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### Book Details

- Hardcover
- Bookstore's Wholesale Price: $150.00
- February 2013
- ISBN: 978-0-393-91307-1
- 880 pages
- Territory Rights: Worldwide

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# An Introduction to Derivative Securities, Financial Markets, and Risk Management

Hardcover

The first real *introductory* text in derivatives.

Written by Robert Jarrow, one of the true titans of finance, and his former student Arkadev Chatterjea, *Introduction to Derivatives* is the first text developed from the ground up for students taking the introductory derivatives course. The math is presented at the right level and is always motivated by what’s happening in the financial markets. And, as one of the developers of the Heath-Jarrow-Morton Model, Robert Jarrow presents a novel, accessible way to understand this important topic.

## A true introductory text

Co-author Arka Chatterjea’s years of teaching derivatives to a broad range of students has influenced the level and organization of the text. Seven introductory chapters, including a unique chapter on arbitage, provide overviews of topics that are addressed in detail later in the text. The math is accessible and consistently motivated by the underlying financial environment.

## Intuitive and accessible treatment of the three most important derivative models

*Introduction to Derivatives* carefully explains the Single-Period Binomial Model, the Black-Scholes-Merton Model, and the Heath-Jarrow-Morton Model. The authors present the Single-Period Binomial Model and Black-Scholes-Merton Model with an eye toward the later presentation of Heath-Jarrow-Morton, developing the three key models of derivative valuation in a consistent and integrated way.

## Risk management issues are addressed throughout the text

Risk environments make derivatives necessary and highly beneficial for businesses and the economy. The authors thoroughly explore and explain each type of risk environment: market risk, credit risk, liquidity risk, and operational risk.

## Priced! Derivative valuation software specifically designed for the text

Developed by a Cornell computer scientist in collaboration with the authors, Priced! is Excel-based software that makes the models real rather than just hypothetical. Priced! enables students to learn models through manipulating concrete values and seeing the real-life impact of changes to certain variables such as exchange and interest rates. Instructors can use the software during lecture to provide concrete, scenario-based examples of theories discussed during the course. Students can use the software to work through homework assignments or check calculations they’ve done by hand.

- Contents

Preface

**Part I: Introduction to Derivatives**

Chapter 1: Derivatives and Risk Management

Chapter 2: Interest Rates

Chapter 3: Stocks

Chapter 4: Forwards and Futures

Chapter 5: Options

Chapter 6: Arbitrage and Trading

Chapter 7: Financial Engineering and Swaps

**Part II: Forwards and Futures**

Chapter 8: Forward and Futures Markets

Chapter 9: Futures Trading

Chapter 10: Futures Regulations

Chapter 11: The Cost of Carry Model

Chapter 12: The Extended Cost of Carry Model

Chapter 13: Futures Hedging

**Part III: Options**

Chapter 14: Options Markets and Trading

Chapter 15: Option Trading Strategies

Chapter 16: Option Relations

Chapter 17: Single Period Binomial Model

Chapter 18: Multiperiod Binomial Model

Chapter 19: The Black-Scholes-Merton Model

Chapter 20: Using the Black-Scholes-Merton Model

**Part IV: Interest Rate Derivatives**

Chapter 21: Yields and Forward Rates

Chapter 22: Interest Rate Swaps

Chapter 23: Single Period Binomial HJM Model

Chapter 24: Multiperiod Binomial HJM Model

Chapter 25: The HJM Libor Model

Chapter 26: Risk Management Models

Appendix: Mathematics and Statistics

References

Notation

Information Sources and Websites

Books on Derivatives