<p>&nbsp;</p><p>&nbsp;</p><p></p><p></p><p>contents of volume one<br/>Visual Basic Code xxv<br/>Prolog to the Second Edition xxvii<br/>PART ONE MATHEMATICAL AND FINANCIAL FOUNDATIONS; BASIC<br/>THEORY OF DERIVATIVES; RISK AND RETURN 1<br/>1 Products and Markets 5<br/>2 Derivatives 25<br/>3 The Random Behavior of Assets 55<br/>4 Elementary Stochastic Calculus 71<br/>5 The Black–Scholes Model 91<br/>6 Partial Differential Equations 101<br/>7 The Black–Scholes Formulae and the ‘Greeks’ 109<br/>8 Simple Generalizations of the Black–Scholes World 139<br/>9 Early Exercise and American Options 151<br/>10 Probability Density Functions and First-exit Times 169<br/>11 Multi-asset Options 183<br/>12 How to Delta Hedge 197<br/>13 Fixed-income Products and Analysis: Yield, Duration and Convexity 225<br/>14 Swaps 251<br/>viii contents<br/>15 The Binomial Model 261<br/>16 How Accurate is the Normal Approximation? 295<br/>17 Investment Lessons from Blackjack and Gambling 301<br/>18 Portfolio Management 317<br/>19 Value at Risk 331<br/>20 Forecasting the Markets? 343<br/>21 A Trading Game 359<br/>contents ix<br/>contents of volume two<br/>PART TWO EXOTIC CONTRACTS AND PATH DEPENDENCY 365<br/>22 An Introduction to Exotic and Path-dependent Derivatives 367<br/>23 Barrier Options 385<br/>24 Strongly Path-dependent Derivatives 417<br/>25 Asian Options 427<br/>26 Lookback Options 445<br/>27 Derivatives and Stochastic Control 453<br/>28 Miscellaneous Exotics 461<br/>29 Equity and FX Term Sheets 481<br/>PART THREE FIXED-INCOME MODELING AND DERIVATIVES 507<br/>30 One-factor Interest Rate Modeling 509<br/>31 Yield Curve Fitting 525<br/>32 Interest Rate Derivatives 533<br/>33 Convertible Bonds 553<br/>34 Mortgage-backed Securities 571<br/>35 Multi-factor Interest Rate Modeling 581<br/>36 Empirical Behavior of the Spot Interest Rate 595<br/>37 The Heath, Jarrow &amp; Morton and Brace, Gatarek &amp; Musiela Models 609<br/>38 Fixed-income Term Sheets 627<br/>PART FOUR CREDIT RISK 637<br/>39 Value of the Firm and the Risk of Default 639<br/>40 Credit Risk 649<br/>x contents<br/>41 Credit Derivatives 675<br/>42 RiskMetrics and CreditMetrics 701<br/>43 CrashMetrics 709<br/>44 Derivatives **** Ups 731<br/>contents xix<br/>contents of volume three<br/>PART FIVE ADVANCED TOPICS 745<br/>45 Financial Modeling 749<br/>46 Defects in the Black–Scholes Model 755<br/>47 Discrete Hedging 763<br/>48 Transaction Costs 783<br/>49 Overview of Volatility Modeling 813<br/>50 Deterministic Volatility Surfaces 833<br/>51 Stochastic Volatility 853<br/>52 Uncertain Parameters 869<br/>53 Empirical Analysis of Volatility 881<br/>54 Stochastic Volatility and Mean-variance Analysis 889<br/>55 Asymptotic Analysis of Volatility 901<br/>56 Volatility Case Study: The Cliquet Option 915<br/>57 Jump Diffusion 927<br/>58 Crash Modeling 939<br/>59 Speculating with Options 953<br/>60 Static Hedging 969<br/>61 The Feedback Effect of Hedging in Illiquid Markets 989<br/>62 Utility Theory 1005<br/>63 More About American Options and Related Matters 1013<br/>64 Advanced Dividend Modeling 1035<br/>65 Serial Autocorrelation in Returns 1045<br/>66 Asset Allocation in Continuous Time 1051<br/>xx contents<br/>67 Asset Allocation Under Threat of a Crash 1061<br/>68 Interest-rate Modeling Without Probabilities 1077<br/>69 Pricing and Optimal Hedging of Derivatives, the Non-probabilistic<br/>Model Cont’d 1099<br/>70 Extensions to the Non-probabilistic Interest-rate Model 1117<br/>71 Modeling Inflation 1129<br/>72 Energy Derivatives 1141<br/>73 Real Options 1151<br/>74 Life Settlements and Viaticals 1161<br/>75 Bonus Time 1175<br/>PART SIX NUMERICAL METHODS AND PROGRAMS 1189<br/>76 Overview of Numerical Methods 1191<br/>77 Finite-difference Methods for One-factor Models 1199<br/>78 Further Finite-difference Methods for One-factor Models 1227<br/>79 Finite-difference Methods for Two-factor Models 1253<br/>80 Monte Carlo Simulation 1263<br/>81 Numerical Integration 1285<br/>82 Finite-difference Programs 1295<br/>83 Monte Carlo Programs 1311<br/>Appendix A All the Math You Need. . . and No More (An Executive Summary) 1317<br/>Bibliography 1329<br/>Index 1351</p>