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Contents

List of Business Snapshots List of Technical Notes 1. Introduction 2. Futures markets and centralcounterparties 3. Hedging strategies usingfutures 4. Interest rates 5. Determination of forward andfutures prices 6. Interest rate futures 7. Swaps 8. Securitization and the creditcrisis of 2007 9. XVAs 10. Mechanics of options markets 11. Properties of stock options 12. Trading strategies involvingoptions 13. Binomial trees 14. Wiener processes and Ito'slemma 15. The Black-Scholes-Merton model 16. Employee stock options 17. Options on stock indices andcurrencies 18. Futures options and Black'smodel 19. The Greek letters 20. Volatility smiles 21. Basic numerical procedures 22. Value at risk and expectedshortfall 23. Estimating volatilities andcorrelations 24. Credit risk 25. Credit derivatives 26. Exotic options 27. More on models and numericalprocedures 28. Martingales and measures 29. Interest rate derivatives: Thestandard market models 30. Convexity, timing, and quantoadjustments 31. Equilibrium models of theshort rate 32. No-arbitrage models of theshort rate 33. HJM, LMM, and multiple zerocurves 34. Swaps Revisited 35. Energy and commodityderivatives 36. Real options 37. Derivatives mishaps and whatwe can learn from them Glossary of terms DerivaGem software Major exchanges trading futuresand options Tables for N (x) Author index Subject index

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