Derivatives Markets, 3rd edition

Published by Pearson (August 1, 2021) © 2012

  • Robert L. McDonald Northwestern University

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ISBN-13: 9780137612864 (2021 update)
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  • A print text
For courses in options, futures, and derivatives.

To be financially literate in today’s market, business students must have a solid understanding of derivatives concepts and instruments and the uses of those instruments in corporations.  The Third Edition has an accessible mathematical presentation, and more importantly, helps students gain intuition by linking theories and concepts together with an engaging narrative that emphasizes the core economic principles underlying the pricing and uses of derivatives.

The third edition has been updated to include new data and examples throughout.

Brief Contents

  • Preface
  • Chapter 1 Introduction to Derivatives

PART ONE INSURANCE, HEDGING, AND SIMPLE STRATEGIES

  • Chapter 2 An Introduction to Forwards and Options
  • Chapter 3 Insurance, Collars, and Other Strategies
  • Chapter 4 Introduction to Risk Management

PART TWO FORWARDS, FUTURES, AND SWAPS

  • Chapter 5 Financial Forwards and Futures
  • Chapter 6 Commodity Forwards and Futures
  • Chapter 7 Interest Rate Forwards and Futures
  • Chapter 8 Swaps

PART THREE OPTIONS

  • Chapter 9 Parity and Other Option Relationships
  • Chapter 10 Binomial Option Pricing: Basic Concepts
  • Chapter 11 Binomial Option Pricing: Selected Topics
  • Chapter 12 The Black-Scholes Formula
  • Chapter 13 Market-Making and Delta-Hedging
  • Chapter 14 Exotic Options: I

PART FOUR FINANCIAL ENGINEERING AND APPLICATIONS

  • Chapter 15 Financial Engineering and Security Design
  • Chapter 16 Corporate Applications
  • Chapter 17 Real Options

PART FIVE ADVANCED PRICING THEORY AND APPLICATIONS

  • Chapter 18 The Lognormal Distribution
  • Chapter 19 Monte Carlo Valuation
  • Chapter 20 Brownian Motion and Ito's Lemma
  • Chapter 21 The Black-Scholes-Merton Equation
  • Chapter 22 Risk-Neutral and Martingale Pricing
  • Chapter 23 Exotic Options: II
  • Chapter 24 Volatility
  • Chapter 25 Interest Rate and Bond Derivatives
  • Chapter 26 Value at Risk
  • Chapter 27 Credit Risk

Appendixes

  • App. A The Greek Alphabet
  • App. B Continuous Compounding
  • App. C Jensen's Inequality
  • App. D An Introduction to Visual Basic for Applications

Glossary

References

Index

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