Derivatives

PART ONE BASIC THEORY OF DERIVATIVES; Products and Markets; Derivatives; The Random Behavior Assets; Elementary Stochastic Calculus; The Black-Scholes Model; Partial Differential Equations; The Black-Scholes Formulae and the 'Greeks'; Simple Generalizations of the Black-Scholes World; Early Exercise and American Options; Probability Density Function and First Exit Times; Multi-asset Options; The Binomial Model; PART TWO PATH DEPENDENCY; An Introduction to Exotic and Path-dependent Options; Barrier Options; Strongly Path-dependent Options; Asian Options; Lookback Options; Miscellaneous Exotics; PART THREE EXTENDING BLACK-SCHOLES; Defects in the Black-Scholes Model; Discrete Hedging; Transaction Costs; Volatility Smiles and Surfaces; Stochastic Volatility; Uncertain Parameters; Empirical Analysis of Volatility; Jump Diffusion; Crash Modeling; Speculating with Options; The Feedback effect of Hedging in Illiquid Markets; Static Hedging; PART FOUR INTEREST RATES AND PRODUCTS; Fixed-income Products and Analysis: Yield, Duration and Convexity; Swaps; One-factor Interest rate Modeling; Yield Curve Fitting; Interest rate Derivatives; Convertible Bonds; Two-factor Interest Rate Modeling; Empirical Behavior of the Spot Interest rate; Heath, Jarrow and Morton; Interest-rate Modeling Without Probabilities; PART FIVE RISK MEASUREMENT AND MANAGEMENT; Portfolio Management; Value at Risk; Credit Risk; Credit Derivatives; RiskMetrics, CreditMetrics and CrashMetircs; PART SIX NUMERICAL METHOD; Finite-difference Methods for One-factor Models; Further Finite-difference Methods for One-factor Models; Finite-differences Methods for Two-factor Models; Monte Carlo Simulation Related Methods; Finite-differences Programs; Epilog; Bibliography; Index;.