ESCP Europe

"Learn about derivatives from the book that is the top seller in the college market and is known as the "bible" in trading rooms throughout the world. New material in this edition on credit risk, credit derivatives, Basel II, the variance-gamma model, executive stock options, convexity adjustments, and much, much more" - in book jacket.

1. Introduction --- 2. Mechanics of futures markets --- 3. Hedging strategies using futures --- 4. Interest rates --- 5. Determination of forward and futures prices --- 6. Interest rate futures --- 7. Swaps --- 8. Mechanics of options markets --- 9. Properties of stock options --- 10. Trading strategies involving options --- 11. Binomial trees --- 12. Wiener processes and Ito's lemma --- 13. The Black-Scholes-Merton model --- 14. Options on stock indices, currencies, and futures --- 15. The Greek letters --- 16. Volatility smiles --- 17. Basic numerical procedures --- 18. Value at risk --- 19. Estimating volatilities and correlations --- 20. Credit risk --- 21. Credit derivatives --- 22. Exotic options --- 23. Weather, energy and insurance derivatives --- 24. More on models and numerical procedures --- 25. Martingales and measures --- 26. Interest rate derivatives: the standard market models --- 27. Convexity, timing and Quanto adjustments --- 28. Interest rate derivatives: models of the short rate --- 29. Interest rate derivatives: HJM and LMM --- 30. Swaps revisited --- 31. Real options --- 32. Derivatives mishaps and what we can learn from them..