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Options, Futures, and Other Derivatives (4th Edition), by John C. Hull
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For undergraduate and graduate courses in Options and Futures, Financial Engineering and Risk Management, typically found in business, finance, economics and mathematics departments. Also suitable for practitioners who want to acquire a working knowledge of how derivatives can be analyzed.This best seller represents how academia and real-world practice have come together with a common respect and focus of theory and practice. It provides a unifying approach to the valuation of all derivatives--not just futures and options. It assumes that the reader has taken an introductory course in finance and an introductory course in probability and statistics. No prior knowledge of options, futures contracts, swaps, and so on is assumed.
- Sales Rank: #409613 in Books
- Published on: 2000-01-15
- Original language: English
- Number of items: 1
- Dimensions: 1.31" h x 6.20" w x 9.24" l,
- Binding: Hardcover
- 720 pages
From the Inside Flap
Preface
This book is appropriate for graduate and advanced undergraduate elective courses in business, economics, and financial engineering. It is also suitable for practitioners who want to acquire a working knowledge of how derivatives can be analyzed.
One of the key decisions that must be made by an author who is writing in the area of derivatives concerns the use of mathematics. If the level of mathematical sophistication is too high, the material is likely to be inaccessible to many students and practitioners. If it is too low, some important issues will inevitably be treated in a rather superficial way. In this book, great care has been taken in the use of mathematics. Nonessential mathematical material has been either eliminated or included in end-of-chapter appendices. Concepts that are likely to be new to many readers have been explained carefully, and many numerical examples have been included.
This book provides a unifying approach to the valuation of all derivatives - not just futures and options. The book assumes that the reader has taken an introductory course in finance and an introductory course in probability and statistics. No prior knowledge of options, futures contracts, swaps, and so on is assumed. It is not therefore necessary for students to take an elective course in investments prior to taking a course based on this book. Changes in This Edition
This edition contains more material than the third edition. The material in the third edition has been updated and its presentation has been improved in a number of places. The major changes include:
1. A new chapter (chapter 14) has been included on value at risk.
2. A new chapter (chapter 15) has been included on estimating volatilities and correlations. GARCH models are covered in much more detail than in the third edition.
3. Chapter 19 contains much new material and explains the role played by martingales and measures in the valuation of derivatives.
4. Chapter 20 on the standard market models for valuing interest rate derivatives has been revised. It now uses the material in chapter 19 to provide a more complete discussion of the models for valuing bond options, caps, and swap options.
5. There are now two chapters on equilibrium and no-arbitrage models of the term structure (chapters 21 and 22). Chapter 21 covers equilibrium models and one-factor no-arbitrage models of the short rate. Chapter 22 covers two-factor models of the short rate, the HIM model, and the LIBOR market (BGM) model.
6. Chapter 4 on Interest Rates and Duration has been rewritten to make the material clearer and more relevant.
7. Chapter 23 on Credit Risk has been rewritten to reflect developments in this important area.
8. More material has been added on volatility smiles and volatility skews (chapter 17).
9. The sequencing of the material has been changed slightly. Volatility smiles and alternatives to Black-Scholes now appear before the chapter on exotic options, which in turn appears before the material on interest rate derivatives.
10. The notation has been improved and simplified. So and Fo are used to denote the asset price and the forward price today (that is, at time zero) and the cumbersome "T - t" no longer appears in most parts of the book.
11. A glossary of terms has been included.
12. Many new problems and questions have been added. Software
New Excel-based software, DerivaGem, is included with the book. This software is a big improvement over the software included with previous editions. It has been carefully designed to complement the material in the text. Users can calculate options prices, imply volatilities, and calculate Greek letters for European options, American options, exotic options, and interest rate derivatives. Interest rate derivatives can be valued either using Black's model or a no-arbitrage model. The software can be used to display binomial trees (see for example Figure 16.3 and Figure 21.11) and provide many different charts showing the impact of different variables on either option prices or the Greek letters.
The software is described more fully at the end of the book. Updates to the software can be downloaded from my Web site (mgmt.utoronto.ca/-hull). Slides
Several hundred PowerPoint slides can be downloaded from my Web site. The slides now use only standard fonts. Instructors can adapt the slides to meet their own needs. Answers to Questions
Solutions to the end-of-chapter problems in the first three editions were available only in the Instructor's Manual. Over the years many people have asked me to make the solutions more generally available. I have hesitated to do this because it would prevent instructors from using the problems as assignment questions.
In this edition I have dealt with this issue by dividing the end-of-chapter problems into two groups: "Questions and Problems" and "Assignment Questions". There are over 450 Questions and Problems and solutions to these are in a book Options, Futures, & Other Derivatives: Solutions Manual, which is published by Prentice Hall. There are about 80 Assignment Questions. Solutions to these are available only in the Instructor's Manual.
From the Back Cover
One of the exciting developments in finance over the last 20 years has been the growth of derivatives markets. In many situations, both hedgers and speculators find it more attractive to trade a derivative on an asset than to trade the asset itself. Some derivatives are traded on exchanges. Others are traded by financial institutions, fund managers, and corporations in the over-the-counter market, or added to new issues of debt and equity securities. Much of this book is concerned with the valuation of derivatives. The aim is to present a unifying framework within all derivatives-not just options or futures-can be valued.
Excerpt. © Reprinted by permission. All rights reserved.
Preface
This book is appropriate for graduate and advanced undergraduate elective courses in business, economics, and financial engineering. It is also suitable for practitioners who want to acquire a working knowledge of how derivatives can be analyzed.
One of the key decisions that must be made by an author who is writing in the area of derivatives concerns the use of mathematics. If the level of mathematical sophistication is too high, the material is likely to be inaccessible to many students and practitioners. If it is too low, some important issues will inevitably be treated in a rather superficial way. In this book, great care has been taken in the use of mathematics. Nonessential mathematical material has been either eliminated or included in end-of-chapter appendices. Concepts that are likely to be new to many readers have been explained carefully, and many numerical examples have been included.
This book provides a unifying approach to the valuation of all derivatives - not just futures and options. The book assumes that the reader has taken an introductory course in finance and an introductory course in probability and statistics. No prior knowledge of options, futures contracts, swaps, and so on is assumed. It is not therefore necessary for students to take an elective course in investments prior to taking a course based on this book.
Changes in This EditionThis edition contains more material than the third edition. The material in the third edition has been updated and its presentation has been improved in a number of places. The major changes include:
1. A new chapter (chapter 14) has been included on value at risk.
2. A new chapter (chapter 15) has been included on estimating volatilities and correlations. GARCH models are covered in much more detail than in the third edition.
3. Chapter 19 contains much new material and explains the role played by martingales and measures in the valuation of derivatives.
4. Chapter 20 on the standard market models for valuing interest rate derivatives has been revised. It now uses the material in chapter 19 to provide a more complete discussion of the models for valuing bond options, caps, and swap options.
5. There are now two chapters on equilibrium and no-arbitrage models of the term structure (chapters 21 and 22). Chapter 21 covers equilibrium models and one-factor no-arbitrage models of the short rate. Chapter 22 covers two-factor models of the short rate, the HIM model, and the LIBOR market (BGM) model.
6. Chapter 4 on Interest Rates and Duration has been rewritten to make the material clearer and more relevant.
7. Chapter 23 on Credit Risk has been rewritten to reflect developments in this important area.
8. More material has been added on volatility smiles and volatility skews (chapter 17).
9. The sequencing of the material has been changed slightly. Volatility smiles and alternatives to Black-Scholes now appear before the chapter on exotic options, which in turn appears before the material on interest rate derivatives.
10. The notation has been improved and simplified. So and Fo are used to denote the asset price and the forward price today (that is, at time zero) and the cumbersome "T - t" no longer appears in most parts of the book.
11. A glossary of terms has been included.
12. Many new problems and questions have been added.
New Excel-based software, DerivaGem, is included with the book. This software is a big improvement over the software included with previous editions. It has been carefully designed to complement the material in the text. Users can calculate options prices, imply volatilities, and calculate Greek letters for European options, American options, exotic options, and interest rate derivatives. Interest rate derivatives can be valued either using Black's model or a no-arbitrage model. The software can be used to display binomial trees (see for example Figure 16.3 and Figure 21.11) and provide many different charts showing the impact of different variables on either option prices or the Greek letters.
The software is described more fully at the end of the book. Updates to the software can be downloaded from my Web site (http://www.mgmt.utoronto.ca/-hull).
SlidesSeveral hundred PowerPoint slides can be downloaded from my Web site. The slides now use only standard fonts. Instructors can adapt the slides to meet their own needs.
Answers to QuestionsSolutions to the end-of-chapter problems in the first three editions were available only in the Instructor's Manual. Over the years many people have asked me to make the solutions more generally available. I have hesitated to do this because it would prevent instructors from using the problems as assignment questions.
In this edition I have dealt with this issue by dividing the end-of-chapter problems into two groups: "Questions and Problems" and "Assignment Questions". There are over 450 Questions and Problems and solutions to these are in a book Options, Futures, & Other Derivatives: Solutions Manual, which is published by Prentice Hall. There are about 80 Assignment Questions. Solutions to these are available only in the Instructor's Manual.
Most helpful customer reviews
5 of 5 people found the following review helpful.
classical book
By F. N. Tavares
I was planning to buy this book for a few years.
This is a classical book on Derivatives. A must have for anyone that is interested in learning how derivatives work and how to price them.
It provides good reasoning and intuitive ideas on risk-neutral pricing. I tried learning that from other books before but the main ideas are so well explained here that now I can understand what those other books say (concepts like market price of risk and the equivalent martingale result for change of numeraire). Interest rate derivatives are well introduced here and the new chapter on more numerical procedures extends the results from previous chapters to dynamics with stochastic volatility and so on.
So, this is a must have and basic reading book for any quant analyst.
1 of 1 people found the following review helpful.
Five Stars
By Amazon Customer
the best.
6 of 7 people found the following review helpful.
Great intro
By wiredweird
I started not knowing a "put" from a "call," but I needed to know a fair bit about how financial engineers (coming from a family of PEs, I'm still not used to that term) use math. This has been the introduction I wanted - not the advanced stuff, but enough to help me understand that material.
Methodical pacing leads the reader gradually through the basics, from just what a derivative is on through the brief story of how futures markets work - in short, they abstract buying and selling into buying and selling the right to buy and sell. I tend towards the concrete, so many of these transactions seemed a bit airy to me. Oh, I can follow the reasoning well enough, but I just never saw where the satisfaction of the thing solid and completed comes in. As it turns out, it doesn't. Once you've really got that in the pit of your stomach, then Hull's presentation follows smoothly.
He gradually derives models of increasing complexity. Diligent reader with a little calculus or a lot of trust will follow along easily. Later chapters draw on more advanced concepts in probabilistic modeling, but present the reader with only the aspects needed for the discussion at hand - a mercy, considering the size of the specialized vocabulary involved in the rest of the explanation.
This book ends when the foundation has been built. More advanced needs must be met with other sources - not a problem with this text, just a matter of its chosen scope. I needed that foundation, however, so I recommend this book to anyone with reasonaable math skills and a need to know the material.
-- wiredweird, reviewing the 6th edition
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