Introduction to Futures and Options Markets

Introduction to Futures and Options Markets

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This introduction to futures and options markets is ideal for readers with limited backgrounds in mathematics.Emphasizing the use of binomial trees for explaining how options are priced, it shows how one- and two-step binomial trees can be analyzed and includes comprehensive treatment of numerical procedures based on bionomial trees. The book also devotes one entire chapter to swaps and one to options on futures. The third edition of Introduction to Futures and Options Markets has been revised to include an explanation of swaps that reflects their use for asset management and liability management. It discusses daycount conventions, scenario analysis, and value-at-risk. And, it includes a revised Chapter 16 that focuses on the volatility smiles observed for equity and currency options and a revised Chapter 17 to provide background information on mortgage-backed securities and explain standard market models used to value European bond options, interest-rate caps and floors, and European swap more

Product details

  • Hardback | 400 pages
  • 175.26 x 236.22 x 27.94mm | 839.14g
  • Pearson Education Limited
  • Prentice-Hall
  • Harlow, United Kingdom
  • 2nd edition
  • 0131229613
  • 9780131229617

Table of contents

1. Introduction. I. FUTURES AND FORWARD MARKETS. 2. Mechanics of Futures and Forward Markets. 3. The Determination of Forward and Futures Prices. Appendix: A Proof that Forward and Futures are Equal When Interest Rates Are Constant. 4. Hedging Strategies Using Futures. Appendix: A Proof of the Minimum Variance Hedge Ratio Formula. 5. Interest-Rate Futures. 6. Swaps. II. OPTIONS MARKETS. 7. Mechanics of Options Markets. 8. Basic Properties of Stock Options. 9. Trading Strategies Involving Options. 10. An Introduction to Binomial Trees. 11. The Pricing of Stock Options Using Black-Scholes. The Early Exercise of American Call Options on Dividend-Paying Stocks. 12. Options on Stock Indices and Currencies. 13. Options on Futures. 14. Hedging Positions in Options and the Creation of Options Synthetically. 15. Valuing Options Numerically Using Binomial Trees. 16. Biases in the Black-Scholes Model. 17. Interest-Rate Options. Answers to Quiz Questions. Table for N(x) when x !a 0. Table for N(x) when x !o 0. Major Exchanges Trading Futures and Options. more

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13 ratings
3.76 out of 5 stars
5 23% (3)
4 38% (5)
3 31% (4)
2 8% (1)
1 0% (0)
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