Options, Futures, and Other Derivatives, 11th edition

John C. Hull University of Toronto

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For business, economics, and financial engineering and mathematics courses.

The definitive guide to the derivatives market, updated with contemporary examples and discussions

Known as “the bible” to business and economics professionals and a consistent best-seller, Options, Futures, and Other Derivatives gives readers a modern look at the derivatives market. By incorporating the industry's hottest topics, such as the securitization and credit crisis, the text helps bridge the gap between theory and practice.

The 11th Edition covers all of the latest regulations and trends, including the Black-Scholes-Merton formulas, overnight indexed swaps, and the valuation of commodity derivatives.

Hallmark features of this title

A delicate balance of mathematical sophistication

Nonessential mathematical material has been eliminated or included in end-of-chapter appendices and the technical notes on the author's website.
Concepts that are likely to be new to many readers have been explained carefully.
Numerical examples have been included for added clarity.

Accompanying software lets students get comfortable with models

An Options Calculator helps students value a wide range of options.
An Applications Builder lets students explore the properties of numerical procedures and options more effectively. Instructors can also design more engaging assignments around custom applications.
A Monte Carlo simulation worksheet illustrates how to use the simulation for valuing options.

New and updated features of this title

Coverage of the latest market trends

UPDATED: Tables, charts, examples and market data discussions have all been revisited to reflect current market conditions. They include overnight reference rates that will replace LIBOR at the end of 2021, and their impact on valuation models; rough volatility models which have in the last few years been found to fit volatility surfaces; machine learning in the pricing and hedging of derivatives; and changes in the regulatory environment.

Practice-focused resources

UPDATED: End-of-chapter problems, which were previously based on LIBOR, have been replaced by those based on the new reference rates or by generic examples.
NEW: Short Concept Questions in the first 20 chapters help students determine whether they understand the key ideas they've just covered.
NEW: Solutions to all end-of-chapter problems and questions are now available on pearson.com and www-2.rotman.utoronto.ca/~hull.

List of Business Snapshots
List of Technical Notes

Introduction
Futures markets and central counterparties
Hedging strategies using futures
Interest rates
Determination of forward and futures prices
Interest rate futures
Swaps
Securitization and the financial crisis of 2007-8
XVAs
Mechanics of options markets
Properties of stock options
Trading strategies involving options
Binomial trees
Wiener processes and Itô's lemma
The Black–Scholes–Merton model
Employee stock options
Options on stock indices and currencies
Futures options and Black's model
The Greek letters
Volatility smiles and Volatility Surfaces
Basic numerical procedures
Value at risk and expected shortfall
Estimating volatilities and correlations
Credit risk
Credit derivatives
Exotic options
More on models and numerical procedures
Martingales and measures
Interest rate derivatives: The standard market models
Convexity, timing, and quanto adjustments
Equilibrium models of the short rate
No-arbitrage models of the short rate
Modeling Forward Rates
Swaps Revisited
Energy and commodity derivatives
Real options
Derivatives mishaps and what we can learn from them

Glossary of terms

DerivaGem software

Major exchanges trading futures and options

Tables for N x

About our author

John Hull is the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto (UofT). In 2016, he was awarded the title of University Professor (an honor granted to only 2% of faculty at UofT). He is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. He has acted as a consultant to many financial institutions throughout the world and has won many teaching awards, including UofT's prestigious Northrop Frye award. His research and teaching activities include risk management, regulation, and machine learning, as well as derivatives. He is co-director of Rotman's Master in Finance and Master in Financial Risk Management Programs.

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Pearson eTextbook: What’s on the inside just might surprise you

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