- John C. Hull
- 11th edition | Published by Pearson (June 17th 2021) - Copyright © 2021
A delicate balance of mathematical sophistication
- Nonessential mathematical material has been eliminated or included in end-of-chapter appendices and the technical notes on the author’s website.
- Concepts that are likely to be new to many readers have been explained carefully.
- UPDATED - Numerical examples have been included for added clarity.
Coverage of the latest market trends keeps studentsabreast 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 2021, and their impact on valuation models.
- NEW - Rough volatility models which have in the last few years been found to fit volatility surfaces (Chapter 27).
- NEW - Machine learning in the pricing and hedging of derivatives.
- NEW - The fractional Brownian motion in the discussion on Wiener processes.
- NEW - Changes in the regulatory environment, including Basel IV.
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 financial crisis of 2007-8
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 and Volatility Surfaces
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. Modeling Forward Rates
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 Nx