本书建立了实务和理论的桥梁，主要讲述了期货市场的运作机制、采用期货的对冲策略、远期及期货价格的确定、期权市场的运作过程、雇员股票期权的性质、期权交易策略以及信用衍生产品、布莱克-斯科尔斯-默顿模型、希腊值及其运用等。书中尽量少采用数学知识，对如何使用数学的处理尤其谨慎，尽量避免使用一些令初学读者反感的带有许多上、下角标或函数变量的数学符号。同时，本书提供了大量的业界事例，使本书内容既贴近现实又丰富有趣。此外，本书还仔细解释了对许多读者而言有可能是新的概念，并针对这些概念给出了许多数值计算例子。

目　　录<br/>出版说明<br/>技术报告<br/>前　　言<br/>作者简介<br/>术 语 表<br/>第1章　导论　/ 1<br/>1.1　交易所市场　/ 2<br/>1.2　场外交易市场　/ 3<br/>1.3　远期合约　/ 6<br/>1.4　期货合约　/ 8<br/>1.5　期权　/ 8<br/>1.6　交易员的类型　/ 11<br/>1.7　对冲者　/ 11<br/>1.8　投机者　/ 14<br/>1.9　套利者　/ 16<br/>1.10　危险　/ 17<br/>小结　/ 18<br/>推荐阅读　/ 19<br/>练习题　/ 19<br/>作业题　/ 21<br/>第2章　期货市场与中央交易对手　/ 24<br/>2.1　背景知识　/ 24<br/>2.2　期货合约的规格　/ 26<br/>2.3　期货价格收敛到即期价格　/ 28<br/>2.4　保证金账户的运作　/ 29<br/>2.5　场外市场　/ 32<br/>2.6　市场报价　/ 36<br/>2.7　交割　/ 38<br/>2.8　交易员类型和交易指令类型　/ 39<br/>2.9　制度　/ 40<br/>2.10　会计和税收　/ 41<br/>2.11　远期与期货合约的比较　/ 43<br/>小结　/ 44<br/>推荐阅读　/ 45<br/>练习题　/ 45<br/>作业题　/ 47<br/>第3章　利用期货的对冲策略　/ 49<br/>3.1　基本原理　/ 49<br/>3.2　拥护与反对对冲的观点　/ 51<br/>3.3　基差风险　/ 54<br/>3.4　交叉对冲　/ 58<br/>3.5　股指期货　/ 62<br/>3.6　向前滚动对冲　/ 68<br/>小结　/ 70<br/>推荐阅读　/ 70<br/>练习题　/ 71<br/>作业题　/ 73<br/>附录3A　资本资产定价模型　/ 75<br/>第4章　利率　/ 77<br/>4.1　利率的种类　/ 77<br/>4.2　互换利率　/ 79<br/>4.3　无风险利率　/ 80<br/>4.4　利率的度量　/ 81<br/>4.5　零息利率　/ 84<br/>4.6　债券定价　/ 84<br/>4.7　确定零息利率　/ 85<br/>4.8　远期利率　/ 89<br/>4.9　远期利率合约　/ 92<br/>4.10　久期　/ 94<br/>4.11　凸性　/ 98<br/>4.12　利率期限结构理论　/ 99<br/>小结　/ 101<br/>推荐阅读　/ 102<br/>练习题　/ 102<br/>作业题　/ 105<br/>第5章　确定远期和期货价格　/ 107<br/>5.1　投资资产与消费资产　/ 107<br/>5.2　卖空交易　/ 108<br/>5.3　假设与符号　/ 109<br/>5.4　投资资产的远期价格　/ 110<br/>5.5　提供已知中间收入的资产　/ 113<br/>5.6　收益率为已知的情形　/ 115<br/>5.7　远期合约定价　/ 115<br/>5.8　远期和期货价格相等吗　/ 117<br/>5.9　股指期货价格　/ 118<br/>5.10　货币上的远期和期货合约　/ 120<br/>5.11　商品期货　/ 124<br/>5.12　持有成本　/ 126<br/>5.13　交割选择　/ 127<br/>5.14　期货价格与预期未来即期价格　/ 127<br/>小结　/ 130<br/>推荐阅读　/ 131<br/>练习题　/ 131<br/>作业题　/ 133<br/>第6章　利率期货　/ 135<br/>6.1　天数计算和报价惯例　/ 135<br/>6.2　美国国债期货　/ 138<br/>6.3　欧洲美元期货　/ 143<br/>6.4　基于久期的期货对冲策略　/ 148<br/>6.5　对于资产与负债组合的对冲　/ 150<br/>小结　/ 150<br/>推荐阅读　/ 151<br/>练习题　/ 151<br/>作业题　/ 153<br/>第7章　互换　/ 155<br/>7.1　互换合约的机制　/ 156<br/>7.2　天数计算惯例　/ 161<br/>7.3　确认书　/ 162<br/>7.4　相对优势的观点　/ 162<br/>7.5　利率互换定价　/ 165<br/>7.6　互换价值随时间的变化　/ 168<br/>7.7　固定利息与固定利息货币互换　/ 169<br/>7.8　货币互换定价　/ 172<br/>7.9　其他货币互换　/ 174<br/>7.10　信用风险　/ 175<br/>7.11　信用违约互换　/ 176<br/>7.12　其他类型的互换　/ 177<br/>小结　/ 179<br/>推荐阅读　/ 179<br/>练习题　/ 179<br/>作业题　/ 182<br/>第8章　证券化与2007年信用危机　/ 184<br/>8.1　证券化　/ 184<br/>8.2　美国住房市场　/ 188<br/>8.3　问题出在哪里　/ 192<br/>8.4　危机的后果　/ 194<br/>小结　/ 195<br/>推荐阅读　/ 196<br/>练习题　/ 197<br/>作业题　/ 197<br/>第9章　价值调节量　/ 199<br/>9.1　CVA和DVA　/ 199<br/>9.2　FVA和MVA　/ 202<br/>9.3　KVA　/ 205<br/>9.4　计算问题　/ 206<br/>小结　/ 207<br/>推荐阅读　/ 207<br/>练习题　/ 208<br/>作业题　/ 208<br/>第10章　期权市场机制　/ 209<br/>10.1　期权类型　/ 209<br/>10.2　期权头寸　/ 211<br/>10.3　标的资产　/ 213<br/>10.4　股票期权的细节　/ 215<br/>10.5　交易　/ 219<br/>10.6　佣金　/ 220<br/>10.7　保证金　/ 221<br/>10.8　期权结算公司　/ 222<br/>10.9　监管制度　/ 223<br/>10.10　税收　/ 223<br/>10.11　认股权证、雇员股票期权和可转换债券　/ 225<br/>10.12　场外市场　/ 226<br/>小结　/ 226<br/>推荐阅读　/ 227<br/>练习题　/ 227<br/>作业题　/ 229<br/>第11章　股票期权的性质　/ 231<br/>11.1　影响期权价格的因素　/ 231<br/>11.2　假设与记号　/ 235<br/>11.3　期权价格的上限与下限　/ 236<br/>11.4　看跌–看涨平价关系式　/ 238<br/>11.5　无股息股票上的看涨期权　/ 241<br/>11.6　无股息股票上的看跌期权　/ 244<br/>11.7　股息对期权的影响　/ 246<br/>小结　/ 247<br/>推荐阅读　/ 248<br/>练习题　/ 248<br/>作业题　/ 250<br/>第12章　期权交易策略　/ 252<br/>12.1　保本债券　/ 252<br/>12.2　交易单一期权与股票的策略　/ 254<br/>12.3　差价　/ 256<br/>12.4　组合　/ 264<br/>12.5　具有其他收益形式的组合　/ 267<br/>小结　/ 268<br/>推荐阅读　/ 269<br/>练习题　/ 269<br/>作业题　/ 270<br/>第13章　二叉树　/ 272<br/>13.1　单步二叉树模型与无套利方法　/ 272<br/>13.2　风险中性定价　/ 276<br/>13.3　两步二叉树　/ 278<br/>13.4　看跌期权的例子　/ 281<br/>13.5　美式期权　/ 282<br/>13.6　delta　/ 283<br/>13.7　选取u和d使二叉树与波动率吻合　/ 284<br/>13.8　二叉树公式　/ 286<br/>13.9　增加二叉树的步数　/ 286<br/>13.10　使用DerivaGem软件　/ 287<br/>13.11　其他标的资产上的期权　/ 288<br/>小结　/ 291<br/>推荐阅读　/ 292<br/>练习题　/ 293<br/>作业题　/ 294<br/>附录13A　由二叉树模型推导布莱克–斯科尔斯–默顿期权定价公式　/ 296<br/>第14章　维纳过程和伊藤引理　/ 300<br/>14.1　马尔可夫性质　/ 300<br/>14.2　连续时间随机过程　/ 301<br/>14.3　描述股票价格的过程　/ 306<br/>14.4　参数　/ 309<br/>14.5　相关过程　/ 310<br/>14.6　伊藤引理　/ 311<br/>14.7　对数正态分布的性质　/ 312<br/>小结　/ 313<br/>推荐阅读　/ 314<br/>练习题　/ 314<br/>作业题　/ 315<br/>附录14A　伊藤引理的非严格推导　/ 317<br/>第15章　布莱克–斯科尔斯–默顿模型　/ 319<br/>15.1　股票价格的对数正态分布性质　/ 320<br/>15.2　收益率的分布　/ 321<br/>15.3　期望收益　/ 322<br/>15.4　波动率　/ 323<br/>15.5　布莱克–斯科尔斯–默顿微分方程的概念　/ 327<br/>15.6　布莱克–斯科尔斯–默顿微分方程的推导　/ 329<br/>15.7　风险中性定价　/ 332<br/>15.8　布莱克–斯科尔斯–默顿定价公式　/ 333<br/>15.9　累积正态分布函数　/ 336<br/>15.10　权证与雇员股票期权　/ 337<br/>15.11　隐含波动率　/ 339<br/>15.12　股息　/ 341<br/>小结　/ 344<br/>推荐阅读　/ 345<br/>练习题　/ 346<br/>作业题　/ 348<br/>附录15A　布莱克–斯科尔斯–默顿公式的证明　/ 350<br/>第16章　雇员股票期权　　/ 352<br/>16.1　合约的设计　/ 352<br/>16.2　期权会促进股东与管理人员的利益一致吗　/ 354<br/>16.3　会计问题　/ 355<br/>16.4　定价　/ 356<br/>16.5　倒填日期丑闻　/ 361<br/>小结　/ 362<br/>推荐阅读　/ 362<br/>练习题　/ 362<br/>作业题　/ 363<br/>第17章　股指期权与货币期权　/ 365<br/>17.1　股指期权　/ 365<br/>17.2　货币期权　/ 367<br/>17.3　支付已知连续股息率的股票期权　/ 370<br/>17.4　欧式股指期权的定价　/ 372<br/>17.5　欧式货币期权的定价　/ 375<br/>17.6　美式期权　/ 376<br/>小结　/ 377<br/>推荐阅读　/ 377<br/>练习题　/ 378<br/>作业题　/ 380<br/>第18章　期货期权与布莱克模型　/ 381<br/>18.1　期货期权的特性　/ 381<br/>18.2　期货期权被广泛应用的原因　/ 384<br/>18.3　欧式即期期权和欧式期货期权　/ 384<br/>18.4　看跌–看涨平价关系式　/ 385<br/>18.5　期货期权的下限　/ 386<br/>18.6　期货价格在风险中性世界的漂移率　/ 387<br/>18.7　期货期权定价的布莱克模型　/ 388<br/>18.8　由布莱克模型代替布莱克–斯科尔斯–默顿模型　/ 389<br/>18.9　采用二叉树对期货期权定价　/ 390<br/>18.10　美式期货期权与美式即期期权　/ 392<br/>18.11　期货式期权　/ 393<br/>小结　/ 393<br/>推荐阅读　/ 394<br/>练习题　/ 394<br/>作业题　/ 396<br/>第19章　希腊值　/ 397<br/>19.1　例解　/ 397<br/>19.2　裸露头寸和带保头寸　/ 398<br/>19.3　希腊值的计算　/ 400<br/>19.4　delta对冲　/ 401<br/>19.5　theta　/ 407<br/>19.6　gamma　/ 409<br/>19.7　delta、theta和gamma之间的关系　/ 413<br/>19.8　vega　/ 414<br/>19.9　rho　/ 416<br/>19.10　对冲的现实性　/ 417<br/>19.11　情景分析　/ 417<br/>19.12　公式的推广　/ 419<br/>19.13　资产组合保险　/ 421<br/>19.14　股票市场波动率　/ 423<br/>小结　/ 423<br/>推荐阅读　/ 425<br/>练习题　/ 425<br/>作业题　/ 427<br/>附录19A　泰勒级数展开和对冲参数　/ 429<br/>第20章　波动率微笑　/ 430<br/>20.1　为什么波动率微笑对看涨期权与看跌期权是一样的　/ 430<br/>20.2　货币期权　/ 432<br/>20.3　股票期权　/ 435<br/>20.4　其他刻画波动率微笑的方法　/ 437<br/>20.5　波动率期限结构与波动率曲面　/ 437<br/>20.6　最小方差delta　/ 439<br/>20.7　模型的作用　/ 439<br/>20.8　当预计有大幅度价格跳跃时　/ 440<br/>小结　/ 441<br/>推荐阅读　/ 442<br/>练习题　/ 443<br/>作业题　/ 444<br/>附录20A　由波动率微笑确定隐含风险中性分布　/ 446<br/>第21章　基本数值方法　/ 449<br/>21.1　二叉树　/ 449<br/>21.2　利用二叉树对股指、货币与期货合约上的期权定价　/ 457<br/>21.3　支付股息股票的二叉树模型　/ 459<br/>21.4　构造树形的其他方法　/ 464<br/>21.5　依赖时间的参数　/ 467<br/>21.6　蒙特卡罗模拟法　/ 468<br/>21.7　方差缩减程序　/ 474<br/>21.8　有限差分法　/ 477<br/>小结　/ 487<br/>推荐阅读　/ 488<br/>练习题　/ 489<br/>作业题　/ 491<br/>第22章　在险价值与预期亏损　/ 493<br/>22.1　VaR与ES测度　/ 493<br/>22.2　历史模拟法　/ 496<br/>22.3　模型构建法　/ 500<br/>22.4　线性模型　/ 503<br/>22.5　二次模型　/ 508<br/>22.6　蒙特卡罗模拟法　/ 511<br/>22.7　不同方法的比较　/ 512<br/>22.8　回顾测试　/ 512<br/>22.9　主成分分析法　/ 513<br/>小结　/ 516<br/>推荐阅读　/ 517<br/>练习题　/ 517<br/>作业题　/ 518<br/>第23章　估计波动率和相关系数　/ 520<br/>23.1　估计波动率　/ 520<br/>23.2　指数加权移动平均模型　/ 522<br/>23.3　GARCH（1，1）模型　/ 524<br/>23.4　模型选择　/ 525<br/>23.5　极大似然估计法　/ 526<br/>23.6　利用GARCH（1，1）模型预测波动率　/ 531<br/>23.7　相关系数　/ 534<br/>23.8　将EWMA应用于4个指数的例子　/ 537<br/>小结　/ 539<br/>推荐阅读　/ 539<br/>练习题　/ 539<br/>作业题　/ 541<br/>第24章　信用风险　/ 543<br/>24.1　信用评级　/ 543<br/>24.2　历史违约概率　/ 544<br/>24.3　回收率　/ 545<br/>24.4　由债券收益率溢差估计违约概率　/ 546<br/>24.5　违约概率估计的比较　/ 549<br/>24.6　利用股价估计违约概率　/ 552<br/>24.7　衍生产品交易中的信用风险　/ 554<br/>24.8　违约相关性　/ 560<br/>24.9　信用VaR　/ 563<br/>小结　/ 565<br/>推荐阅读　/ 565<br/>练习题　/ 566<br/>作业题　/ 568<br/>第25章　信用衍生产品　/ 569<br/>25.1　信用违约互换　/ 570<br/>25.2　CDS定价　/ 573<br/>25.3　信用指数　/ 577<br/>25.4　固定券息的使用　/ 578<br/>25.5　CDS远期合约与期权　/ 579<br/>25.6　篮筐式CDS　/ 579<br/>25.7　总收益互换　/ 579<br/>25.8　债务抵押债券　/ 581<br/>25.9　相关系数在篮筐式CDS与CDO中的作用　/ 583<br/>25.10　合成CDO的定价　/ 583<br/>25.11　其他模型　/ 590<br/>小结　/ 592<br/>推荐阅读　/ 592<br/>练习题　/ 593<br/>作业题　/ 594<br/>第26章　奇异期权　/ 596<br/>26.1　组合期权　/ 596<br/>26.2　永续美式看涨与看跌期权　/ 597<br/>26.3　非标准美式期权　/ 598<br/>26.4　缺口期权　/ 599<br/>26.5　远期开始期权　/ 600<br/>26.6　棘轮期权　/ 600<br/>26.7　复合期权　/ 600<br/>26.8　选择人期权　/ 601<br/>26.9　障碍期权　/ 602<br/>26.10　二元式期权　/ 604<br/>26.11　回望期权　/ 605<br/>26.12　喊价式期权　/ 607<br/>26.13　亚式期权　/ 608<br/>26.14　资产交换期权　/ 609<br/>26.15　涉及多种资产的期权　/ 610<br/>26.16　波动率和方差互换　/ 611<br/>26.17　静态期权复制　/ 614<br/>小结　/ 616<br/>推荐阅读　/ 617<br/>练习题　/ 617<br/>作业题　/ 619<br/>第27章　再谈模型和数值算法　/ 622<br/>27.1　布莱克–斯科尔斯–默顿的替代模型　/ 623<br/>27.2　随机波动率模型　/ 628<br/>27.3　IVF模型　/ 630<br/>27.4　可转换证券　/ 632<br/>27.5　路径依赖型衍生产品　/ 634<br/>27.6　障碍期权　/ 637<br/>27.7　两个相关资产上的期权　/ 640<br/>27.8　蒙特卡罗模拟法与美式期权　/ 642<br/>小结　/ 646<br/>推荐阅读　/ 647<br/>练习题　/ 648<br/>作业题　/ 650<br/>第28章　鞅与测度　/ 652<br/>28.1　风险市场价格　/ 653<br/>28.2　多个状态变量　/ 656<br/>28.3　鞅　/ 657<br/>28.4　计价单位的其他选择　/ 658<br/>28.5　多个因子情形下的推广　/ 661<br/>28.6　改进布莱克模型　/ 662<br/>28.7　资产交换期权　/ 663<br/>28.8　计价单位变换　/ 664<br/>小结　/ 666<br/>推荐阅读　/ 667<br/>练习题　/ 667<br/>作业题　/ 668<br/>第29章　利率衍生产品：标准市场模型　/ 670<br/>29.1　债券期权　/ 670<br/>29.2　利率上限和下限　/ 675<br/>29.3　欧式利率互换期权　/ 681<br/>29.4　利率衍生产品的对冲　/ 684<br/>小结　/ 685<br/>推荐阅读　/ 686<br/>练习题　/ 686<br/>作业题　/ 688<br/>第30章　凸性、时间与Quanto调整　/ 689<br/>30.1　凸性调整　/ 689<br/>30.2　时间调整　/ 693<br/>30.3　Quanto　/ 695<br/>小结　/ 698<br/>推荐阅读　/ 698<br/>练习题　/ 698<br/>作业题　/ 700<br/>附录30A　凸性调整公式的证明　/ 701<br/>第31章　短期利率均衡模型　/ 702<br/>31.1　背景　/ 702<br/>31.2　单因子模型　/ 704<br/>31.3　现实世界与风险中性世界　/ 709<br/>31.4　参数估计　/ 710<br/>31.5　更复杂的模型　/ 711<br/>小结　/ 712<br/>推荐阅读　/ 712<br/>练习题　/ 712<br/>作业题　/ 713<br/>第32章　短期利率无套利模型　/ 715<br/>32.1　均衡模型的推广　/ 715<br/>32.2　债券期权　/ 719<br/>32.3　波动率结构　/ 720<br/>32.4　利率树形　/ 721<br/>32.5　建立树形的步骤　/ 723<br/>32.6　校正　/ 732<br/>32.7　利用单因子模型进行对冲　/ 734<br/>小结　/ 735<br/>推荐阅读　/ 735<br/>练习题　/ 735<br/>作业题　/ 736<br/>第33章　HJM模型、LMM以及多种零息曲线　/ 738<br/>33.1　HJM模型　/ 738<br/>33.2　LMM　/ 741<br/>33.3　对多种零息曲线的处理方法　/ 751<br/>33.4　联邦机构住房抵押证券　/ 752<br/>小结　/ 754<br/>推荐阅读　/ 755<br/>练习题　/ 755<br/>作业题　/ 756<br/>第34章　再谈互换　/ 757<br/>34.1　标准交易的变形　/ 757<br/>34.2　复合互换　/ 759<br/>34.3　货币互换　/ 760<br/>34.4　更复杂的互换　/ 761<br/>34.5　股权互换　/ 764<br/>34.6　具有内含期权的互换　/ 765<br/>34.7　其他互换　/ 768<br/>小结　/ 769<br/>推荐阅读　/ 770<br/>练习题　/ 770<br/>作业题　/ 770<br/>第35章　能源与商品衍生产品　/ 772<br/>35.1　农产品　/ 772<br/>35.2　金属　/ 773<br/>35.3　能源产品　/ 774<br/>35.4　商品价格模型　/ 776<br/>35.5　气候衍生产品　/ 782<br/>35.6　保险衍生产品　/ 783<br/>35.7　气候与保险衍生产品定价　/ 784<br/>35.8　能源生产商如何对冲风险　/ 785<br/>小结　/ 786<br/>推荐阅读　/ 786<br/>练习题　/ 787<br/>作业题　/ 788<br/>第36章　实物期权　/ 789<br/>36.1　资本投资评估　/ 789<br/>36.2　风险中性定价的推广　/ 790<br/>36.3　估计风险市场价格　/ 792<br/>36.4　商业估价中的应用　/ 793<br/>36.5　投资机会中期权的定价　/ 793<br/>小结　/ 800<br/>推荐阅读　/ 800<br/>练习题　/ 801<br/>作业题　/ 801<br/>第37章　衍生产品重大金融损失与借鉴　/ 803<br/>37.1　所有衍生产品使用者的教训　/ 803<br/>37.2　对于金融机构的教训　/ 807<br/>37.3　对于非金融机构的教训　/ 812<br/>小结　/ 814<br/>推荐阅读　/ 814<br/>附录A　DerivaGem软件　/ 815<br/>附录B　世界上的主要期权期货交易所　/ 820<br/>附录C　当x≤0时N（x）的取值　/ 821<br/>附录D　当x≥0时N（x）的取值　/ 822<br/><br/><br/>Contents in Brief<br/>List of Technical Notes<br/>Preface<br/>About the Author<br/>1.Introduction.1<br/>2.Futures markets and central counterparties.24<br/>3.Hedging strategies using futures..49<br/>4.Interest rates..77<br/>5.Determination of forward and futures prices.107<br/>6.Interest rate futures.135<br/>7.Swaps.155<br/>8.Securitization and the credit crisis of 2007..184<br/>9.XVAs..199<br/>10.Mechanics of options markets..209<br/>11.Properties of stock options.231<br/>12.Trading strategies involving options.252<br/>13.Binomial trees..272<br/>14.Wiener processes and I t魭s l emma.300<br/>15.The Black朣choles朚erton model..319<br/>16.Employee stock options.352<br/>17.Options on stock indices and currencies.365<br/>18.Futures options and Black抯 model..381<br/>19.The Greek letters..397<br/>20.Volatility smiles..430<br/>21.Basic numerical procedures..449<br/>22.Value at risk and expected shortfall.493<br/>23.Estimating volatilities and correlations.520<br/>24.Credit risk.543<br/>25.Credit derivatives..569<br/>26.Exotic options..596<br/>27.More on models and numerical procedures.622<br/>28.Martingales and measures..652<br/>29.Interest rate derivatives: The standard market models.670<br/>30.Convexity, timing, and quanto adjustments.689<br/>31.Equilibrium models of the short rate.702<br/>32.No-arbitrage models of the short rate..715<br/>33.HJM, LMM, and multiple zero curves.738<br/>34.Swaps Revisited..757<br/>35.Energy and commodity derivatives..772<br/>36.Real options..789<br/>37.Derivatives mishaps and what we can learn from them.803<br/>A. DerivaGem software.815<br/>B. Major exchanges trading futures and options.820<br/>C. Table for N(x) when x0.821<br/>D. Table for N(x) when x0.822<br/><br/><br/>Contents<br/>List of Technical Notes<br/>Preface<br/>Preface<br/>About the Author<br/>Chapter1.Introduction..1<br/>1.1 Exchange-traded markets..2<br/>1.2 Over-the-counter markets..3<br/>1.3 Forward contracts..6<br/>1.4 Futures contracts.8<br/>1.5 Options..8<br/>1.6 Types of traders.11<br/>1.7 Hedgers..11<br/>1.8 Speculators.14<br/>1.9 Arbitrageurs..16<br/>1.10 Dangers.17<br/>Summary..18<br/>Further reading.19<br/>Practice questions.19<br/>Further questions.21<br/>Chapter2.Futures markets and central counterparties.24<br/>2.1 Background..24<br/>2.2 Specication of a futures contract.26<br/>2.3 Convergence of futures price to spot price.28<br/>2.4 The operation of margin accounts..29<br/>2.5 OTC markets..32<br/>2.6 Market quotes.36<br/>2.7 Delivery.38<br/>2.8 Types of traders and types of orders.39<br/>2.9 Regulation..40<br/>2.10 Accounting and tax..41<br/>2.11 Forward vs. futures contracts.43<br/>Summary..44<br/>Further reading.45<br/>Practice questions.45<br/>Further questions.47<br/>Chapter3. Hedging strategies using futures..49<br/>3.1 Basic principles..49<br/>3.2 Arguments for and against hedging..51<br/>3.3 Basis risk..54<br/>3.4 Cross hedging.58<br/>3.5 Stock index futures.62<br/>3.6 Stack and roll..68<br/>Summary..70<br/>Further reading..70<br/>Practice questions.71<br/>Further questions.73<br/>Appendix: Capital asset pricing model..75<br/>Chapter4. Interest rates.77<br/>4.1 Types of rates..77<br/>4.2 Swap rates.79<br/>4.3 The risk-free rate..80<br/>4.4 Measuring interest rates..81<br/>4.5 Zero rates.84<br/>4.6 Bond pricing.84<br/>4.7 Determining zero rates..85<br/>4.8 Forward rates..89<br/>4.9 Forward rate agreements.92<br/>4.10 Duration.94<br/>4.11 Convexity..98<br/>4.12 Theories of the term structure of interest rates..99<br/>Summary..101<br/>Further reading..102<br/>Practice questions.102<br/>Further questions.105<br/>Chapter5. Determination of forward and futures prices..107<br/>5.1 Investment assets vs. consumption assets.107<br/>5.2 Short selling..108<br/>5.3 Assumptions and notation.109<br/>5.4 Forward price for an investment asset.110<br/>5.5 Known income..113<br/>5.6 Known yield..115<br/>5.7 Valuing forward contracts.115<br/>5.8 Are forward prices and futures prices equal?..117<br/>5.9 Futures prices of stock indices..118<br/>5.10 Forward and futures contracts on currencies..120<br/>5.11 Futures on commodities..124<br/>5.12 The cost of carry..126<br/>5.13 Delivery options.127<br/>5.14 Futures prices and expected future spot prices..127<br/>Summary..130<br/>Further reading..131<br/>Practice questions.131<br/>Further questions.133<br/>Chapter6. Interest rate futures..135<br/>6.1 Day count and quotation conventions.135<br/>6.2 Treasury bond futures.138<br/>6.3 Eurodollar futures..143<br/>6.4 Duration-based hedging strategies using futures..148<br/>6.5 Hedging portfolios of assets and liabilities.150<br/>Summary..150<br/>Further reading..151<br/>Practice questions..151<br/>Further questions..153<br/>Chapter7. Swaps.155<br/>7.1 Mechanics of interest rates waps.156<br/>7.2 Day count issues.161<br/>7.3 Conrmations..162<br/>7.4 The comparative-advantage argument..162<br/>7.5 Valuation of interest rates waps.165<br/>7.6 How the value changes through time.168<br/>7.7 Fixed-for-xed currencys waps..169<br/>7.8 Valuation of xed-for-xed currencys waps.172<br/>7.9 Other currency swaps..174<br/>7.10 Credit risk.175<br/>7.11 Credit default swaps..176<br/>7.12 Other types of swaps.177<br/>Summary.179<br/>Further reading..179<br/>Practice questions..179<br/>Further questions..182<br/>Chapter8. Securitization and the credit crisis of 2007..184<br/>8.1 Securitization.184<br/>8.2 The U.S. housing market.188<br/>8.3 What went wrong?..192<br/>8.4 The aftermath..194<br/>Summary.195<br/>Further reading..196<br/>Practice questions..197<br/>Further questions..197<br/>Chapter9.XVAs.199<br/>9.1 CVA and DVA.199<br/>9.2 FVA and MVA..202<br/>9.3 KVA.205<br/>9.4 Calculation issues.206<br/>Summary.207<br/>Further reading..207<br/>Practice questions..208<br/>Further questions..208<br/>Chapter10. Mechanics of options markets.209<br/>10.1 Types of options.209<br/>10.2 Option positions.211<br/>10.3 Underlying assets..213<br/>10.4 Specication of stock options.215<br/>10.5 Trading.219<br/>10.6 Commissions..220<br/>10.7 Margin requirements.221<br/>10.8 The options clearing corporation.222<br/>10.9 Regulation.223<br/>10.10 Taxation..223<br/>10.11 Warrants, employee stock options, and convertibles.225<br/>10.12 Over-the-counter options markets..226<br/>Summary.226<br/>Further reading..227<br/>Practice questions.227<br/>Further questions.229<br/>Chapter11. Properties of stock options.231<br/>11.1 Factors affecting option prices..231<br/>11.2 Assumptions and notation.235<br/>11.3 Upper and lower bounds for option prices.236<br/>11.4 Put朿all parity.238<br/>11.5 Calls on a non-dividend-paying stock..241<br/>11.6 Puts on a non-dividend-paying stock.244<br/>11.7 Effect of dividends.246<br/>Summary..247<br/>Further reading..248<br/>Practice questions.248<br/>Further questions.250<br/>Chapter12. Trading strategies involving options..252<br/>12.1 Principal-protected notes.252<br/>12.2 Trading an option and the underlying asset.254<br/>12.3 Spreads.256<br/>12.4 Combinations..264<br/>12.5 Other payoffs.267<br/>Summary..268<br/>Further reading..269<br/>Practice questions.269<br/>Further questions.270<br/>Chapter13. Binomial trees.272<br/>13.1 A one-step binomial model and a no-arbitrage argument.272<br/>13.2 Risk-neutral valuation.276<br/>13.3 Two-step binomial trees..278<br/>13.4 A put example.281<br/>13.5 American options.282<br/>13.6 Delta..283<br/>13.7 Matching volatility with u and d..284<br/>13.8 The binomial tree formulas..286<br/>13.9 Increasing the number of steps.286<br/>13.10 Using DerivaGem..287<br/>13.11 Options on other assets.288<br/>Summary..291<br/>Further reading..292<br/>Practice questions.293<br/>Further questions.294<br/>Appendix: Derivation of the Black-Scholes-Merton option-pricing formula from a binomialt ree.296<br/>Chapter14. Wiener processes and Itos lemma.300<br/>14.1 The Markov property.300<br/>14.2 Continuous-time stochastic processes.301<br/>14.3 The process for a stock price.306<br/>14.4 The parameters..309<br/>14.5 Correlated processes.310<br/>14.6 Ito垝s lemma.311<br/>14.7 The lognormal property..312<br/>Summary.313<br/>Further reading..314<br/>Practice questions..314<br/>Further questions..315<br/>Appendix: A nonrigorous derivation of Ito垝s lemma.317<br/>Chapter15. The Black-Scholes-Merton model..319<br/>15.1 Lognormal property of stock prices.320<br/>15.2 The distribution of the rate of return.321<br/>15.3 The expected return.322<br/>15.4 Volatility.323<br/>15.5 The idea underlying the Black-Scholes-Merton differential equation.327<br/>15.6 Derivation of the Black-Scholes-Merton differential equation..329<br/>15.7 Risk-neutral valuation.332<br/>15.8 Black-Scholes-Merton pricing formulas..333<br/>15.9 Cumulative normal distribution function..336<br/>15.10 Warrants and employee stock options..337<br/>15.11 Implied volatilities.339<br/>15.12 Dividends..341<br/>Summary.344<br/>Further reading..345<br/>Practice questions..346<br/>Further questions..348<br/>Appendix: Proof of Black-Scholes-Merton formula using risk-neutral valuation..350<br/>Chapter16. Employee stock options..352<br/>16.1 Contractual arrangements.352<br/>16.2 Do options align the interests of shareholders and managers?..354<br/>16.3 Accounting issues.355<br/>16.4 Valuation.356<br/>16.5 Backdating scandals..361<br/>Summary.362<br/>Further reading..362<br/>Practice questions..362<br/>Further questions..363<br/>Chapter17. Options on stockindices and currencies..365<br/>17.1 Options on stock indices..365<br/>17.2 Currency options..367<br/>17.3 Options on stocks paying known dividend yields.370<br/>17.4 Valuation of European stock index options.372<br/>17.5 Valuation of European currency options.375<br/>17.6 American options.376<br/>Summary.377<br/>Further reading..377<br/>Practice questions..378<br/>Further questions..380<br/>Chapter18. Futures options and Black抯 model.381<br/>18.1 Nature of futures options.381<br/>18.2 Reasons for the popularity of futures options.384<br/>18.3 European spot and futures options..384<br/>18.4 Put朿all parity.385<br/>18.5 Bounds for futures options.386<br/>18.6 Drift of a futures prices in a risk-neutral world..387<br/>18.7 Blacks model for valuing futures options..388<br/>18.8 Using Blacks model instead of Black-Scholes-Merton.389<br/>18.9 Valuation of futures options using binomial trees..390<br/>18.10 American futures options vs. American spot options.392<br/>18.11 Futures-style options.393<br/>Summary..393<br/>Further reading..394<br/>Practice questions.394<br/>Further questions.396<br/>Chapter19. The Greek letters.397<br/>19.1 Illustration..397<br/>19.2 Naked and covered positions.398<br/>19.3 Greek letter calculation.400<br/>19.4 Delta hedging..401<br/>19.5 Theta.407<br/>19.6 Gamma..409<br/>19.7 Relationship between delta, theta, and gamma.413<br/>19.8 Vega..414<br/>19.9 Rho.416<br/>19.10 The realities of hedging.417<br/>19.11 Scenario analysis..417<br/>19.12 Extension of formulas.419<br/>19.13 Portfolio insurance.421<br/>19.14 Stock market volatility..423<br/>Summary..423<br/>Further reading..425<br/>Practice questions.425<br/>Further questions.427<br/>Appendix: Taylor series expansions and Greek letters..429<br/>Chapter20. Volatility smiles.430<br/>20.1 Why the volatility smile is the same for calls and puts.430<br/>20.2 Foreign currency options.432<br/>20.3 Equity options.435<br/>20.4 Alternative ways of characterizing the volatility smile.437<br/>20.5 The volatility term structure and volatility surfaces..437<br/>20.6 Minimum variance delta.439<br/>20.7 The role of the model.439<br/>20.8 When a single large jump is anticipated.440<br/>Summary..441<br/>Further reading..442<br/>Practice questions.443<br/>Further questions.444<br/>Appendix: Determin ingimplied risk-neutral distributions from volatility smiles.446<br/>Chapter21. Basic numerical procedures..449<br/>21.1 Binomial trees..449<br/>21.2 Using the binomial tree for options on indices, currencies, and futures contracts..457<br/>21.3 Binomial model for a dividend-paying stock.459<br/>21.4 Alternative procedures for constructing trees..464<br/>21.5 Time-dependent parameters..467<br/>21.6 Monte Carlo simulation.468<br/>21.7 Variance reduction procedures..474<br/>21.8 Finite difference methods.477<br/>Summary.487<br/>Further reading..488<br/>Practice questions..489<br/>Further questions..491<br/>Chapter22. Value at risk and expected shortfall.493<br/>22.1 The VaR and ES measures.493<br/>22.2 Historical simulation.496<br/>22.3 Model-building approach.500<br/>22.4 The linear model..503<br/>22.5 The quadratic model.508<br/>22.6 Monte Carlo simulation.511<br/>22.7 Comparison of approaches.512<br/>22.8 Back testing.512<br/>22.9 Principal components analysis.513<br/>Summary.516<br/>Further reading..517<br/>Practice questions..517<br/>Further questions..518<br/>Chapter23. Estimating volatilities and correlations..520<br/>23.1 Estimating volatility..520<br/>23.2 The exponentially weighted moving average model.522<br/>23.3 The GARCH(1,1) model..524<br/>23.4 Choosing between the models.525<br/>23.5 Maximum likelihood methods.526<br/>23.6 Using GARCH(1,1) to forecast future volatility.531<br/>23.7 Correlations.534<br/>23.8 Application of EWMA to four-index example.537<br/>Summary.539<br/>Further reading..539<br/>Practice questions..539<br/>Further questions..541<br/>Chapter24.Credit risk.543<br/>24.1 Credit ratings.543<br/>24.2 Historical default probabilities..544<br/>24.3 Recovery rates..545<br/>24.4 Estimating default probabilities from bond yield spreads.546<br/>24.5 Comparison of default probability estimates..549<br/>24.6 Using equity prices to estimate default probabilities.552<br/>24.7 Credit risk in derivatives transactions.554<br/>24.8 Default correlation..560<br/>24.9 Credit VaR..563<br/>Summary.565<br/>Further reading..565<br/>Practice questions..566<br/>Further questions..568<br/>Chapter25. Credit derivatives.569<br/>25.1 Credit default swaps.570<br/>25.2 Valuation of credit default swaps..573<br/>25.3 Credit indices..577<br/>25.4 The use of xed coupons.578<br/>25.5 CDS forwards and options..579<br/>25.6 Basket credit default swaps..579<br/>25.7 Total return swaps.579<br/>25.8 Collateralized debt obligations..581<br/>25.9 Role of correlation in abasket CDS and CDO.583<br/>25.10 Valuation of a synthetic CDO..583<br/>25.11 Alternatives to the standard market model.590<br/>Summary..592<br/>Further reading..592<br/>Practice questions.593<br/>Further questions.594<br/>Chapter26. Exotic options.596<br/>26.1 Packages.596<br/>26.2 Perpetual American call and put options.597<br/>26.3 Nonstandard American options..598<br/>26.4 Gap options..599<br/>26.5 Forward start options.600<br/>26.6 Cliquet options..600<br/>26.7 Compound options.600<br/>26.8 Chooser options.601<br/>26.9 Barrier options..602<br/>26.10 Binary options.604<br/>26.11 Lookback options..605<br/>26.12 Shout options..607<br/>26.13 Asian options..608<br/>26.14 Options to exchange one asset for another.609<br/>26.15 Options involving sever alassets..610<br/>26.16 Volatility and variance swaps.611<br/>26.17 Static options replication.614<br/>Summary..616<br/>Further reading..617<br/>Practice questions.617<br/>Further questions.619<br/>Chapter27. More on models and numerical procedures..622<br/>27.1 Alternatives to Black-Scholes-Merton..623<br/>27.2 Stochastic volatility models..628<br/>27.3 The IVF model..630<br/>27.4 Convertible bonds..632<br/>27.5 Path-dependent derivatives.634<br/>27.6 Barrier options..637<br/>27.7 Options on two correlated assets..640<br/>27.8 Monte Carlo simulation and American options..642<br/>Summary..646<br/>Further reading..647<br/>Practice questions.648<br/>Further questions.650<br/>Chapter28. Martingales and measures..652<br/>28.1 The market price of risk..653<br/>28.2 Several state variables..656<br/>28.3 Martingales..657<br/>28.4 Alternative choices for the numeraire.658<br/>28.5 Extension to several factors..661<br/>28.6 Black抯 model revisited..662<br/>28.7 Option to exchange one asset for another.663<br/>28.8 Change of numeraire.664<br/>Summary.666<br/>Further reading..667<br/>Practice questions..667<br/>Further questions..668<br/>Chapter29. Interest rate derivatives: The standard market models..670<br/>29.1 Bond options.670<br/>29.2 Interest rate caps and oors..675<br/>29.3 European swa poptions..681<br/>29.4 Hedging interest rate derivatives..684<br/>Summary.685<br/>Further reading..686<br/>Practice questions..686<br/>Further questions..688<br/>Chapter30. Convexity, timing, and quanto adjustments..689<br/>30.1 Convexity adjustments.689<br/>30.2 Timing adjustments.693<br/>30.3 Quantos..695<br/>Summary.698<br/>Further reading..698<br/>Practice questions..698<br/>Further questions..700<br/>Appendix: Proof of the convexity adjustment formula..701<br/>Chapter31.Equilibrium models of the short rate.702<br/>31.1 Background.702<br/>31.2 One-factor models.704<br/>31.3 Real-world vs. risk-neutral processes..709<br/>31.4 Estimating parameters.710<br/>31.5 More sophisticated models.711<br/>Summary.712<br/>Further reading..712<br/>Practice questions..712<br/>Further questions..713<br/>Chapter32. No-arbitrage models of the short rate.715<br/>32.1 Extensions of equilibrium models..715<br/>32.2 Options on bonds.719<br/>32.3 Volatility structures.720<br/>32.4 Interest rate trees..721<br/>32.5 A general tree-building procedure..723<br/>32.6 Calibration.732<br/>32.7 Hedging usinga one-factor model.734<br/>Summary.735<br/>Further reading..735<br/>Practice questions.735<br/>Further questions.736<br/>Chapter33.HJM, LMM, and multiple zero curves..738<br/>33.1 The Heath, Jarrow, and Morton model.738<br/>33.2 The LIBOR market model..741<br/>33.3 Handling multiple zero curves..751<br/>33.4 Agency mortgage-backed securities.752<br/>Summary..754<br/>Further reading..755<br/>Practice questions.755<br/>Further questions.756<br/>Chapter34. Swaps Revisited.757<br/>34.1 Variations on the vanilla deal..757<br/>34.2 Compounding swaps.759<br/>34.3 Currency swaps..760<br/>34.4 More complexs waps..761<br/>34.5 Equity swaps.764<br/>34.6 Swaps with embedded options..765<br/>34.7 Other swaps..768<br/>Summary..769<br/>Further reading..770<br/>Practice questions.770<br/>Further questions.770<br/>Chapter35. Energy and commodity derivatives..772<br/>35.1 Agricultural commodities..772<br/>35.2 Metals..773<br/>35.3 Energy products.774<br/>35.4 Modeling commodity prices.776<br/>35.5 Weather derivatives.782<br/>35.6 Insurance derivatives.783<br/>35.7 Pricing weather and insurance derivatives.784<br/>35.8 How an energy producer can hedge risks.785<br/>Summary..786<br/>Further reading..786<br/>Practice questions.787<br/>Further question..788<br/>Chapter36. Real options.789<br/>36.1 Capital investment appraisal..789<br/>36.2 Extension of the risk-neutral valuation framework..790<br/>36.3 Estimating the market price of risk.792<br/>36.4 Application to the valuation of a business.793<br/>36.5 Evaluating options in an investment opportunity..793<br/>Summary..800<br/>Further reading..800<br/>Practice questions.801<br/>Further questions.801<br/>Chapter37. Derivatives mishaps and what we can learn from them..803<br/>37.1 Lessons for all users of derivatives..803<br/>37.2 Lessons for nancial institutions.807<br/>37.3 Lessons for nonnancial corporations.812<br/>Summary.814<br/>Further reading..814<br/>Appendix A. DerivaGem software..815<br/>Appendix B. Major exchanges trading futures and options..820<br/>Appendix C. Table for N(x) when x≤0..821<br/>Appendix D. Table for N(x) when x≥0..822