credit derivatives
26. Exotic options
27. More on models and numerical procedures
28. Martingales and measures
29. Interest rate derivatives: The standard market models
30. Convexity, timing, and quanto adjustments
31. Equilibrium models of the short rate
32. No-arbitrage models of the short rate
33. HJM, LMM, and multiple zero curves
34. Swaps Revisited
35. Energy and commodity derivatives
36. Real options
37. Derivatives mishaps and what we can learn from them
Glossary of terms
Major exchanges trading futures and options
Tables for N (x)
Not yet available.
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John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is an internationally recognized authority on derivatives and risk management with many publications in this area. His work has an applied focus. In 1999, he was voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award.
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