Rubinstein on Derivatives

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

Mark Rubinstein is the Paul Stephens Professor of Applied Investment Analysis at the Haas School of Business at the University of California at Berkeley. He is a graduate of Harvard University, Stanford University and the University of California at Los Angeles.

Professor Rubinstein is renowned for his work on the binominal option pricing model (also known as the Cox-Ross-Rubinstein model). His publications include the book Options Markets, as well as more than 50 publications in leading finance and economic journals. He is currently an associate editor of 10 journals in these areas.

He has won numerous prizes and awards for his research and writing on derivatives, including International Financial Engineer of the Year for 1995. In 1993 he served as President of the American Finance Association.