Options, Futures, and Other Derivatives

Author: John C. Hull
Edition: 11th (2021)

The definitive textbook on derivatives markets — covering futures, options, swaps, credit derivatives, exotic options, and risk management. Used in trading rooms and MBA programs worldwide. This edition adds coverage of the LIBOR phase-out, SOFR reference rates, fractional Brownian motion, machine learning applications, and XVAs.

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Part I: Foundations

• 01 - Introduction
• 02 - Futures Markets and Central Counterparties
• 03 - Hedging Strategies Using Futures
• 04 - Interest Rates
• 05 - Determination of Forward and Futures Prices
• 06 - Interest Rate Futures
• 07 - Swaps
• 08 - Securitization and the Financial Crisis of 2007-8
• 09 - XVAs

Part II: Options Markets

• 10 - Mechanics of Options Markets
• 11 - Properties of Stock Options
• 12 - Trading Strategies Involving Options
• 13 - Binomial Trees
• 14 - Wiener Processes and Itô's Lemma
• 15 - The Black-Scholes-Merton Model
• 16 - Employee Stock Options
• 17 - Options on Stock Indices and Currencies
• 18 - Futures Options and Black's Model
• 19 - The Greek Letters

Part III: Advanced Topics

• 20 - Volatility Smiles and Volatility Surfaces
• 21 - Basic Numerical Procedures
• 22 - Value at Risk and Expected Shortfall
• 23 - Estimating Volatilities and Correlations
• 24 - Credit Risk
• 25 - Credit Derivatives
• 26 - Exotic Options
• 27 - More on Models and Numerical Procedures
• 28 - Martingales and Measures

Part IV: Interest Rate and Commodity Derivatives

• 29 - Interest Rate Derivatives, The Standard Market Models
• 30 - Convexity, Timing, and Quanto Adjustments
• 31 - Equilibrium Models of the Short Rate
• 32 - No-Arbitrage Models of the Short Rate
• 33 - Modeling Forward Rates
• 34 - Swaps Revisited
• 35 - Energy and Commodity Derivatives
• 36 - Real Options
• 37 - Derivatives Mishaps and What We Can Learn from Them