Table of Contents

1. Introduction

2. Mechanics of Futures Markets

3. Hedging Strategies Using Futures

4. Interest Rates

5. Determination of Forward and Futures Prices

6.  Interest Rate Futures

7. Swaps

8. Securitization and the Credit Crisis of 2007

9. OIS Discounting, Credit Issues, and Funding Costs

10. Mechanics of Options Markets

11. Properties of Stock Options

12. Trading Strategies Involving Options

13. Binomial Trees

14. Wiener Processes and Ito’s Lemma

15. The Black-Scholes-Merton Model

16. Employee Stock Options

17. Options on Stock Indices and Currencies

18. Options on Futures

19. Greek Letters

20. Volatility Smiles

21. Basic Numerical Procedures

22. Value at Risk

23. Estimating Volatilities and Correlations for Risk Management

24. Credit Risk

25. Credit Derivatives

26. Exotic Options

27. More on Models and Numerical Procedures

28. Martingales and Measures

29. Interest Rate Derivatives: The Standard Market Models

30. Convexity, Timing and Quanto Adjustments

31. Interest Rate Derivatives: Models of the Short Rate

32. HJM, LMM, and Multiple Zero Curves

33. Swaps Revisited

34. Energy and Commodity Derivatives

35. Real Options

36. Derivatives Mishaps and What We Can Learn from Them

Glossary of Terms

DerivaGem Software

Major Exchanges Trading Futures and Options

Table for N(x) when x≤ 0

Table for N(x) when x≥0

Author index

Subject index