Authors: Robert Jarrow, Stuart Turnbull
About the Book
Accessible and intuitive, Derivative Securities offers advanced
undergraduates, MBA students, and executives the theory and the
practical tools needed to price and hedge derivatives in the
professional marketplace. Written by two of the foremost derivative
pricing experts in the world, this text makes the theory and practice of
pricing and hedging derivative securities accessible without "watering
down" the material. Presentation is complete yet avoids advanced
mathematics. Equal coverage is given to options pricing theory and
futures pricing theory. Incorporates cutting-edge research on
derivatives. Derivatives pricing software is included.
- Although two modeling paradigms are explored--the discrete time
binomial pricing model and the continuous time models of Black-Scholes
and Heath-Jarrow-Morton--all relevant concepts are introduced using
the discrete time model.
- Early demonstration and emphasis of binomial lattice diagrams
(Chapter 4) to explain how options are priced.
- A modular design enables teachers to modify the presentation
around the abilities of their students.
- A wealth of numerical examples and problem material allows
students to intuitively understand mathematical concepts; moreover,
examples and problems are tied to the software.
- Includes a unique chapter on credit risk (18), two chapters on
exotic options (19 and 20), and one chapter on swaps (14).
Book Contents
- Introduction to Derivatives
- Simple Arbitrage Relationships for Forward and Futures Contracts
- Simple Arbitrage Relationships for Options
- Asset Price Dynamics
- The Binomial Pricing Model
- Martingale Pricing
- American Options
- The Black-Scholes Model
- Extensions of the Black-Scholes Model
- Replication and Risk Exposure with Model Misspecification
- Foreign Currency
- Stock Indices, and Commodities
- Interest Rate Contracts
- Swaps
- Interest Rate Derivatives
- Pricing and Hedging Treasury Bonds and Futures with
- Model Misspecification
- Pricing and Hedging Interest Rate Options with
- Model Misspecification
- Credit Risk
- Non-Standard (Exotic) Options 20.Non-Standard (Exotic): Path
Dependent
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Derivative Securities