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 cuttingedge research on derivatives. Derivatives pricing software is included.

Although two modeling paradigms are exploredthe discrete time binomial pricing model and the continuous time models of BlackScholes and HeathJarrowMortonall 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 BlackScholes Model

Extensions of the BlackScholes 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

NonStandard (Exotic) Options 20.NonStandard (Exotic): Path Dependent