Ãëàâíàÿ    Ex Libris    Êíèãè    Æóðíàëû    Ñòàòüè    Ñåðèè    Êàòàëîã    Wanted    Çàãðóçêà    ÕóäËèò    Ñïðàâêà    Ïîèñê ïî èíäåêñàì    Ïîèñê    Ôîðóì   
blank
Àâòîðèçàöèÿ

       
blank
Ïîèñê ïî óêàçàòåëÿì

blank
blank
blank
Êðàñîòà
blank
Hull J.C. — Options, futures and other derivatives
Hull J.C. — Options, futures and other derivatives



Îáñóäèòå êíèãó íà íàó÷íîì ôîðóìå



Íàøëè îïå÷àòêó?
Âûäåëèòå åå ìûøêîé è íàæìèòå Ctrl+Enter


Íàçâàíèå: Options, futures and other derivatives

Àâòîð: Hull J.C.

Àííîòàöèÿ:

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.


ßçûê: en

Ðóáðèêà: Computer science/

Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö

ed2k: ed2k stats

Èçäàíèå: 5th edition

Ãîä èçäàíèÿ: 2002

Êîëè÷åñòâî ñòðàíèö: 744

Äîáàâëåíà â êàòàëîã: 11.02.2006

Îïåðàöèè: Ïîëîæèòü íà ïîëêó | Ñêîïèðîâàòü ññûëêó äëÿ ôîðóìà | Ñêîïèðîâàòü ID
blank
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
1 2 3 4 5 6
blank
Ðåêëàìà
blank
blank
HR
@Mail.ru
       © Ýëåêòðîííàÿ áèáëèîòåêà ïîïå÷èòåëüñêîãî ñîâåòà ìåõìàòà ÌÃÓ, 2004-2024
Ýëåêòðîííàÿ áèáëèîòåêà ìåõìàòà ÌÃÓ | Valid HTML 4.01! | Valid CSS! Î ïðîåêòå