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Àâòîðèçàöèÿ |
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Ïîèñê ïî óêàçàòåëÿì |
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Hull J.C. — Options, futures and other derivatives |
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Ïðåäìåòíûé óêàçàòåëü |
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 189—190 701
Bearish calendar spread 193
Becker, H.P. 198
Bermudan option 436 701
Bermudan swap option 586
Beta 82 701
Beta, changing 84—85
Bhattacharya, M. 181
Bicksler, J. 147
Bid 2 134—135 157 701
Bid-ask spread 701
Bid-offer spread 135 157 158 701
Biger, N. 290
Binary credit default swap 642—643
Binary option 441 701
Binomial model 701
Binomial tree 701
Binomial tree, alternative for constructing 406—410
Binomial tree, American options example 209—210
Binomial tree, control variate technique 406
Binomial tree, delta and 210—211
Binomial tree, denned 200
Binomial tree, dollar dividend-paying stocks 403—45
Binomial tree, European options examples 200—209
Binomial tree, futures option 284—286
Binomial tree, matching volatility 211—212 212—213
Binomial tree, nondividend-paying stock 392—397
Binomial tree, one-step 200—205 269—270
Binomial tree, options on index, currency, and futures 399—402
Binomial tree, risk-neutral valuation and 203—205
Binomial tree, stock paying a known dividend yield 267—270 402—403
Binomial tree, time-dependent interest rates and 405—406
Binomial tree, two-step 205—210
Bivariate normal distribution 701
Black Monday 55 322 360 692
Black — Scholes bias, equity option and 334—336
Black — Scholes bias, foreign currency options and 331—334
Black — Scholes bias, single jumps in asset price anticipated 338—339
Black — Scholes model 701
Black — Scholes model, cumulative normal distribution function 248—249
Black — Scholes model, delta and 303
Black — Scholes model, difference between binomial tree model and 241—242
Black — Scholes model, dividend 252—256
Black — Scholes model, European option on non-dividend-paying stock 246—248
Black — Scholes model, expected return 237—238
Black — Scholes model, forward risk-neutral valuation and 493—494
Black — Scholes model, implied volatility 250—251 331
Black — Scholes model, known dividend yield 268—269
Black — Scholes model, pricing formulas 246—248 268—269
Black — Scholes model, risk-neutral valuation and 244—245 247
Black — Scholes model, volatility 238—241 251—252 330
Black — Scholes — Merton differential equation 241—244
Black's approximation 701
Black's approximation, American call option 255—256
Black's model 701
Black's model, European interest rate derivatives 508—510
Black's model, forward risk-neutral valuation and 514—515 519—520 523—524
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 511—513
Bond option, forward risk-neutral valuation and Black's model 514—515
Bond option, on coupon bearing bonds 549—550
Bond option, valuation using Vasicek model 540—542
Bond yield 95 701
Bond yield volatilities 513—514
Bond, pricing 94—96
Bookstaber, R.M. 198 325
Bootstrap method 96—98 701
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 322—323
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 187—189 701
Bullish calendar spread 193
Burghardt, G. 567
Business day conventions 131
Business valuation 666—667
Butterfly spread 190—192 701
Buying on margin 158
CAC-40 Index 53
Cai, L. 684
Calendar spread 192—194 701
Calibrating instruments 564
Calibration 564—565 584—585 702
Call option 6—7 151 702
Callable bond 511 702
Cancelable compounding swaps 604—605
Cancelable forward 436
Cancelable swap 603—604 702
Canter, M.S. 684
Cao, C. 341
Cao, M. 684
Cap rate 515 702
Cap, interest rate 515—520 702
Cap, interest rate, valuation 517—518
Capital asset pricing model 61 82 273 621 660—661 702
Capital asset pricing model, relation to market price of risk 485 487 665—666
Capital investment appraisal 660—661
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 212 495—496
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) 1—2 11 151 152 153 154 155 157 270 273
Chicago Board Options Exchange (CBOE), CBOEdirect 157
Chicago Mercantile Exchange (CME) 1 5 19 21—22 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) 646—647 702
Collateralized mortgage obligation (CMO) 587 702
Combination, option trading strategy 194—196 702
Commission brokers 32 702
Commission, stock option 157—158
Commodity Futures Trading Commission (CFTC) 33—34 161 702
Commodity price 667—670
Commodity swap 605 702
Comparative-advantage argument, currency swap 141—143
Comparative-advantage argument, interest rate swap 131—134
Compound option 437 703
Compounding frequency 42—43 703
Compounding swap 595—598 703
Conditional VaR (C-VaR) 347—348 703
Confirmation 130 595 596 602 703
Constant elasticity of variance (CEV) model 456—57
Constant maturity swap (CMS) 599—600 703
Constant maturity Treasury swap (CMT) 600—601 703
Constructive sale 162
Consumption asset 41 58—59 703
Consumption asset, market price of risk 485
Contango 31 703
Continuous compounding 43—44 703
Continuous variable 216
Continuous-time stochastic process 216 217—222
Contract size 21
Contraction option 671
Control areas, electricity-producing region 681
Control variate technique, variance reduction procedure 406 415 703
Convenience yield 59—60 703
Convergence arbitrage 692
Conversion factor 106—107 703
Conversion ratio 652
Convertible bond 163 652—654 703
Convexity 115 117—118 703
Convexity adjustment 524—527 703
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 — Fisher expansion 358 703
Correlation 385—388
Correlation swap 605
Cost of carry 60 703
Counterparty 703
Coupon 94 703
Courtadon, G.R. 290 342 429 567
Covariance 385—388
Covariance swap 605
Covariance, consistency condition 387—388
Covariance, updating using EWMA 386
Covariance, updating using GARCH 387
Covered call 159—160 703
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 — Nicolson scheme 426
Crashophobia 335—336
Credit default swap (CDS) 637—644 703
Credit default swap (CDS), approximate no-arbitrage arguments 641
Credit default swap (CDS), implying default probabilities 641—642
Credit default swap (CDS), quotes 638
Credit default swap (CDS), recovery rate estimates 642
Credit default swap (CDS), valuation 639—640
Credit default swap spread (CDS spread) 640
Credit derivative 15 637 703
Credit derivative, adjusting price for default risk 647—649
Credit event 637
Credit rating 610 703
Credit rating migration 626—627
Credit ratings transition matrix 626—627 703
Credit risk 2 703
Credit Risk Plus 630—631
Credit risk, interest rate and 93
Credit risk, of swaps 145—146
Credit spread option 645—646 703
Credit Suisse Financial Products 630—631
Credit value at risk 630 704
CreditMetrics 632
Cross gamma 358
Cross-currency derivative 497—499
Crude oil derivative 680
Culp, C. 87 88
Cumby, R. 389
Cumulative normal distribution function 248—249 704
Cumulative normal distribution function, polynomial approximation 248
Curran, M. 416 429 450
Currency forward and futures 55—58
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 331—333
Currency option, quotation 276—277
Currency option, valuation, binomial tree 399—402
Currency option, valuation, Black — Scholes 276—278
Currency option, volatility smile 331—334
Currency swaps 140—143 598 704
Currency swaps, comparative advantage argument 141—143
Currency swaps, impact of default risk 649—651
Currency swaps, to transform loans and assets 141
Currency swaps, valuation of 143—145
Curvature 312
Cylinder option 435
Daiwa 686 687
Das, S. 655
Dattatreya, R.E. 147
DAX-30 Index 53
Day count conventions 102—103 130 704
Day order 33
Day trade 26 704
Day trader 32—33
Default correlation 627—630 704
Default correlation, reduced-form models 629
Default correlation, structural models 630
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