• Designed for the widest audience, without sacrificing a high level of understanding, graduating from limited math to arithmetic and algebra and some calculus

• Covers forwards and futures, options, binomial trees, Black-Scholes, volatility and dynamic strategies with detailed definitions and examples

CONTENTS
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

Reviewed by Satyajit Das, The Finance and Treasury Professional

John Cox and Mark Rubinstein in their 1985 book - Options Markets - set out the basic nature of options in a manner that makes the original book an invaluable reference work even today. Rubinstein on Derivatives is in some ways a second edition of that famous publication. The strength of the book remains its ability to combine the mathematics of derivatives with a reasonably intuitive link to economic theory. An additional strength is the book's appreciation of the practical limits of theory. The seven chapters of the book cover the basic concept of derivatives, forward/futures contracts, options, option pricing, volatility and also dynamic hedging strategies. The book also has a detailed glossary and a very comprehensive bibliography. Rubinstein on Derivatives provides an essential and thorough introduction into the basic theory and pricing of derivatives contracts. It will be an invaluable reference work for students of derivatives.

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.