An Introduction to Derivative Securities, Financial Markets, and Risk Management

Robert A. Jarrow is Chaired Professor of Finance at Cornell University. Professor Jarrow is among the most distinguished finance scholars of his generation. He is the co-developer of one of the most widely used pricing models in all of finance, the Heath-Jarrow-Morton (HJM) model for pricing interest-rate derivatives. He is the author of two advanced books, Modelling Fixed Income Securities and Interest Rate Options (McGraw, 1996) and Derivative Securities (with Stuart Turnbull, Southwestern, 2000). Arka Chatterjea (Ph.D. Cornell) is a former student of Robert Jarrow’s and is currently a Research Fellow at the Center for Excellence in Investment Management at the Kenan-Flagler Business School at the University of North Carolina, Chapel Hill. He has taught the derivatives course at Cornell, UNC, University of Colorado at Boulder, and Indiana University, Bloomington.

Preface Part I: Introduction to Derivatives
Chapter 1: Derivatives and Risk Management
Chapter 2: Interest Rates
Chapter 3: Stocks
Chapter 4: Forwards and Futures
Chapter 5: Options
Chapter 6: Arbitrage and Trading
Chapter 7: Financial Engineering and Swaps

Part II: Forwards and Futures
Chapter 8: Forward and Futures Markets
Chapter 9: Futures Trading
Chapter 10: Futures Regulations
Chapter 11: The Cost of Carry Model
Chapter 12: The Extended Cost of Carry Model
Chapter 13: Futures Hedging

Part III: Options
Chapter 14: Options Markets and Trading
Chapter 15: Option Trading Strategies
Chapter 16: Option Relations
Chapter 17: Single Period Binomial Model
Chapter 18: Multiperiod Binomial Model
Chapter 19: The Black-Scholes-Merton Model
Chapter 20: Using the Black-Scholes-Merton Model

Part IV: Interest Rate Derivatives
Chapter 21: Yields and Forward Rates
Chapter 22: Interest Rate Swaps
Chapter 23: Single Period Binomial HJM Model
Chapter 24: Multiperiod Binomial HJM Model
Chapter 25: The HJM Libor Model
Chapter 26: Risk Management Models

Appendix: Mathematics and Statistics
References
Notation
Information Sources and Websites
Books on Derivatives