Preface Part I: Introduction to Derivatives Chapter 1: Derivatives and Risk Management Chapter 2: Interest Rates Chapter 3: Stocks Chapter 4: Forwards and Futures Chapter 5: Options Chapter 6: Arbitrage and Trading Chapter 7: Financial Engineering and Swaps Part II: Forwards and Futures Chapter 8: Forward and Futures Markets Chapter 9: Futures Trading Chapter 10: Futures Regulations Chapter 11: The Cost of Carry Model Chapter 12: The Extended Cost of Carry Model Chapter 13: Futures Hedging Part III: Options Chapter 14: Options Markets and Trading Chapter 15: Option Trading Strategies Chapter 16: Option Relations Chapter 17: Single Period Binomial Model Chapter 18: Multiperiod Binomial Model Chapter 19: The Black-Scholes-Merton Model Chapter 20: Using the Black-Scholes-Merton Model Part IV: Interest Rate Derivatives Chapter 21: Yields and Forward Rates Chapter 22: Interest Rate Swaps Chapter 23: Single Period Binomial HJM Model Chapter 24: Multiperiod Binomial HJM Model Chapter 25: The HJM Libor Model Chapter 26: Risk Management Models Appendix: Mathematics and Statistics References Notation Information Sources and Websites Books on Derivatives
Robert A. Jarrow is Chaired Professor of Finance at Cornell University. Professor Jarrow is among the most distinguished finance scholars of his generation. He is the co-developer of one of the most widely used pricing models in all of finance, the Heath-Jarrow-Morton (HJM) model for pricing interest-rate derivatives. He is the author of two advanced books, Modelling Fixed Income Securities and Interest Rate Options (McGraw, 1996) and Derivative Securities (with Stuart Turnbull, Southwestern, 2000). Arka Chatterjea (Ph.D. Cornell) is a former student of Robert Jarrow's and is currently a Research Fellow at the Center for Excellence in Investment Management at the Kenan-Flagler Business School at the University of North Carolina, Chapel Hill. He has taught the derivatives course at Cornell, UNC, University of Colorado at Boulder, and Indiana University, Bloomington.