Preface to the Second Edition
Note on the Second Printing
Preface to the First Edition
Part I Spot and Futures Markets
1 An Introduction to Financial Derivatives
1.1 Options
1.2 Futures Contracts and Options
1.3 Forward Contracts
1.4 Call and Put Spot Options
1.4.1 One-period Spot Market
1.4.2 Replicating Portfolios
1.4.3 Martingale Measure for a Spot Market
1.4.4 Absence of Arbitrage
1.4.5 Optimality of Replication
1.4.6 Change of a Numeraire
1.4.7 Put Option
1.5 Forward Contracts
1.5.1 Forward Price
1.6 Futures Call and Put Options
1.6.1 Futures Contracts and Futures Prices
1.6.2 One-period Futures Market
1.6.3 Martingale Measure for a Futures Market
1.6.4 Absence of Arbitrage
1.6.5 One-period SpotFutures Market
1.7 Options of American Style
1.8 Universal No-arbitrage Inequalities
2 Discrete-time Security Markets
2.1 The Cox-Ross-Rubinstein Model
2.1.1 Binomial Lattice for the Stock Price
2.1.2 Recursive Pricing Procedure
2.1.3 CRR Option Pricing Formula
2.2 Martingale Properties of the CRR Model
2.2.1 Martingale Measures
2.2.2 Risk-neutral Valuation Formula
2.2.3 Change of a Numeraire
2.3 The Black-Scholes Option Pricing Formula
2.4 Valuation of American Options
2.4.1 American Call Options
2.4.2 American Put Options
2.4.3 American Claims
2.5 Options on a Dividend-paying Stock
2.6 Security Markets in Discrete Time
2.6.1 Finite Spot Markets
2.6.2 Self-financing Trading Strategies
2.6.3 Replication and Arbitrage Opportunities
2.6.4 Arbitrage Price
2.6.5 Risk-neutral Valuation Formula
2.6.6 Existence of a Martingale Measure
2.6.7 Completeness of a Finite Market
2.6.8 Separating Hyperplane Theorem
2.6.9 Change of a Numeraire
2.6.10 Discrete-time Models with Infinite State Space
2.7 Finite Futures Markets
2.7.1 Self-financing Futures Strategies
2.7.2 Martingale Measures for a Futures Market
2.7.3 Risk-neutral Valuation Formula
2.7.4 Futures Prices Versus Forward Prices
2.8 American Contingent Claims
2.8.1 Optimal Stopping Problems
2.8.2 Valuation and Hedging of American Claims
2.8.3 American Call and Put
2.9 Game Contingent Claims
2.9.1 Dynkin Games
2.9.2 Valuation and Hedging of Game Contingent
Claims
3 Benchmark Models in Continuous Time
3.1 The Black-Scholes Model
3.1.1 Risk-free Bond
3.1.2 Stock Price
3.1.3 Self-financing Trading Strategies
3.1.4 Martingale Measure for the Black-Scholes
Model
……
Part II Fixed-income
Markets
Part
III APPENDIX
References
Index
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