Description

Derivative Securities

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