Fundamentals of Futures and Options Markets

John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto. He is an internationally recognized authority on derivatives and risk management with many publications in this area. His work has an applied focus. In 1999 he was voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award.

Brief Contents

Introduction
Futures markets and central counterparties
Hedging strategies using futures
Interest rates
Determination of forward and futures prices
Interest rate futures
Swaps
Securitization and the credit crisis of 2007
Mechanics of options markets
Properties of stock options
Trading strategies involving options
Introduction to binomial trees
Valuing stock options: the Black–Scholes–Merton model
Employee stock options
Options on stock indices and currencies
Futures options and Black’s model
The Greek letters
Binomial trees in practice
Volatility smiles
Value at risk and expected shortfall
Interest rate options
Exotic options and other nonstandard products
Credit derivatives
Weather, energy, and insurance derivatives
Derivatives mishaps and what we can learn from them