Rubinstein on Derivatives

Incisive Media, June 2000, Pages: 471

The authentic voice of a genuine master of his craft in a full introduction to modern derivatives pricing and hedging that is clear, provocative and rich in insight and experience

-Designed for the widest audience, without sacrificing a high level of understanding, graduating from limited math to arithmetic and algebra and some calculus

-Covers forwards and futures, options, binomial trees, Black-Scholes, volatility and dynamic strategies with detailed definitions and examples

Preface

Assets, Derivatives and Markets

Basic concepts
Underlying assets
Classes of derivatives
Examples of derivatives
Markets

Forwards and Futures

Asset and Cash
Valuation and replication
Examples of forwards and futures
Hedging with futures
Swaps

Introduction to Options

Basic positions
Combined positions
Valuation
Replication

The Binomial Option Pricing Model

Single-period model
Multiperiod model
Hedging with options
Extensions
Options on bonds

The Black-Scholes Formula

Derivation
Hedging parameters
Extensions

Volatility

Realised volatility
Implied volatility

Dynamic Strategies

Dynamic asset allocation
Portfolio insurance
Simulation

Glossary
Bibliography
Index

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