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



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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
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Ïðåäìåòíûé óêàçàòåëü
Margrabe, W.      445 450
Market maker      130 157 158 709
Market model      709
Market order      33 157
Market price of risk      483 484—486 709
Market price of risk, multiple independent factors      492—493
Market segmentation theory, shape of zero curve      102 709
Market-if-touched (MIT) order      33
Market-not-held order      33
Marking to market      24—26 709
Marking to model      691
Markov process      216—217 709
Markowitz, H.      352
Markowitz, Harry      352
Marshall J.F.      147
Martingale      483 488—489 709
Martingale, equivalent martingale measure result      488—489
Maturity date      6 709
Maude, D.J.      346 365
Maximum likelihood method      378—382 709
McCabe, G.M.      88
McMillan, L.G.      164 198
Mean reversion      377 518 539 542 709
Measure      483 709
Melick, W.R.      342
Mello, A.      655
Merton, R.C.      182 234 258 269 290 457 480 622 634
Merville, L.J.      342
Metallgesellschaft (MG)      87 688
Mezrich, J.      380 387 389
Mid-curve Eurodollar futures option      279
Middle office      690
Midland Bank      687
Mikosch, T.      359 364
Milevsky, M.A.      450
Miller, H.D.      229
Miller, M.      87 88
Miltersen, K.R.      290 577 590
min-max      435
Minimum variance hedge ratio      78—82
Mintz, D.      418
Model building approach, value at risk      350—352
Model building approach, value at risk, compared with historical simulation      359—360
Modified duration      114—115 709
Moment matching, variance reduction procedure      416
Money market account      489 709
Monte Carlo simulation      224 301 410—414 446 459 462 709
Monte Carlo simulation, American options and      474—478
Monte Carlo simulation, exercise boundary parametrization approach      477—478
Monte Carlo simulation, generating random samples      412—413
Monte Carlo simulation, Greek letters and      414
Monte Carlo simulation, least-squares approach      474—477
Monte Carlo simulation, LIBOR market model of short rates      579—581
Monte Carlo simulation, number of trials      413
Monte Carlo simulation, quantifying seller default risk      643—644
Monte Carlo simulation, value at risk measure      359
Monte Carlo simulation, valuing derivatives on more than one market variable      412—413
Monte Carlo simulation, valuing first-to-default basket credit default swaps      643
Monte Carlo simulation, valuing mortgage-backed securities      588
Monte Carlo simulation, valuing new business      666—667 671—675
Moody’s      610 638
Moody’s, Risk Management Services      623
Moon, M.      666 667 676
Mora, B.      416 429
Morgan, J.P.      375 632
Mortgage-backed security (MBS)      586—588 709
Morton, A.      575 589
Murrin, J.      676
Musiela, M.      577 589
Myneni, R.      429
Nagayama, I.      568
Naik, E.      458
Naked option      159
Naked position      300 709
Nasdaq 100 index (NDX)      53
Nasdaq 100 index (NDX), futures      21 53
Nasdaq 100 index (NDX), Mini Nasdaq 100 index futures      21 53
Nasdaq 100 index (NDX), option      152 270
Natenberg, S.      337
National Association of Securities Dealers Automatic Quotations Service      53
National Futures Association (NFA)      34
National Westminster Bank      687 690
Natural gas derivatives      680—681
Natural time lags      529—530
Neftci, S.      229
Nelson, D.      376 389
Net basis      26—27
Net present value (NPV) approach      660
Netting      624—625 709
Neutral calendar spread      193
New York Cotton Exchange      21
New York Federal Reserve      687
New York Mercantile Exchange (NYMEX)      22 680 681
New York Stock Exchange (NYSE)      13 52 55 323
Newton — Raphson method      95 251 541 559 709
Ng, V.      376 389
Nikkei 225 Stock Average      52
Nikkei 225 Stock Average, futures      52 55 497
Nikkhah, S.      88
No-arbitrage assumption      709
No-arbitrage interest rate model      543—544 709
Noh, J.      389
Nonstandard American options      436
Nonstationary model      563—564 709
Nonsystematic risk      61 488 709
Normal backwardation      31 709
Normal distribution      234 709 722—723
Normal market      31 709
Notice of intention to deliver      20 31—32
Notional principal      126 637 709
Numeraire      488 709
Numeraire, annuity factor as the numeraire      491—492
Numeraire, impact of a change in numeraire      495—497
Numeraire, interest rates when a bond price is the numeraire      491
Numeraire, money market account as the numeraire      489—490
Numeraire, numeraire ratio      496
Numeraire, zero-coupon bond price as the numeraire      490—491
Numerical procedure      392 710
Off-the-run bonds      691
Offer      2 135 157 710
Offsetting orders      157
Oldfield, G.S.      65
On-the-run bond      691
Open interest      30 157 710
Open order      33
Open outcry trading system      2 710
Option fence      435
Option-adjusted spread (OAS)      588 710
options      6—10 710
Options Clearing Corporation (OCC)      160—161 710
Options in an investment opportunity      670—671
Options on two correlated assets      472—474
Options to defer      671
Options to exchange one asset for another      445—446
Options to exchange one asset for another, forward risk-neutral valuation      494—495
Options to extend      671
Options, class      153 702 710
Options, difference between futures (or forward) contracts and      6 151
Options, exercise limits      155
Options, exercising      160—161
Options, exotic      163 435—449
Options, hedging, using      11
Options, intrinsic value      154
Options, position limits      155
Options, positions      8
Options, regulation of      161
Options, series      153 710
Options, taxation      161—162
Options, time value      154
Options, trading      157
Options, types of      6 151—152 “Futures “Index “Stock “Swaptions”)
Orange County      686 688 693 694
Order Book Official      see “Board broker”
Order, types of      33
Out-of-the-money option      153 304 311 315 710
Outer barrier      467
Outside model hedging      565
Over-the-counter market      1 2 710
Over-the-counter market, difference between exchange-traded market and      2
Over-the-counter market, for options      154 163
Overnight repo      94
Pacific Exchange      151
Package      435 710
Pan, J.      364
Papageorgiou, A.      429
Par bond yield      95—96 710
Par value      710
Parallel shift      361 710
Park, H.Y.      64
Partial simulation approach, Monte Carlo simulation      359
Paskov, S.H.      429
Pass-throughs      587
Path-dependent derivative      461—65 710
Payoff      3 710
Pearson, N.      695
Pelsser, A.A.J.      568
Perfect hedge      70
Perraudin, W.      346 365
Philadelphia Stock Exchange (PHLX)      151 276
Pilipovic, D.      682
Plain vanilla product      435 710
Pliska, S.R.      501
Poisson process      630 710
Portfolio immunization      116 710
Portfolio insurance      273—275 320—323 692 710
Portfolio insurance, stock market volatility and      323
Position limit      23 155 710
Position traders      33
Posner, S.E.      450
Premium      710
Prepayment function      587 710
Press, W.H.      379 416 417 429 565
Price sensitivity hedge ratio      117
Prices, lifetime highs      30
Prices, lifetime lows      30
Prices, opening price      27
Prices, settlement price      27
Prime rates      133—134
Principal      710
Principal components analysis      360—363 530—531 584—585 710
Principal only (PO)      587 710
Pringle, J.J.      147
Probability measure      486
Probability of default      623
Probability of default, assuming no recovery      612—613
Probability of default, bond prices and      610—619
Probability of default, bond prices and historical probability of default      619—620
Probability of default, estimating, using equity prices      621—623
Probability of default, implied from bond data      616—617
Probability of default, implied from CDS swaps      641—642
Probability of default, risk-neutral vs. real-world      620—621
Proctor and Gamble      605 688 689 693 694
Program trading      54 710
Protective put      185 710
Pull-to-par      711
Put option      6 7—8 151 711
Put-call parity      174—175 179 186—187 268 283—284 330—331 438 711
Puttable bond      511 711
Puttable swap      711
Quadratic model, value at risk      356—359
Quadratic resampling, variance reduction procedure      416
Quanto      497—499 711
Quanto, adjustment      601
Quasi-random sequence, variance reduction procedure      416—417 711
Quotations, commodity futures      27—30
Quotations, currency futures      57
Quotations, currency options      276 277
Quotations, futures options      279—282
Quotations, stock index futures      53
Quotations, stock index options      270—273
Quotations, stock options      155—157
Quotations, Treasury bills      104
Quotations, Treasury bond and note futures      105—106
Quotations, Treasury bonds      103—104
Quoted price, bond and Treasury bill      103—104 512 561
Rainbow option      446 472 711
Ramaswamy, K.      290
Random walk      232—233
Range forward contract      14—15 435 711
Ratchet cap      581
Real option      1 660 711
Rebalancing      242 303 711
Rebonato, R.      568 573 590
Recovery rate      614—615 642 711
Reference entity      637
Reference obligation      637
Reiff, W.W.      119
Reiner, E.      450 465 501
Reinganum, M.      64
Reinsurance, against catastrophic risks (CAT reinsurance)      682—683
Reis, J.      290
Rendleman, R.      64 82 117 214 428 538 567
Rennie, A.      500
Repo      94 711
Repo rate      94 711
Repo rate, overnight repo      94
Repo rate, term repo      94
Representative sampling through a tree, variance reduction procedure      417—418
Repurchase agreement      94
Reset date      711
Resnick, B.G.      119 181 182 342
Retractable bond      511
Reverse calendar spreads      194
Reversion level      711
Reynolds, C.E.      683 684
Rho      318—319 711
Rho, estimating, using binomial tree      398
Rich, D.      606
Richard, S.      65
Richardson, M.      257 364
Rights issue      155 711
Risk      see “Value at risk”
Risk and return, relationship between      61
Risk limits      686—689
Risk, back testing      360
Risk, hedging and basis risk      75—78
Risk, market risk      146
Risk, nonsystematic      61 488 713
Risk, stress testing      360 689
Risk, swaps and credit risk      145—146
Risk, systematic      61 62 488 713
Risk-free interest rate      45 93 94 168—170 711
Risk-free zero curve      111
Risk-neutral valuation      203—205 244—245 247 269 678 483 661—665 711
Risk-neutral world      204 205 711
Risk-neutral world, forward risk-neutral      489
Risk-neutral world, rolling forward risk-neutral      578
Risk-neutral world, traditional      483 486
RiskMetrics      375
Ritchken, P.      450 480 568 590
Rodriguez, R.J.      634
roll back      711
Roll, R.      251 255 258
Roll-over risk      136
Ross, S.A.      64 68 214 258 392 428 456 479 487 500 542 558 567 664
Rubinstein, M.      164 214 325 342 392 428 437 446 450 460 473 480
Rusnak, John      686 687
Russell 2000 index (RUT)      53 270
Russell 2000 index (RUT), options      270
Sandmann, K.      577 590
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