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A Complimentary Copy from

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F T Prenticc Hall

HALL

SOLUTIONS MANUAL AND STUDY GUIDE

Fundamentals of Futures and Options Markets
Sixth Edition

John C.Hull
Maple Financial Group Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University of Toronto

Prentice Hall , Upper Saddle River, NJ 07458

Project Manager , Editorial: Mary Kate Mu红ay Project Manager , Production: Carol Sarnet Buyer: Arn old Vila

Copyright @ 2008 by Pearson Education , Inc. , Upper Saddle River , New Jersey , 07458. Pearson Prentice Hall. All rights reserved. Printed in the United States of America. This publication is protected by Copyright and permission should be obtained from the publisher prior to any prohibited reproduction , storage in a retrieval system, or transmission in any form or by any means , electronic, mechanica1, photocopying , recording , or likewise. For information regarding permission(s) , write to: Rights and Permissions Department. work is protected by United States copyright laws and is provided solely for the use of instructors in teaching their courses and assessing student learning. Dissemination or sale of any part ofthis work (inc1uding on the World Wide Web) will destroy 由e integrity of the work and is not pe口时仗时. The work and materials from it should never be made available to students except by instructors using the accompanying tβxt in their c1asses. All recipients of this work are expected to abide by these restrictions and to honor the intended pedagogica1 purposes and the needs of other instructors who rely on these materia1 s. Pearson Prentice Ha l1™ is a trademark of Pearson Education , Inc. 白ns

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ISBN-13: 978-0-13-242当74-2 ISBN- lO: 0-13-242574-2

Contents
Preface Chapter 1 Chapter 2 Chapter 3 Chapter 4 Chapter 5 Chapter 6 Chapter 7 Chapter 8 Chapter 9 Chapter 10 Chapter 11 Chapter 12 Chapter 13 Chapter 14 Chapter 15 Chapter 16 Chapter 17 Chapter 18 Chapter 19 Chapter 20 Chapter 21 Chapter 22 Chapter 23 Introduction Mechanics of Futures Markets Hedging Strategies Using Futures Interest Rates Determination of Forward and Futures Prices Interest Rate Futures Swaps Mechanics of Options Markets Properties of Stock Options T¥ ading Strategies Involving Options Introduction to Binomial Trees Valuing Stock Options: The Black-Scholes Model Options on Stock Indices and Currencies Futures Options The Greek Letters Binomial Tr ees in Practice Volatility Smiles Value at Risk Interest Rate Options Exotic Options and Other Nonstandard Products Credit Derivatives Weather , Energy, and Insurance Derivatives Der如atives Mishaps and What We Can Learn from Them V

1 7 13 19 26 34 41 49 56 63 69 77 87 93 100 112 121 128 135 140 145 151 153

III

Preface
This book contains solutions to the questions and problems that appear at the ends of chapters in my book Fundαmentαls of Futures αnd Options Mαrkets, 6th edition. The questions and problems have been designed to help readers study on their own and test their understanding of the material. They range 仕om quick checks on whether a key point is understood to much more challenging applications of analytical techniques. To maximize the benefits from this book readers are urged to sketch out their own solutions to the problems before consulting mine. At the beginning of each chapter 1 have included a summary of the main points in the chapter and suggested ways readers should approach studying the material in the chapter. You should find this material useful both when you 且rst cover the material in the chapter and when you are studying for exams. 1 welcome comments on either Fundαmentαls of Futures αnd Options Mαrkets , 6th edition or this book. My e-mail address is hull@r悦man. utoronto. ca

John C. Hu l1 Joseph L. Rotman...
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