Options, Futures, and Other Derivatives (10th Edition)
Solutions and explanations
Introduction
Futures markets and central counterparties
Hedging strategies using futures
Interest rates
Determination of forward and futures prices
Interest rate futures
Swaps
Securitization and the credit crisis of 2007
XVAs
Mechanics of options markets
Properties of stock options
Trading strategies involving options
Binomial trees
Wiener processes and Ito’s lemma
The Black–Scholes–Merton model
Employee stock options
Options On stock indices and currencies
Futures options and Black’s model
The Greek letters
Volatility smiles
Basic numerical procedures
Value At risk and expected shortfall
Estimating volatilities and correlations
Credit risk
Credit derivatives
Exotic options
Moreon models and numerical procedures
Martingales and measures
Interest rate derivatives: The standard market models
Convexity, timing, and quanto adjustments
Equilibrium models of the short rate
No-arbitrage models of the short rate
HJM, LMM, and multiple zero curves
Swaps Revisited
Energy and commodity derivatives
Real options