Опционы, фьючерсы и другие производные финансовые инструменты - Джон Халл

Количество страниц: It is sometimes hard for me to believe that the first edition of this book was only 330 pages and 13 chapters long! Over the last 15 years I have had to expand and adapt the book to keep up with the fast pace of change in derivatives markets. Like earlier editions, the book serves several markets. It is appropriate for graduate courses in business, economics, and financial engineering. It can be used on advanced undergraduate courses when students have good quantitative skills. Many practitioners involved in derivatives markets find the book useful. I am pleased that half the purchasers of the book have historically been analysts, traders, and other market practitioners.

One of the key decisions that must be made by an author who is writing in the area of derivatives concerns the use of mathematics. If the level of mathematical sophistication is too high, the material is Ukely to be inaccessible to many students and practitioners. If it is too low, some important issues will inevitably be treated in a rather superficial way. I have tried to be particularly careful about the way I use both mathematics and notation in the book. Nonessential mathematical material has been either eliminated or included in end-of-chapter appendices and in the technical notes on my website. Concepts that are likely to be new to many readers have been explained carefully, and many numerical examples have been included.
The book provides a comprehensive treatment of derivatives and risk management. It assumes that the reader has taken introductory courses in finance and in probability and statistics. No prior knowledge of options, futures contracts, swaps, or other derivative instruments is assumed. It is not therefore necessary for students to take an elective course in investments prior to taking a course based on this book.
There are many different ways Options, Futures, and Other Derivatives can be used in the classroom. Instructors teaching a first course in derivatives may wish to spend most time on the first half of the book; those teaching more advanced courses will find that many different combinations of chapters in the second half of the book can be used. I find the material in Chapter 32 works well at the end of either an introductory or an advanced course.

 

1. List of Business Snapshots
2. List of Technical Notes
3. Preface
4. Introduction
5. Mechanics of futures markets
6. Hedging, strategies using futures
7. Interest rates
8. Determination of forward and futures prices
9. Interest rate futures
10. Swaps
11. Mechanics of options markets
12. Properties of stock options
13. Trading strategies involving options
14. Binomial trees
15. Wiener processes and Ito's lemma
16. The Black-Scholes-Merton model
17. Options on stock indices, currencies, and futures
18. The Greek letters
19. Volatility smiles
20. Basic numerical procedures
21. Value at risk
22. Estimating volatilities and correlations
23. Credit risk
24. Credit derivatives
25. Exotic options
26. Weather, energy, and insurance derivatives
27. More on models and numerical procedures
28. Martingales and measures
29. Interest rate derivatives: the standard market models
30. Convexity, timing, and quanta adjustments
31. Interest rate derivatives: models of the short rate
32. Interest rate derivatives: HJM and LMM
33. Swaps revisited
34. Real options
35. Derivatives mishaps and what we can learn from them
36. Glossary of terms
37. DerivaGem software
38. Major exchanges trading futures and options
39. Author index
40. Subject index

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