Rubinstein on Derivatives
2000
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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