Actuarial Notes

Options, Futures, and Other Derivatives

By John C. Hull · Pearson · 2021

Study guide: Exam INV-201

A textbook on options markets, futures markets and the full range of derivative securities, in its 11th edition. Pearson describes it as bridging theory and practice across futures and forwards, hedging strategies, swaps, options trading strategies, binomial trees, Black-Scholes-Merton pricing, the Greek letters, volatility smiles, value at risk, exotic options and credit derivatives, covering the latest regulations and trends from overnight indexed swaps to the valuation of commodity derivatives.

On the syllabus

  • Exam INV-201 — Ch. 1 (Sections 1.1-1.5), Ch. 2 (2.1-2.8 and 2.11), Ch. 5 (5.1-5.14), Ch. 7 (7.1-7.13), Ch. 11 (11.1-11.7), Ch. 12 (12.1-12.5), Ch. 13 (13.1-13.3), Ch. 14 (14.1-14.8), Ch. 15 (15.1-15.12), Ch. 17 (17.2), Ch. 19 (19.1-19.9 and 19.13), Ch. 20 (20.1-20.8), Ch. 26 (26.3, 26.8-26.11, 26.13, 26.16 and 26.17), Ch. 27 (27.1-27.3), Ch. 28 (28.1-28.4 and 28.7-28.8), Ch. 29 (29.2-29.3), Ch. 31 (31.3) and Ch. 37 (37.1-37.3), for outcomes 1a-1e, 2a-2f, 2j, 3a, 3b and 3e as the syllabus lists them against each chapter.

List of Business Snapshots

List of Technical Notes

1 Introduction

2 Futures markets and central counterparties

3 Hedging strategies using futures

4 Interest rates

5 Determination of forward and futures prices

6 Interest rate futures

7 Swaps

8 Securitization and the financial crisis of 2007-8

9 XVAs

10 Mechanics of options markets

11 Properties of stock options

12 Trading strategies involving options

13 Binomial trees

14 Wiener processes and Itô's lemma

15 The Black-Scholes-Merton model

16 Employee stock options

17 Options on stock indices and currencies

18 Futures options and Black's model

19 The Greek letters

20 Volatility smiles and Volatility Surfaces

21 Basic numerical procedures

22 Value at risk and expected shortfall

23 Estimating volatilities and correlations

24 Credit risk

25 Credit derivatives

26 Exotic options

27 More on models and numerical procedures

28 Martingales and measures

29 Interest rate derivatives: The standard market models

30 Convexity, timing, and quanto adjustments

31 Equilibrium models of the short rate

32 No-arbitrage models of the short rate

33 Modeling Forward Rates

34 Swaps Revisited

35 Energy and commodity derivatives

36 Real options

37 Derivatives mishaps and what we can learn from them

Glossary of terms

DerivaGem software

Major exchanges trading futures and options

Tables for N(x)

Sources