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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 |
Sandor, R.L. 684
Sankarasubramanian, L. 450 568 590
Santa-Clara, P. 586
Scalper 32 711
Scenario analysis 319—320 689 692 711
Schaefer, S.M. 567
Schneller, M. 249
Scholes, M. 234 249 258 341
Schroder, M. 480
Schultz, P. 249 342
Schwager, J.D. 38
Schwartz, E.S. 290 429 474 480 543 567 586 590 666 667 675 676
Scott, J.S. 198
Securities and Exchange Commission (SEC) 34 161 711
Segmentation theory, shape of zero curve 102
Seller default risk 643—644
Senchak, A.J. 119
Settlement price 27 711
Share Price Index 53
Shastri, K. 342
Shell 686 688
Short hedge 71 711
Short position 2 8 20 711
Short rate 537 711
Short rate, calibration 564—565
Short rate, Cox, Ingersoll, Ross model 542—543
Short rate, equilibrium models 537—538
Short rate, general tree-building procedure 552—563
Short rate, Ho — Lee model 544—546
Short rate, Hull — White model 546—549
Short rate, interest rate trees 550—552
Short rate, no-arbitrage models 543—544
Short rate, nonstationary models 563—564
Short rate, one-factor equilibrium models 538
Short rate, Rendleman and Bartter model 538—539
Short rate, two-factor equilibrium models 543
Short rate, Vasicek model 539—542
Short selling 41—42 711
Short squeezed investor 42
Short-term risk-free rate see “Short rate”
Shorting 41—42
Shout option 443 712
Siegel's paradox 499—500
sigma see “Vega”
Simulation 712
Singapore International Monetary Exchange (SIMEX) 19
Singleton, K. 633
Slivka, R. 198
Smith, C.W. 147 258
Smith, D.J. 605 606
Smith, T. 257
Smithson, C.W. 147
Sobol', I.M. 417 429
Sondermann, D. 577 590
Sosin, H. 441 450
Specialist 712
Speculation, using futures 11—12
Speculation, using options 12—13
Speculator 10 11—12 32—33 693—694 712
Spindel, M. 589
Spot contract 2
Spot option 288
Spot option, futures option compared to 288—289
Spot price 4—5 712
Spot price, convergence of futures price to 23—24
Spot price, futures prices and expected future spot prices 31 61—63
Spot rate 94 712
Spot volatility 518—519 712
Spread option 712
Spread trading strategy 187—194
Spread transaction 26 712
Standard and Poor's (S&P) Index 52 610 638
Standard and Poor's (S&P) Index, 100 Index (OEX) 152 270 273
Standard and Poor's (S&P) Index, 500 Index (SPX) 32 52 55 152 270 279 360
Standard and Poor's (S&P) Index, 500 Index futures 32 52 54
Standard and Poor's (S&P) Index, futures option 279
Standard and Poor's (S&P) Index, MidCap 400 Index 52
Standard and Poor's (S&P) Index, Mini S&P 500 futures 52
Standard and Poor's (S&P) Index, options 152 270 273
Standard Oil 14
Stapleton, R.S. 429
Static hedging scheme 303 712
Static options replication 447—449 712
Stegun, I. 248
Step-up swap 594 712
Sticky cap 581—582
Sticky delta rule 337
Sticky strike rule 337
Stochastic process 216 712
Stochastic variable 712
Stochastic volatility models 458—460
Stock dividend 712
Stock index 52—54 712
Stock index futures see “Index futures”
Stock index options see “Index options”
Stock option 152—55 712
Stock option value, American options on dividend-paying stock 179 254—256
Stock option value, American options on non-dividend-paying stock 247
Stock option value, analytic approximation to American option prices 427
Stock option value, assumptions 170—171
Stock option value, binomial tree 200—210 212—213
Stock option value, binomial tree pricing formulas 202—203 207 212—213 269—270
Stock option value, Black — Scholes model 268—269
Stock option value, bounds, for dividend-paying stocks 178—179 267—268
Stock option value, bounds, for non-dividend-paying stocks 171—174
Stock option value, dividend yield 267—270
Stock option value, dividends 154—155 178—179 186—187 252—256
Stock option value, European options on a dividend-paying stock 178—179 252—253
Stock option value, European options on a non-dividend-paying stock 171—174 246—248
Stock option value, European options on a stock paying a known dividend yield 267—270
Stock option value, factors affecting prices 167—170
Stock option value, implied distribution and lognormal distribution 334—335
Stock option value, put-call parity 174—175 179 186—187 268 330—331
Stock option value, risk-neutral valuation 269
Stock option value, single large jump in asset anticipated 338—339
Stock option value, stock's expected return and 203
Stock option value, volatility smile (skew) 334—336
Stock option, commissions 157—158
Stock option, dividend and stock split 154—155
Stock option, executive 163
Stock option, expiration dates 152—153
Stock option, flex option 154 273
Stock option, long-term equity anticipation securities (LEAPS) 153 273
Stock option, margins 159—160
Stock option, naked 159
Stock option, position and exercise limits 155
Stock option, quotations 155—157
Stock option, regulations of 161
Stock option, specification of 152—155
Stock option, strike prices 153 167—168
Stock option, taxation 161—162
Stock option, terminology 153—154
Stock option, trading 157
Stock prices, expected return 237—238
Stock prices, lognormal property 227—228 234—236
Stock prices, rate of return, distribution of 236—237
Stock prices, the process for 222—225
Stock prices, volatility 238—241
Stock split 154—155 712
Stock split, stock dividend and 154—155
Stock split, stock options and 155
Stock split, stock prices and 154
Stock’s expected return 237—238
Stock’s expected return, stock option price and 203
Stoll, H.R. 182 290
Stop order 33
Stop-and-limit order 33
Stop-limit order 33
Stop-loss order 33
Stop-loss strategy 300—302
| Storage cost 58 712
Straddle 194—195 712
Straddle, straddle purchase 195
Straddle, straddle write 195
Strangle 196 712
Strap 195—196 712
Stratified sampling, variance reduction procedure 415—416
Strengthening of the basis 75
Stress testing 360 689 692 712
Strickland, C. 428 450 684
Strike price 6 712
Strip 195—196 687 712
Stripped mortgage-backed securities 587
Stulz, R.M. 88 450 656
Stutzer, M. 480
Subrahmanyam, M.G. 290 429
Sumitomo 686 687 690
Sundaresan, M. 65 290
Suo, W. 461 480
Swap rate 134—135 527 712
Swap rate, bid 135
Swap rate, offer 135
Swap zero curve 111 136
Swaps 125 712
Swaps, accrual 603
Swaps, amortizing 594
Swaps, basis 595
Swaps, cancelable 603—604
Swaps, cancelable compounding 604—605
Swaps, commodity 605
Swaps, comparative-advantage argument 131—134 141—143
Swaps, compounding 595—598
Swaps, confirmations 130—131
Swaps, constant maturity swap (CMS) 599—600
Swaps, constant maturity Treasury swap (CMT) 600—601
Swaps, correlation 605
Swaps, covariance 605
Swaps, credit risk and 145—146
Swaps, currency see “Currency swaps”
Swaps, deferred 521
Swaps, defined 125
Swaps, differential (diff swap) 601
Swaps, equity 601—602
Swaps, forward 521
Swaps, index amortizing rate 605
Swaps, indexed principal 605
Swaps, interest rate see “Interest rate swaps”
Swaps, LIBOR-in-arrears 599
Swaps, step-up 594
Swaps, variance 605
Swaps, volatility 605
Swaptions 520 712
Swaptions, Bermudan swaptions 586
Swaptions, European swaption valuation 521—522 582—584
Swaptions, forward risk-neutral valuation and Black's model 523—524
Swaptions, implied volatilities 522—523
Swaptions, relation to bond options 521
Swing option, energy market 681 712
Sydney Futures Exchange (SFE) 19
Synthetic option 320 712
Systematic risk 61 62 488 713
Tailing the hedge 82
Take-and-pay option, energy market 681 713
Tandon, K. 342
Tavakoli, J.M. 656
Tax 35—36 161—162
Taxpayer Relief Act of 1997 35 162
Taylor, H.M. 229
Taylor, S.J. 342
Telser, L.G. 64
Tenor 515
Term repo 94
Term structure models, interest rates 537 713
Term structure theories, shape of zero curve 102
Terminal value 713
Teukolsky, S.A. 379 416 417 429 565
Teweles, R.J. 38
Theta 309—311 713
Theta, estimating, using binomial tree 398
Theta, relationship with delta and gamma 315—316
Thomas, C.P. 342
Thomson, R. 695
Tilley, J.A. 325 474 480
Time decay 309 713
Time value 154 713
Time-of-day order 33
Time-to-expiration effects 168
Timing adjustment 527—529 713
Timing adjustment, accrual swap 603
Timing adjustment, constant maturity swap (CMS) 600
To-arrive contract 1
Tokyo International Financial Futures Exchange (TIFFE) 19
Tokyo Stock Exchange 52
Tompkins, R. 337
Top straddles 195
Top vertical combinations 196
Total return swap 644—645 713
Toy, W. 563 567
Tradeable derivatives, prices of 244
Traders, types of 10—14 32—33
Trading irregularities 35
Trading strategies, for single option and stock 185—187
Trading strategies, involving options combinations 194—196
Trading strategies, spreads 187—194
Tranches 646
Transaction cost 309 713
Traub, J. 429
Treasury bill 104 713
Treasury bill futures 713
Treasury bond 103—104 713
Treasury bond futures 104—110 713
Treasury bond futures option 279 282
Treasury bond futures, cheapest-to-deliver bond 108
Treasury bond futures, conversion factors 106—107
Treasury bond futures, quotations 105—106
Treasury bond futures, quoted futures price 109—110
Treasury bond futures, wild card play 108—109
Treasury note 713
Treasury note futures 21 22 713
Treasury rate 45 93
Treasury rate, zero rate 94 95 96—98
TREE 713
Trevor, R. 480
Trigeorgis, L. 676
Trinomial tree 713
Trinomial tree, for stock prices 408—409
Trinomial tree, relation to finite difference method 424—425
Triple witching hour 713
Tsiveriotis, K. 653 656
Turnbull, S.M. 147 444 450 590 627 633 636 656
U.S. Department of Energy 679
U.S. dollar index 53
U.S. Treasury Department 34
Ulrig-Homberg, M. 589
Underlying variable 713
Unsystematic risk 61 488 713
Up-and-in calls 440 713
Up-and-in puts 440 713
Up-and-out calls 440 713
Up-and-out puts 440 713
Uptick 42 713
Value additivity 618
Value at Risk (VaR) 346 713
Value at risk (VaR), conditional VaR (C-VaR) 347—348
Value at risk (VaR), diversification and 352
Value at risk (VaR), historical simulation 346 348—350
Value at risk (VaR), historical simulation, comparedwith model building 359—360
Value at risk (VaR), linear model 352—355
Value at risk (VaR), model building approach 346 350—352
Value at risk (VaR), model building approach, , compared with historical simulation 359—360
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