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| Поиск по указателям |
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| Rubinstein M. — Rubinstein on Derivatives |
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| Предметный указатель |
Abandon, option to 50
Accreting swaps 38
American options, binomial option pricing model, single 205 207
American options, definitions 142
American options, exchange-traded calls and puts 39
American options, portfolio insurance 331
American options, pricing problems 195
American options, sample paths 220
American options, terminology 152 153
American options, three-period recursive model 208-10
Amex (American Stock Exchange) 48 53 63
Amortising swaps 38
APs (associated persons) 57
Arbitrage tables 101-2 115 116
Arrow, K. 18
Asian options 46
Assets, allocation, dynamic 323-9
Assets, allocation, traditional, and 323-5 328
Assets, capital, options as 50-1
Assets, cash, and 71-90 201
Assets, complete markets, and 13-21
Assets, cum-payout 73
Assets, diagrams and tables 2-3 21 72-9
Assets, ex-payout 73 200 201
Assets, forward and futures contracts 71-90
Assets, forward and futures contracts, diagrams 72-9
Assets, forward and futures contracts, duration of bonds 85-90
Assets, forward and futures contracts, riskless returns, term structure 78-85
Assets, inverse problem, and see inverse problem
Assets, options on bonds 247-61
Assets, options on foreign currencies 2-11 1
Assets, options on futures 156 238-41
Assets, payoff dates 73
Assets, probabilities see Payoff calculations; Risk-neutral probabilities; Subjective probabilities
Assets, profit/loss lines see profit/loss diagrams
Assets, replication see Replication strategy
Assets, SEC 156
Assets, short sales 73-6 90
Assets, single-period option model 200-1
Assets, underlying 22-8
Assets, underlying commodities 22-4 27 141
Assets, underlying fixed income securities 25-6 141
Assets, underlying foreign currencies 26-7 141 241-4
Assets, underlying indexes 24-5 141
Assets, underlying stocks, common 24-5 27 141 177
Assets, underlying transformation into standard option 195
Assets, volatility see volatility of assets
Assets, wasting 234
Assets, ‘long’ 73
Atlantic options 143
ATM (at-the-money) 167(see also Call and put options)
Back and front spreads (options) 167-8
Bank for International Settlements (Basle) 68
Barings Bank 164
Barrier options 46
Bartlett’s test statistic 309
Basis swaps 38
Basket options 47
Bear-market warrants 46
Bears cylinders 161-2
Bears spreads 159-61 171
Bermudan options 142
Beta (measure for stock risk) 85
Binomial option pricing model 195-262
Binomial option pricing model, bonds, options on 247-61
Binomial option pricing model, defined 196
Binomial option pricing model, extensions 238-47
Binomial option pricing model, extensions, currencies, options on 241-4
Binomial option pricing model, extensions, futures, options on 238-41
Binomial option pricing model, extensions, generalisations 244-6
Binomial option pricing model, hedging 231-8
Binomial option pricing model, hedging parameters, gamma 233-4 237 297
Binomial option pricing model, hedging parameters, lambda 236 279 297
Binomial option pricing model, hedging parameters, omega 234 279 297
Binomial option pricing model, hedging parameters, rho 236 279 297
Binomial option pricing model, hedging parameters, theta 235 279 297
Binomial option pricing model, hedging parameters, vega 235 238 279 297
Binomial option pricing model, limit 263-6
Binomial option pricing model, multiperiod model 208-31
Binomial option pricing model, single-period model 199-208
Black - Scholes formula, option, calculation binomial, limit of 263-6
Black - Scholes formula, option, convergence 266-73 278
Black - Scholes formula, option, convergence, distribution, in 267-8
Black - Scholes formula, option, convergence, formula 268-70
Black - Scholes formula, option, convergence, law of motion 270-3
Black - Scholes formula, option, convergence, monotonic 269
Black - Scholes formula, option, convergence, rapid 268
Black - Scholes formula, option, convergence, Richardson’s extrapolation 270
Black - Scholes formula, option, convergence, volatility, in 266-7
Black - Scholes formula, option, definitions 273-6
Black - Scholes formula, option, derivation 263-79
Black - Scholes formula, option, European options 276 320-1
Black - Scholes formula, option, extensions 290-6
Black - Scholes formula, option, extensions, currencies 293
Black - Scholes formula, option, extensions, futures, options on 290-3
Black - Scholes formula, option, extensions, generalisations 293-6
Black - Scholes formula, option, Garman - Kohlhagen formula, and 293
Black - Scholes formula, option, hedging parameters 279-90
Black - Scholes formula, option, hedging parameters, delta 283-7 289
Black - Scholes formula, option, hedging parameters, portfolio gamma 287-9
Black - Scholes formula, option, origins 273-4
Black - Scholes formula, option, portfolio insurance 332-5 341-2
Black - Scholes formula, option, Pricing of Options and Corporate Liabilities 296
Black - Scholes formula, option, replication 181-2
Black - Scholes formula, option, risk-neutral derivation 163 264-5 276-8
Black - Scholes formula, option, single-period binomial model 199 207 261
Black - Scholes formula, option, valuation of options 172 176 178 198
Black - Scholes formula, option, volatility 266-7 317-19
Black, F. 14 197
Bonds, corporate 41
Bonds, duration 85-90
Bonds, inflation-indexed 41
Bonds, internal rate of return 80
Bonds, maturity date 73
Bonds, modified duration 86
Bonds, options on 247-61
Bonds, options on Heath - Jarrow - Morton model 254-61
Bonds, options on Ho - Lee model 251-4 261
Bonds, options on market price of risk 250
Bonds, options on modelling complications 247
Bonds, options on objections 250-1
Bonds, options on riskless return tree, assumed 248-9
Bonds, savings 42
Bonds, T-bonds 26 112 123-4
Bonds, zero-coupon 25 79-83 85-6
Box spreads 151 157
Bucketing (investor abuse) 64
Bulls, cylinders 161-2
Bulls, spreads 158-9 171 173
Butterfly spreads (options) 169-70 172 174
C (Federal Deposit Insurance Corporation) 43
Call and put options, American see American options
Call and put options, at-the-money 153 158 167
Call and put options, cliquets 47
Call and put options, covered calls 61
Call and put options, current values 141-2
Call and put options, deep out-of-the-money 153
Call and put options, deep-in-the-money 153
Call and put options, defined 32 141-2
Call and put options, European see European options
Call and put options, examples of derivatives 38-9
Call and put options, fiduciary calls 150 331 332 341
Call and put options, in-the-money 33 153 158
Call and put options, index options 39
Call and put options, ITMs (puts) 158
Call and put options, ladder calls 46-7
Call and put options, lookback 46
Call and put options, name derivation 32
Call and put options, OTMs (calls) 158 167
Call and put options, out-of-the-money 33 153 158 165
| Call and put options, payoff derivatives, as 3
Call and put options, payout-protected 38 142
Call and put options, protective put 150 154-5 332 341
Call and put options, shouts 47
Call and put options, uncovered calls 60
Call and put options, unprotected 142(see also Options)
Call provision (corporate bonds) 41
Capital asset options 50-1
CAPM (capital asset pricing model) 176 273
Capping (investor abuse) 66
Cash settlements S&P100 93
Cash settlements S&P100, stock index futures 121
CAT (national and regional catastrophe insurance) 12
CBOE (Chicago Board Options Exchange), as exchange 53 68
CBOE (Chicago Board Options Exchange), calls and puts 38 39 142
CBOE (Chicago Board Options Exchange), equity-linked securities 45
CBOE (Chicago Board Options Exchange), history of derivatives 1
CBOE (Chicago Board Options Exchange), regulations, history 156
CBOT (Chicago Board of Trade), as exchange 53 68
CBOT (Chicago Board of Trade), clearing houses 58
CBOT (Chicago Board of Trade), corn futures 117
CBOT (Chicago Board of Trade), creation 22
CBOT (Chicago Board of Trade), insurance 44
CBOT (Chicago Board of Trade), regulations, history 156
CBOT (Chicago Board of Trade), risk-neutral possibilities 12
CBOT (Chicago Board of Trade), T-bond futures 123-4
CBOT (Chicago Board of Trade), underlying assets 22
Certificates of deposit, equity-linked 45
CFTC (Commodity Futures Trading Commission) 62 64 156
Chicago Board of Trade see CBOT (Chicago Board of Trade)
Chicago Board Options Exchange see CBOE (Chicago Board Options Exchange)
Chicago Mercantile Exchange see CME (Chicago Mercantile Exchange)
Chooser options 46
Chumming (investor abuse) 66
Classes of derivatives, derivatives, reasons for use 34-5
Classes of derivatives, forward and future contracts 28 29-30
Classes of derivatives, hedgers 28
Classes of derivatives, options 31-3
Classes of derivatives, sample market prices 35-6
Classes of derivatives, speculators 28
Classes of derivatives, swaps 30-1
Classes of derivatives, zero-sum game 33-4
Clear trades 57
Clearing houses APs 57
Clearing houses APs brokers 57
Clearing margins 58
Cliquets (calls) 47
Closed-end investment companies 44
CME (Chicago Mercantile Exchange), as exchange 53 68
CME (Chicago Mercantile Exchange), examples of derivatives 36
CME (Chicago Mercantile Exchange), futures 93
CME (Chicago Mercantile Exchange), history of derivatives 1
CMOs (collateralised mortgage obligations) 44
Collar options 45-6 165-6
Commission brokers 53
Commodities, convenience yield 50 116
Commodities, forward contracts 114-17
Commodities, futures contracts 63 117-19
Commodities, price changes 27
Commodities, swaps 38
Commodities, underlying assets, as 22-4(see also Gold; Oil; Precious metals)
Commodity Futures Trading Commission (CFTC) 62 64 156
Commodity swaps 38
Common stocks 24-5 27 141 177
Complete markets 15-19
Compound options 46
Condors (options) 170-2
Contingent-premium options 46
Convenience yields 50 116
Convergence, Black-Scholes formula see Black-Scholes formula option
Corn futures 117-19
Corporate debt securities 40-2
Counterparties 57
Counterparties FCMs 56 95
Counterparties OCCs 58 68
Counterparties out trades 57
Counterparties ROPs 56
Counterparties RRs 57
Covariance 7
Cox,J. 263
CPI - W (Consumer Price Index - Wage Earners) 121
Credit spreads 160
Cross-exchange rates 26
Currencies, foreign 26-7 112-14 241-4
Currency swaps 38
Currency-translated options 47
Current exercisable value (options) 152 158
Cylinders, bulls and bears 161-2
de Moivre, A. 264
Debit spreads 160
Delivery dates (forward and futures) 73
Delivery prices (forward and futures) 29 91
Delta (hedging parameter), delta-neutral portfolios 284-7
Delta (hedging parameter), hedging, options, binomial pricing model 231-2 237
Delta (hedging parameter), hedging, options, Black - Scholes formula 283-7 289
Delta (hedging parameter), replication 182 191
Delta (hedging parameter), riskless returns, term structure 85
Derivatives classes 28-36
Derivatives classes, defined 1
Derivatives classes, examples 36-52
Derivatives classes, reasons for use 34-5
Derivatives classes, size of market 66-8
Derivatives, absolute and relative values 71
Dow Jones Industrial Average Index (DJIA) 24
Duration of bonds 85-90
Duration-based hedge ratio 89
Dynamic strategies, asset allocation 323-9
Dynamic strategies, asset allocation , traditional, and 323-5 328
Dynamic strategies, mean-variance portfolio analysis 323
Dynamic strategies, payoff functions, convex and concave 326-8 341
Dynamic strategies, portfolio insurance 329-42
Dynamic strategies, portfolio insurance, American options 331
Dynamic strategies, portfolio insurance, basic strategy 329-32
Dynamic strategies, portfolio insurance, Black Scholes replicating strategy 332-5 341-2
Dynamic strategies, portfolio insurance, European options 331
Dynamic strategies, portfolio insurance, futures, implementation with 335-6
Dynamic strategies, portfolio insurance, jumps 340-1
Dynamic strategies, portfolio insurance, problems in practice 336-41
Dynamic strategies, portfolio insurance, riskless returns, uncertain 336-7
Dynamic strategies, portfolio insurance, simulation 344-52
Dynamic strategies, portfolio insurance, stopping out 338-9
Dynamic strategies, portfolio insurance, trading costs 339-40
Dynamic strategies, portfolio insurance, trading frequency 340-1
Dynamic strategies, portfolio insurance, upside capture 329 334 341
Dynamic strategies, portfolio insurance, volatility 336-7
Dynamic strategies, replication of assets 325-6(see also Replication strategy)
Dynamic strategies, simulation 342-52
Dynamic strategies, utility functions 326
EFP (exchange for physicals) 93
Einstein, A. 20
Elbow trade (investor abuse) 66
Employee stock options 142
Equity swaps 38
ESOs (employee stock options) 40
Eurodollars, futures contracts 25 122-3
European options, Black - Scholes formula 276 320-1
European options, combined positions 158
European options, definitions 142
European options, exchange-traded calls and puts 39
European options, hedges, elementary 155
European options, portfolio insurance 331
European options, pricing problems 195
European options, terminology 152
European options, three-move recursive model 210-11
Exchange members 53-4
Exchange-traded calls and puts 38-9
Exchanges, organised, CBOT see CBOT (Chicago Board of Trade)
Exchanges, organised, CME see CME (Chicago Mercantile Exchange)
Exchanges, organised, competitive market-maker system 56
Exchanges, organized, Amex 53
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