Options, Futures and Other Derivative Securities

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9780136383390: Options, Futures and Other Derivative Securities

This text covers various aspects of the valuation of options, futures and other derivative securities. Structured so that text can be used with or without a knowledge of calculus, the book aims to provide a clear, non-technical explanation of the Cox, Ingersoll, Ross equilibrium models. Features include: a chapter on swaps, discussing how credit risk can be assessed in off-balance sheet items; a discussion of models for valuing interest rate derivative securities; a treatment of numerical procedures - Monte-Carlo simulation, binomial lattices, and finite difference models - together with the circumstances under which each is most applicable; a treatment of hedge parameters and portfolio insurance, credit risk evaluation and arbitrage arguments; a discussion of Black and Scholes' riskless portfolio and an explanation of the risk-neutral valuation argument; and an explanation of the geometric Brownian motion model of stock price behaviour.

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Hull, John
Published by Prentice-Hall (1989)
ISBN 10: 0136383394 ISBN 13: 9780136383390
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