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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 |
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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