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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 |
Default probability see “Probability of default”
Default probability density 613—614 704
Default risk, adjusting derivative prices 647—649
Deferred payment option 436 704
Deferred swap 521 704
Degler, W.H. 198
Delbaen, F. 347
Delivery 21—22 60—61
Delivery price 4 704
Delta 210 302 704
Delta hedging 210 302—309 704
Delta hedging, dynamic aspects 306—308
Delta hedging, impact of stochastic volatility on delta hedging 459—460
Delta hedging, performance measure 307 308
Delta hedging, transaction cost 309
Delta, estimating, using binomial tree 398
Delta, European stock options 210—211 302 303—305
Delta, forward contract 305
Delta, futures contract 305—306
Delta, interest rate derivatives 530
Delta, portfolio 308—309
Delta, relationship with theta and gamma 315—316
Delta-neutral portfolio 303 704
Demeterfi, K. 606
DerivaGem 715—719 704
Derivative 1 704
Derivative, nonstandard 14
Derivative, plain vanilla 14
Derivative, standard 14
Derman, E. 337 342 447 450 460 461 470 479 563 567 606
Deutsche Bank 691
Diagonal spread 194 704
Differential swap (diff swap) 601 704
Diffusion process 704
Ding, C.G. 457
Dirty price, bond 512 (see also “Cash price”)
Discount bond 704
Discount broker 158
Discount instrument 704
Discount rate 104 704
Discrete variable 216
Discrete-time stochastic process 216 223—225
Discretionary order 33
Diversification 352 689
Dividend 402 704
Dividend yield 704
Dividend yield, binomial tree and 269—270 403—405
Dividend, American Call option valuation, using Black — Scholes model 254—256
Dividend, binomial model for stocks paying dollar dividend 402—403
Dividend, bounds of option prices 178—179
Dividend, European option valuation, using Black — Scholes model 252—253
Dividend, stock option and 154—155 170 252—256
Dividend, stock prices and 154—155 170
Dividend, stock splits and 154—155
DJ Euro Stoxx 50 Index 53—54
DJ Stoxx 50 Index 53—54
Dow Jones Industrial Average (DJX) 52 152 270 322
Dow Jones Industrial Average (DJX), futures 52 54
Dow Jones Industrial Average (DJX), options 152 270 273
Dowd, K. 364
Down-and-in call 439 704
Down-and-in put 440 704
Down-and-out call 439 704
Down-and-out put 440 704
Downgrade trigger 625 704
Drezner, Z. 266
Drift rate 219 704
Duan, J.-C. 459 479
Duffie, D. 38 82 364 500 571 589 633 656
Dumas, B. 342
Dunbar, N. 695
Dupire, B. 460 479
Duration 704
Duration matching 116 704
Duration, bond 112—114
Duration, bond portfolio 115
Duration, modified 114—115
Duration-based hedge ratio 117
Duration-based hedging 116—118
Dusak, K. 64
Dynamic hedging scheme 303 704
Dynamic options replication 447
Early exercise 8 175—178 179 278 705
Earth Satellite Corporation 679
Easterwood, J.C. 119
Eber, J.M. 347
Edelberg, C. 325
Ederington, L.H. 88 198
Efficient market hypothesis 217 705
Electricity derivatives 15 681
Electronic trading 2 705
Emanuel, D. 324
Embedded options 511 705
Embrechts, P. 359 364
Empirical research 705
Energy derivatives 680—682
Energy prices, modeling 681—682
Engle, R.E. 374 376 380 387 389
Equilibrium model, interest rates 537—538 543 705
Equity swap 601—602 705
Equivalent martingale measure result 483 488—489
Ergener, D. 447 450 470
Etzioni, E.S. 325
Eurex 19 54 157 721
Eurocurrency 705
Eurodollar 110 705
Eurodollar futures 110—111 705
Eurodollar futures option 282
Eurodollar interest rate 110 705
Euronext 721
European option 6 151 705
European option, binomial trees 200—209 269—270 284—286 402—405
European option, Black — Scholes model, on a non-dividend-paying stock 246—248
European option, Black — Scholes model, on a stock paying a known dividend yield 268—269
European option, delta 210—211
European option, dividend-paying stock 178—179 252—253 267—268
European option, futures option compared to spot option 288—289
European option, non-dividend-paying stock 171—174 246—248
European option, put-call parity 174—175 179 186—187 268 330—331
European option, risk-neutral valuation 269
European option, stock paying a known dividend 267—270
Evnine, J. 479
EWMA see “Exponentially weighted moving average”
Ex-dividend date 275 705
Excess cost layer, reinsurance 683
Excess-of-loss reinsurance contract 683
Exchange clearinghouse 26
Exchange option 445 705
Exchange rates, Black — Scholes and 331—334
Exchange-traded market 1—2
Exchange-traded market, difference between over-the-counter market and 2
Exchange-traded market, for options 152 154—155
Executive stock option 163 705
Exercise boundary parametrization approach, Monte Carlo simulation 477—78
Exercise date 6
Exercise limit 155 705
Exercise price 6 705
Exotic option 14 163 435 705
Exotics 14
Expansion option 671
Expectations theory, shape of zero curve 102 705
Expected default losses on bonds 611—612
Expected future price 31
Expected return, stock’s 237—238
Expected return, stock’s, stock option price and 203
Expected value of a variable 705
expiration date 6 152 705
Explicit finite difference method 422—423 705
Explicit finite difference method, relation to trinomial tree approach 424—425
Exponential weighting 705
| Exponentially weighted moving average (EWMA) 374—375 705
Exponentially weighted moving average (EWMA), compared with GARCH 377—378
Exponentially weighted moving average (EWMA), estimating parameters, maximum likelihood methods 380
Exposure 705
Extendable bond 705
Extendable swap 705
Eydeland, A. 684
Fabozzi, F.J. 119
Factor 705
Factor analysis 705
Factor loading 361
Factor score 361
Fama, E.E. 251 257 258
FASB Statement No. 133 35
FBI 34
Federal National Mortgage Association (FNMA) 586
Federal Reserve Board 34
Feller, W. 229
Fernandes, C. 653 656
Figlewski, S. 119 324 389 409 428 471 479
Fill-or-kill order 33
Financial Accounting Standards Board (FASB) 35 706
Financial Accounting Standards Board (FASB), Statement No. 133 35
Financial intermediary 129—130 706
Finger, C.C. 633
Finite difference method 418—427 706
Finite difference method, applications of 427
Finite difference method, explicit 422—423
Finite difference method, implicit 418—421
Finite difference method, other 426—427
Finite difference method, relation to trinomial tree approach 424—426
First notice day 32
First-to-default basket credit default swap 643
Flannery, B.P. 379 416 417 429 565
Flat volatility 518—519 706
Fleming, J. 342
Flex option 154 273 706
Flexi cap 581
Flexible forwards 14—15 435
Flight to quality 692
Floor, interest rate 517 706
Floor, interest rate, valuation 517—518
Floor-ceiling agreement see “Collar”
Floorlets, interest rate 517
Foreign currency option 706 (see also “Currency option”)
Forward band 435
Forward contract 2—5 125 706
Forward contract, delivery 60
Forward contract, delivery price 4
Forward contract, delta 305
Forward contract, difference between futures and 6 19 36—37
Forward contract, difference between options and 6 151
Forward contract, foreign exchange quotes 3 37
Forward contract, hedging, using 11
Forward contract, valuing 49—50 226—227
Forward difference approximation 419
Forward exchange rate 706
Forward induction 460—461
Forward interest rate 98—100 111 566 706
Forward interest rate, volatilities 579
Forward price 4 5 706
Forward price, for an investment asset that provides a known cash income 47—49
Forward price, for an investment asset that provides a known yield 49
Forward price, for an investment asset that provides no income 45—47
Forward price, Ito's lemma, applied to 226—227
Forward price, relation to futures price 51—52
Forward price, risk-neutral valuation 245—246
Forward risk-neutral valuation 489 524
Forward risk-neutral valuation, Black — Scholes formula to price European stock options and 493—494
Forward risk-neutral valuation, bond option 514—515
Forward risk-neutral valuation, interest rate caps 519—520
Forward risk-neutral valuation, option to exchange one asset for another 494—495
Forward risk-neutral valuation, swap options 523—524
Forward risk-neutral world 489 706
Forward start option 437 706
Forward swap 521 706
Forward with optional exit 436
Forward-rate agreement (FRA) 100—101 706
Franckle, C.T. 88
French, D.W. 252
French, K.R. 64 251 258
Front office 690
Frye, J. 361 364
FTSE 100 Index 53
Full-service broker 158
Futures contract 5—6 706
Futures contract, asset underlying 20—21
Futures contract, closing out positions 20
Futures contract, commodities 58—61
Futures contract, contract size 21
Futures contract, currencies 55—58
Futures contract, delivery 21—22 31—32 60—61
Futures contract, delivery month 22 77
Futures contract, delta 305—306
Futures contract, difference between forward contracts and 6 19 36—37
Futures contract, difference between options and 6 151
Futures contract, foreign exchange quotes 37
Futures contract, long position 20
Futures contract, margins and 24—27
Futures contract, marking to market 24—26
Futures contract, price quotes 22
Futures contract, quotations 27—30 53 57 105—106
Futures contract, risk 61—62
Futures contract, short position 20
Futures contract, specification of 20—23
Futures contract, Treasury bond and Treasury note futures 21 22 104—110
Futures interest rate 111 566
Futures market, regulation of 33—34
Futures option 152 278—279 706
Futures option, interest rate futures option 279—282
Futures option, popularity of 283
Futures option, put-call parity 283—284
Futures option, quotations 279—282
Futures option, spot options compared to 288—289
Futures option, valuation, using binomial trees 284—286 399—402
Futures option, valuation, using Black’s model 287—288
Futures price 20 706
Futures price, convergence to spot price 23—24
Futures price, cost of carry 60
Futures price, expected future spot prices and 31 61—63
Futures price, expected growth rate 286—287
Futures price, patterns of 31
Futures price, relationship to forward prices 51—52
Galai, D. 181 249 324 342
Gamma 312 706
Gamma, cross gamma 358
Gamma, effect on the probability distribution of the value of a portfolio 356
Gamma, estimating, using binomial tree 398
Gamma, formula 314
Gamma, interest rate derivatives 531
Gamma, relationship with delta and theta 315—316
Gamma-neutral portfolio 313—314 706
Gao, B. 409 428 471 479
Gap management 116
GARCH, Generalized autoregressive conditional heteroscedasticity 376—377 706
GARCH, Generalized autoregressive conditional heteroscedasticity, compared with EWMA 377—378
GARCH, Generalized autoregressive conditional heteroscedasticity, estimating parameters, maximum likelihood methods 379—382
GARCH, Generalized autoregressive conditional heteroscedasticity, forcasting future volatility 382—385
Garman M.B. 290 342 441 450 500
Gatarek, D. 577 589
Gatto, M.A. 441 450
Gaussian copula 628—629 632
Gay, G.D. 119
Geman, H. 684
Generalized Wiener process 218—221 706
Geometric average 238 706
Geometric Brownian motion 223 706
Geske, R. 255 258 429 437 450
Gibbs, S. 479
Gibson Greetings 688 689 693 694
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