



 Provides software with the text for implementing many of the models.
 Emphasizes the use of binomial trees for explaining how options are priced.
 Shows how one and twostep binomial trees can be analyzed, and develops the noarbitrage and riskneutral valuation arguments.
 Provides material on binomial trees in the chapters on Options on Futures and Options on Stock Indices and Currencies.
 Includes comprehenisive treatment of numerical procedures based on bionomial trees.
 Devotes an entire chapter to swaps.
 Devotes an entire chapter to options on futures.
 Contains a simpler explanation of arbitrage arguments.
 Uses no calculus, so the text is accessible for students with a limited mathematics background.
 Contains many worked examples, featured in easytoread sections, such as From the Trader's Desk.
 Features a wealth of institutional background that provides a realworld perspective.
 Includes endofchapter quiz questions, with full answers.
NEW TO THIS EDITION:
 NEW  Includes new Windowsbased software, DerivaGem, that has been specifically designed by the author, to complement the material in the text.
 DerivaGem allows readers to calculate prices, implied volatilities, and hedge statistics for European call and put options, six different types of exotic options, and three different types of interest rate options.
 DerivaGem can be used to display the binomial tree used to value an option.
 It can be used to plot any one of: option price, delta, gamma, vega, theta, and rho against any one of: asset price, strike price, interest rate, volatility, and time to maturity.
 NEW  The presentation of swaps has been revised to reflect the use of swaps for asset management as well as liability management.
 NEW  Discusses daycount conventions.
 NEW  Covers scenario analysis and valueatrisk.
 NEW  Chapter 16 has been rewritten to focus on the volatility smiles that are observed for equity options and currency options and how these are used in practice.
 NEW  Chapter 17 has been rewritten to provide background information on mortgagebacked securities and to explain the standard market models that are used to value European bond options, interestrate caps and floors, and European swap options.
 NEW  Includes new endofchapter problems.

Features  Table of Contents  Supplements  Top 






 Introduction.
 FUTURES AND FORWARD MARKETS.
 Mechanics of Futures and Forward Markets.
 The Determination of Forward and Futures Prices.
 Hedging Strategies Using Futures.
 InterestRate Futures.
 Swaps.
 OPTIONS MARKETS.
 Mechanics of Options Markets.
 Basic Properties of Stock Options.
 Trading Strategies Involving Options.
 An Introduction to Binomial Trees.
 The Pricing of Stock Options Using BlackScholes.
 Options on Stock Indices and Currencies.
 Options on Futures.
 Hedging Positions in Options and the Creation of Options Synthetically.
 Value at Risk.
 Valuing Options Numerically Using Binomial Trees.
 Biases in the BlackScholes Model.
 Interestrate Options.
 Answers to Quiz Questions.
 Computer Software.
 Glossary.
 Index.

Features  Table of Contents  Supplements  Top 






 Instructor's Manual with Transparency Masters (0139050353); (905034)
 Written by author.
 Includes solutions to all problems in text.
 Transparency Masters include all figures from text.
 PowerPoint Slides (0139028684); (902866)
 Created by author.
 Download from link above.
 Disks available from editorial.
 DerivaGem Software, Version 2.2
 For description, see above.
 Prepackaged with every text.
 Also available from link above.
 Surfing for Success in Finance (0136484603); (648469)

Features  Table of Contents  Supplements  Top 



