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Hull J.C. Ч Options, futures and other derivatives
Hull J.C. Ч Options, futures and other derivatives

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Ќазвание: Options, futures and other derivatives

јвтор: Hull J.C.

јннотаци€:

This book is an excellent introduction and guide to derivatives. It's also a good reference - there's enough information so that you probably won't feel you need to buy another, deeper book.
The emphasis is on a description of the various products, as well as how to price them. The emphasis stays on the theory of pricing, rather than delving right down into computer algorithms, so if you need to write derivatives software, I recommend the excellent 'C++ Design Patterns and Derivatives Pricing' by Mark Joshi - but read this book first.
This should definitely be your first book on derivatives. Only after reading several other books on derivatives, after first reading 'Hull', did I realise how clear his book is, and how some other authors manage to make things so confusing.


язык: en

–убрика: Computer science/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

»здание: 5th edition

√од издани€: 2002

 оличество страниц: 744

ƒобавлена в каталог: 11.02.2006

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
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ѕредметный указатель
Abramowitz, M.      248
Aitchison, J.      236
Allen, S.L.      119
Altman, E.I.      620 633
Amin, K.      290 589
Amran, M.      676
Anderson, L.B.G.      460 477 478 479 585 586 589
Andreasen, J.      585 586
Antikarov, V.      676
Arditti, F.      684
Artzner, P.      347
Asay, M.      325
Babbs, S.      465
Bakshi, G.      341
Banter, B.      214 428 538 567
Bardhan, I.      470
Barone-Adesi, G.      427 429
Baxter, M.      500
Beaglehole, D.R.      683 684
Bear spread      189Ч190 701
Bearish calendar spread      193
Becker, H.P.      198
Bermudan option      436 701
Bermudan swap option      586
Beta      82 701
Beta, changing      84Ч85
Bhattacharya, M.      181
Bicksler, J.      147
Bid      2 134Ч135 157 701
Bid-ask spread      701
Bid-offer spread      135 157 158 701
Biger, N.      290
Binary credit default swap      642Ч643
Binary option      441 701
Binomial model      701
Binomial tree      701
Binomial tree, alternative for constructing      406Ч410
Binomial tree, American options example      209Ч210
Binomial tree, control variate technique      406
Binomial tree, delta and      210Ч211
Binomial tree, denned      200
Binomial tree, dollar dividend-paying stocks      403Ч45
Binomial tree, European options examples      200Ч209
Binomial tree, futures option      284Ч286
Binomial tree, matching volatility      211Ч212 212Ч213
Binomial tree, nondividend-paying stock      392Ч397
Binomial tree, one-step      200Ч205 269Ч270
Binomial tree, options on index, currency, and futures      399Ч402
Binomial tree, risk-neutral valuation and      203Ч205
Binomial tree, stock paying a known dividend yield      267Ч270 402Ч403
Binomial tree, time-dependent interest rates and      405Ч406
Binomial tree, two-step      205Ч210
Bivariate normal distribution      701
Black Monday      55 322 360 692
Black Ч Scholes bias, equity option and      334Ч336
Black Ч Scholes bias, foreign currency options and      331Ч334
Black Ч Scholes bias, single jumps in asset price anticipated      338Ч339
Black Ч Scholes model      701
Black Ч Scholes model, cumulative normal distribution function      248Ч249
Black Ч Scholes model, delta and      303
Black Ч Scholes model, difference between binomial tree model and      241Ч242
Black Ч Scholes model, dividend      252Ч256
Black Ч Scholes model, European option on non-dividend-paying stock      246Ч248
Black Ч Scholes model, expected return      237Ч238
Black Ч Scholes model, forward risk-neutral valuation and      493Ч494
Black Ч Scholes model, implied volatility      250Ч251 331
Black Ч Scholes model, known dividend yield      268Ч269
Black Ч Scholes model, pricing formulas      246Ч248 268Ч269
Black Ч Scholes model, risk-neutral valuation and      244Ч245 247
Black Ч Scholes model, volatility      238Ч241 251Ч252 330
Black Ч Scholes Ч Merton differential equation      241Ч244
Black's approximation      701
Black's approximation, American call option      255Ч256
Black's model      701
Black's model, European interest rate derivatives      508Ч510
Black's model, forward risk-neutral valuation and      514Ч515 519Ч520 523Ч524
Black, R      234 249 255 258 287 290 341 479 531 563 567 633
Blattberg, R.      257
Board broker      701
Board order      33
Bodurtha, J.N.      290 342
Bollerslev, T.      376 388
Bolsa de Mercadorias y Futuros (BM&F)      19
Bond option      511 701
Bond option, embedded      511
Bond option, European      511Ч513
Bond option, forward risk-neutral valuation and Black's model      514Ч515
Bond option, on coupon bearing bonds      549Ч550
Bond option, valuation using Vasicek model      540Ч542
Bond yield      95 701
Bond yield volatilities      513Ч514
Bond, pricing      94Ч96
Bookstaber, R.M.      198 325
Bootstrap method      96Ч98 701
Boston option      436 701
Bottom straddle      195
Bottom vertical combinations      196
Boudoukh, J.      364
boundary conditions      243
Box, G.E.P.      389
Boyle, P.P.      324 428 467 479
Brace, A.      577 589
Brady Commission report      322Ч323
Break forward      436 701
Brealey, R.A.      229
Breeden, M.      342
Brennan, M.J.      429 543 567
Brenner, M.      290
Brent index price      680
Broadie, M.      428 429 440 442 449 478
Brotherton-Ratcliffe, R.      416 429 460 479 531
Brown, J.A.C.      236
Brownian motion      218
Buhler, W.      589
Bull spread      187Ч189 701
Bullish calendar spread      193
Burghardt, G.      567
Business day conventions      131
Business valuation      666Ч667
Butterfly spread      190Ч192 701
Buying on margin      158
CAC-40 Index      53
Cai, L.      684
Calendar spread      192Ч194 701
Calibrating instruments      564
Calibration      564Ч565 584Ч585 702
Call option      6Ч7 151 702
Callable bond      511 702
Cancelable compounding swaps      604Ч605
Cancelable forward      436
Cancelable swap      603Ч604 702
Canter, M.S.      684
Cao, C.      341
Cao, M.      684
Cap rate      515 702
Cap, interest rate      515Ч520 702
Cap, interest rate, valuation      517Ч518
Capital asset pricing model      61 82 273 621 660Ч661 702
Capital asset pricing model, relation to market price of risk      485 487 665Ч666
Capital investment appraisal      660Ч661
Caplet, interest rate      516 702
Carabini, C.      64
Carr, P.      429
Carverhill, A.      589
Cash price, bond and Treasury bill      104 512 561
Cash settlement      32 702
Cash-flow mapping      354 702
Cash-or-nothing call      441 702
Cash-or-nothing put      441 702
CAT bond, catastrophic bond      683 702
Chance, D.M.      38 164 290 342 606
Chang, E.C.      64
Changing the measure      212 495Ч496
Cheapest-to-deliver bond      108 702
Chemical Bank      687 690
Chen, A.H.      64 147
Chen, Z.      341
Cheuk, T.H.F.      465
Cheyette, O.      589
Chiang, R.      119
Chicago Board of Trade (CBOT)      1 5 6 19 21 22 34 52 104 279 683
Chicago Board Options Exchange (CBOE)      1Ч2 11 151 152 153 154 155 157 270 273
Chicago Board Options Exchange (CBOE), CBOEdirect      157
Chicago Mercantile Exchange (CME)      1 5 19 21Ч22 32 34 52 53 55 56 110 111 279 497 679
Chiras, D.      342
Cholesky decomposition      413 702
Chooser option      438 702
Chriss, N.      350
Citron, Robert      686 688 689 693
Claim amount      615 618
Clean price, bond      512 702
Clearing margin      26 702
Clearinghouse      26 702
Clewlaw, L.      428 450 684
Cole, J.B.      684
Collar, interest rate      517 702
Collateralization      625
Collateralized debt obligation (CDO)      646Ч647 702
Collateralized mortgage obligation (CMO)      587 702
Combination, option trading strategy      194Ч196 702
Commission brokers      32 702
Commission, stock option      157Ч158
Commodity Futures Trading Commission (CFTC)      33Ч34 161 702
Commodity price      667Ч670
Commodity swap      605 702
Comparative-advantage argument, currency swap      141Ч143
Comparative-advantage argument, interest rate swap      131Ч134
Compound option      437 703
Compounding frequency      42Ч43 703
Compounding swap      595Ч598 703
Conditional VaR (C-VaR)      347Ч348 703
Confirmation      130 595 596 602 703
Constant elasticity of variance (CEV) model      456Ч57
Constant maturity swap (CMS)      599Ч600 703
Constant maturity Treasury swap (CMT)      600Ч601 703
Constructive sale      162
Consumption asset      41 58Ч59 703
Consumption asset, market price of risk      485
Contango      31 703
Continuous compounding      43Ч44 703
Continuous variable      216
Continuous-time stochastic process      216 217Ч222
Contract size      21
Contraction option      671
Control areas, electricity-producing region      681
Control variate technique, variance reduction procedure      406 415 703
Convenience yield      59Ч60 703
Convergence arbitrage      692
Conversion factor      106Ч107 703
Conversion ratio      652
Convertible bond      163 652Ч654 703
Convexity      115 117Ч118 703
Convexity adjustment      524Ч527 703
Convexity adjustment, constant maturity swap (CMS)      600
Convexity adjustment, forward rates and futures rates      111 566
Convexity adjustment, LIBOR-in-arrears swap      526 599
Convexity adjustment, swap rates      527
Conze, A.      479
Cooling degree days (CDD)      679 702
Cooper, I.      655
Cootner, P.H.      229
Copeland, T.      676
Copula      703
Cornell, B.      64
Corner the market      35
Cornish Ч Fisher expansion      358 703
Correlation      385Ч388
Correlation swap      605
Cost of carry      60 703
Counterparty      703
Coupon      94 703
Courtadon, G.R.      290 342 429 567
Covariance      385Ч388
Covariance swap      605
Covariance, consistency condition      387Ч388
Covariance, updating using EWMA      386
Covariance, updating using GARCH      387
Covered call      159Ч160 703
Covered position      300
Cox, D.R.      229
Cox, J.C.      64 68 164 214 258 392 428 456 479 500 542 558 567 633 664
Crank Ч Nicolson scheme      426
Crashophobia      335Ч336
Credit default swap (CDS)      637Ч644 703
Credit default swap (CDS), approximate no-arbitrage arguments      641
Credit default swap (CDS), implying default probabilities      641Ч642
Credit default swap (CDS), quotes      638
Credit default swap (CDS), recovery rate estimates      642
Credit default swap (CDS), valuation      639Ч640
Credit default swap spread (CDS spread)      640
Credit derivative      15 637 703
Credit derivative, adjusting price for default risk      647Ч649
Credit event      637
Credit rating      610 703
Credit rating migration      626Ч627
Credit ratings transition matrix      626Ч627 703
Credit risk      2 703
Credit Risk Plus      630Ч631
Credit risk, interest rate and      93
Credit risk, of swaps      145Ч146
Credit spread option      645Ч646 703
Credit Suisse Financial Products      630Ч631
Credit value at risk      630 704
CreditMetrics      632
Cross gamma      358
Cross-currency derivative      497Ч499
Crude oil derivative      680
Culp, C.      87 88
Cumby, R.      389
Cumulative normal distribution function      248Ч249 704
Cumulative normal distribution function, polynomial approximation      248
Curran, M.      416 429 450
Currency forward and futures      55Ч58
Currency forward and futures, quotation      3 57
Currency futures option      279
Currency option      151
Currency option, early exercise      278
Currency option, implied distribution and lognormal distribution      331Ч333
Currency option, quotation      276Ч277
Currency option, valuation, binomial tree      399Ч402
Currency option, valuation, Black Ч Scholes      276Ч278
Currency option, volatility smile      331Ч334
Currency swaps      140Ч143 598 704
Currency swaps, comparative advantage argument      141Ч143
Currency swaps, impact of default risk      649Ч651
Currency swaps, to transform loans and assets      141
Currency swaps, valuation of      143Ч145
Curvature      312
Cylinder option      435
Daiwa      686 687
Das, S.      655
Dattatreya, R.E.      147
DAX-30 Index      53
Day count conventions      102Ч103 130 704
Day order      33
Day trade      26 704
Day trader      32Ч33
Default correlation      627Ч630 704
Default correlation, reduced-form models      629
Default correlation, structural models      630
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