Basic Theory of Derivatives |
Products and Markets |
Derivatives |
The Random Behavior of 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 Functions and First Exit Times |
Multi-asset Options |
The Binomial Model |
Path Dependency |
An Introduction to Exotic and Path-dependent Options |
Barrier Options |
Strongly Path-dependent Options |
Asian Options |
Lookback Options |
Miscellaneous Exotics |
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 |
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 |
Risk Measurement and Management |
Portfolio Management |
Value at Risk |
Credit Risk |
Credit Derivatives |
RiskMetrics, CreditMetrics and CrashMetrics |
Numerical Methods |
Finite-difference Methods for One-factor Models |
Further Finite-difference Methods for One-factor Models |
Finite-difference Methods for Two-factor Models |
Monte Carlo Simulation and Related Methods |
Finite-difference Programs |
Epilog |
Bibliography |
Index |
Basic Theory of Derivatives |
Products and Markets |
Derivatives |