Introduction to Financial Derivatives
Mathematical Finance in Discrete Time
- Finite Spot Markets
- Finite Futures Market
- Futures Prices Versus Forward Prices
- The Cox-Ross-Rubinstein Model
Market Imperfections
The Black-Scholes Model
- Spot Market
- Riskless Portfolio Method
- Sensitivity Analysis
- Futures Market
- Option on a Dividend-Paying Stock
- Stock Price Volatility
Foreign Market Derivatives
- Currency Markets
- Cross-Currency Market Model
- Currency Forward Contracts and Options
- Foreign Equity Forward Contracts
- Foreign Market Futures Contracts
- Foreign Equity Options
American Options
- Valuation of American Claims
- American Call and Put Options
- Early Exercise Representation of an American Put
- Analytical Approach
- Option on a Dividend-Paying Stock
Exotic Options
- Package Options
- Forward-start Options
- Chooser Options
- Compound Options
- Digital Options
- Barrier Options
- Lookback Options
- Asian Options
- Basket Options
Mathematical Finance in Continuous Time
- Standard Market Models
- Multidimensional Black-Scholes Model
- The Greeks
- Approximations of Continuous Time Market Models
- Futures Markets
Fixed-Income Market
- Interest Rates and Related Contracts
- Bond Market
- Models of the Short-Term Rate
- Models of Instantaneous Forward Rates
- Models of Bond Prices and LIBOR Rates
- Option Valuation in Gaussian Models
Bibliography