Options, Futures and Other Derivative Securities - Hardcover

Hull, John

Hardcover

ISBN 10: 0136383394 ISBN 13: 9780136383390

Publisher: Prentice-Hall, 1989

Synopsis

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.

About this edition

• Publisher: Prentice-Hall
• Publication date: 1989
• ISBN 10: 0136383394
• ISBN 13: 9780136383390
• Binding: Hardcover
• Number of pages: 352