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| Авторизация |
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| Поиск по указателям |
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| Rubinstein M. — Rubinstein on Derivatives |
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| Предметный указатель |
Exchanges, organized, CBOE see CBOE (Chicago Board Options Exchange)
Exercise limits 56
Exercise limits, hedgers 56
Exercise limits, limit moves 56
Exercise limits, limit orders 55-6
Exercise limits, market-makers 54-5
Exercise limits, order book officials 56
Exercise limits, position limits 56
Exercise limits, specialist system 55-6
Exotic options 45-7
Explicit corporate options 40
Extensions, binomial option pricing model, currencies, options on 241-4
Extensions, binomial option pricing model, futures, options on 238-41
Extensions, binomial option pricing model, generalisations 244-6
Extensions, Black - Scholes formula, currencies 293
Extensions, Black - Scholes formula, futures 290-3
Extensions, Black - Scholes formula, generalisations 293-6
Extensions, Black formula 292
Extensions, currencies, options on 241-4 293
Extensions, futures, options on 238-41 290-3
Extensions, generalisations 244-6
FCM (futures commission merchant) 56 95
FD 1
Federal Deposit Insurance Corporation (FDIC) 43
Federal farm price supports 43
FHLMC (Federal Home Loan Mortgage Corporation) 43
Financial engineering 52
Financial institutions, securities of 44-5
Financial leverage principle 77
Fixed income securities 25-6
Fixed income securities, Eurodollars 25
Fixed income securities, repos 25
Fixed income securities, T-bill 25 109-12 116
Fixed income securities, T-bonds 26 112 116 123-4
Fixed income securities, T-notes 26
Fixed income securities, zero-coupon bonds 25 79-82
Floor brokers 53
FNMA (Federal National Mortgage Association) 43
Foreign currencies, assets, underlying 26-7
Foreign currencies, forward contracts 112-14
Foreign currencies, options on 241-4 293
Forward and futures contracts, assets and cash 71-90
Forward and futures contracts, bonds, duration 85-90
Forward and futures contracts, classes of derivatives 29-30
Forward and futures contracts, counterparties 29
Forward and futures contracts, delivery dates 73
Forward and futures contracts, delivery prices 29 91
Forward and futures contracts, diagrams 72-9
Forward and futures contracts, examples 36-7 110-25
Forward and futures contracts, FCM (futures commission merchant) 56 95
Forward and futures contracts, forward, commodities 114-17
Forward and futures contracts, forward, covered interest rate parity relation 114
Forward and futures contracts, forward, defined 29
Forward and futures contracts, forward, foreign currency 26-7 112-14
Forward and futures contracts, forward, futures distinguished 93 94-103
Forward and futures contracts, forward, options contrasted 155-7
Forward and futures contracts, forward, precious metals 114 117
Forward and futures contracts, forward, prices 29-30 92
Forward and futures contracts, forward, static strategies 72
Forward and futures contracts, forward, strategy 98
Forward and futures contracts, forward, T-bills 25 109-12 116
Forward and futures contracts, forward, ‘storage costs’ 114 117
Forward and futures contracts, forward-spot parity relation 99-103 106-8 110
Forward and futures contracts, futures, Black - Scholes formula 290-3
Forward and futures contracts, futures, CFTC, and 156
Forward and futures contracts, futures, closing of positions 93
Forward and futures contracts, futures, com 117-19
Forward and futures contracts, futures, commodities 63 117-19
Forward and futures contracts, futures, defined 30 93
Forward and futures contracts, futures, EFP 93
Forward and futures contracts, futures, Eurodollars 25 122-3
Forward and futures contracts, futures, first notice day 118
Forward and futures contracts, futures, forward distinguished 93 94-103
Forward and futures contracts, futures, gold 118 119
Forward and futures contracts, futures, invoice price 124
Forward and futures contracts, futures, last notice day 118
Forward and futures contracts, futures, marking-to-the-market 95-6
Forward and futures contracts, futures, offsetting 93
Forward and futures contracts, futures, oil 119 120-1
Forward and futures contracts, futures, options on 238-41 290-3
Forward and futures contracts, futures, portfolio insurance 335-6
Forward and futures contracts, futures, prices 30
Forward and futures contracts, futures, programme trading 122
Forward and futures contracts, futures, reasons for use 130-1
Forward and futures contracts, futures, settlement price 95-6
Forward and futures contracts, futures, stock index 120 121-2
Forward and futures contracts, futures, strategy 98
Forward and futures contracts, futures, T-bonds 26 112 116 123-4
Forward and futures contracts, futures, terminology 103-8
Forward and futures contracts, futures, variation margin 96
Forward and futures contracts, hedging 28 125-31
Forward and futures contracts, notional value 67
Forward and futures contracts, payoff derivatives, as 3
Forward and futures contracts, payout return 91
Forward and futures contracts, riskless returns, term structure 78-85
Forward and futures contracts, speculators 28
Forward and futures contracts, spot price 91
Forward and futures contracts, standard 91-3
Forward and futures contracts, terminology, backwardation 103
Forward and futures contracts, terminology, basis risk 103
Forward and futures contracts, terminology, contango 103 104
Forward and futures contracts, terminology, implied repo rate 105
Forward and futures contracts, terminology, intercommodity spread 103
Forward and futures contracts, terminology, interdelivery spread 103
Forward and futures contracts, terminology, inverted market 105
Forward and futures contracts, terminology, normal market 104
Forward and futures contracts, time-to-delivery 29 110
Forward and futures contracts, valuation and replication 91-110
Forward and futures contracts, volatility 37
Forward rate agreement 82
Forward return, annualised 79-2
Forward-spot parity relation 99-103 106-8 110
Forward-start options 46
Front running (investor abuse) 66
Fundamental theorems of financial economics 17-18 20 191
Futures contracts see forward and futures contracts
FX (foreign exchange) forwards 112-14
Gamma hedging parameter 233-4 237 287-9 297
Garch (generalised autoregressive conditional heteroscedasticity) techniques 311-12 313
Garman - Kohlhagen formula 293
Garman, M. 236
General arbitrage relations 173-6
GNMA (Government National Mortgage Association) 43
Gold as natural resources option 49-50
Gold forward contracts 114 117
Gold futures contracts 118 119
Government securities 42-3
Grant dates (ESOs) 40
Greek symbols (hedging parameters), delta see Delta (measure for derivative risk)
Greek symbols (hedging parameters), gamma 233-4 237 287-9 297
Greek symbols (hedging parameters), omega 234 279 297
Greek symbols (hedging parameters), theta 235 279 297(see
GSCI (Goldman Sachs Commodity Index) 22
Heat equation 274
Heath - Jarrow - Morton model (bond option) 254-61
Hedge funds 324
Hedging, Black - Scholes formula 279-90
Hedging, Black - Scholes formula, delta measure 283-7 289
Hedging, Black - Scholes formula, gamma measure 287-9
Hedging, Black - Scholes formula, parameters 279-83
Hedging, classes of derivatives 28
Hedging, futures contracts, classes of derivatives 28
Hedging, futures contracts, futures, reasons for use 130-1
Hedging, futures contracts, rolling strip hedges 126-8
Hedging, futures contracts, stack hedges 128-9
Hedging, futures contracts, strip hedges 125-6
Hedging, futures contracts, warnings 129-30
Hedging, neutral hedges 285
Hedging, options 153-5 231-8
Hedging, organised exchanges 56
| Hedging, parameters see Greek symbols (hedging parameters) Delta option
HJM model (bond option) 254-61
Ho - Lee model (bond option) 251-4 261
Hotelling Principle (oil futures) 120-1
Hybrid debt 42
ICONS (indexed currency option notes) 42
IMM (International Monetary Market) 1 111
Indexes 24-5
Indexes, DJIA (Dow Jones Industrial Average) 24
Indexes, GSCI 22
Indexes, MMI 24
Indexes, Property Claims Services National Catastrophe Index 121
Indexes, risk premium 323
Indexes, S&P100 see S&P100 (Standard & Poor’s 500 Index)
Indexes, stock index futures 120 121-2
Indexes, ‘random walk’ 27
Inflation-indexed bonds 41
Insurance, examples of derivatives 43-4(see also Portfolios insurance)
Interbank market 63
Interest rate swaps 38
International Monetary Market (IMM) 1
International Settlements, Bank for 68
Intrinsic value (options) 152
Inverse problem 13-19
Inverse problem, binomial trees, implied 225
Inverse problem, complete market 15-18
Inverse problem, HJM model 256
Inverse problem, Ho - Lee model 253
Inverse problem, riskless arbitrage opportunity 16
Inverse problem, state-contingent claims 15
Investors, abuses of 63-6
IOs (interest only mortgage-backed securities) 44
ITM (in-the-money) 158(see also Call and put options)
Jumps, infrequent 295
Jumps, portfolio insurance 337 340-1
Jumps, replication strategy 189
Jumps, volatility 317-19
Ladder calls 46-7
Leases, operating 42
LIBOR (London interbank offer rate) 25
Limit orders 55-6
Locals 53
Lookback calls and puts 46
LYONS (Liquid Yield Option Notes) 42
Margin requirements 58-62
Margin requirements, account equity 58
Margin requirements, commissions 61-2
Margin requirements, percentage initial requirement 58
Margin requirements, percentage maintenance requirement 59
Market orders 56
Market prices, risk-aversion 13
Market prices, sample 35-6
Market-makers 53 54 56
Markets 53-69
Markets, abuses of investors 63-6
Markets, clearing houses 56-8
Markets, commissions 61-2
Markets, complete 15-19
Markets, informationally efficient, as 13
Markets, investors, abuses of 63-6
Markets, margin requirements 58-62
Markets, organised exchanges 53-6
Markets, over-the-counter 62-3 68
Markets, perfect see perfect markets
Markets, regulators 62
Markets, size of derivatives market 66-8
Markowitz, H. 296 324-5
Marriage as option 51-2
Maturity dates (bonds) 73
Merton, R. 14 273-4
MITTS (Market Index Target - Term Securities) 45
MMI (Major Market Index) 24
Money-back options 46
Mortgages 43-4
Multiperiod binomial option pricing model, boundary conditions 215
Multiperiod binomial option pricing model, continuous-time limit 223-5
Multiperiod binomial option pricing model, examples 214-20
Multiperiod binomial option pricing model, implied trees 225-30
Multiperiod binomial option pricing model, nodal probability 211
Multiperiod binomial option pricing model, nodes 208
Multiperiod binomial option pricing model, path probability 211
Multiperiod binomial option pricing model, path-independent options 220
Multiperiod binomial option pricing model, paths 208
Multiperiod binomial option pricing model, recombining binomial tree 208
Multiperiod binomial option pricing model, sample paths 220-2
Multiperiod binomial option pricing model, three-move European recursive model 210-11 216 217 230
Multiperiod binomial option pricing model, three-period American recursive model 208-10 216 217 219
Multiperiod binomial option pricing model, volatility 222-3
N$-move recursive multiperiod binomial option pricing model, model 211-13
National and regional catastrophe insurance (CAT) 12
National Futures Association (NFA) 62
Natural resources, options as 49-50
Newton - Raphson search, implied volatility 314-17
NFA (National Futures Association) 62
Non-financial options 51-2
OCC (Options Clearing Corporation) 58 68
Oil, futures contracts 119 120-1
Oil, natural resources option, as 50
Open interest (number of outstanding derivatives contracts) 67
Open-end mutual funds 44
Operating leases 42
Option traders, registered 54
Options Clearing Corporation (OCC) 58 68
Options, 401(k) deferred-tax savings plan 48-9
Options, American see American options ask price
Options, back and front spreads 167-8 172
Options, basic positions 141-57
Options, bear cylinders 162
Options, bear spreads 159-61 171
Options, bid prices 47
Options, bid-ask spreads 47 151
Options, binomial pricing model 195-262
Options, Black-Scholes formula see Black-Scholes formula
Options, Boston 167
Options, box spreads 151 157
Options, break forward 167
Options, bull cylinders 161-2
Options, bull spreads 158-9 171 173
Options, butterfly spread 169-70 172 174
Options, call and put see Call and put options
Options, capital assets 50-1
Options, classes of derivatives 31-3
Options, collar 45-6 165-6
Options, combined positions 158-72
Options, condors 170-2
Options, contingent premium 167
Options, counterparties 31
Options, credit spreads 160
Options, debit spreads 160
Options, defined 31
Options, delayed payment 167
Options, dynamic strategies see dynamic strategies
Options, European see European options
Options, exercising 31
Options, exotic 45-7
Options, expiration dates 73
Options, explicit corporate 40
Options, federal farm price supports 43
Options, fences 167
Options, flexible forwards 167
Options, foreign currencies, on 241-4
Options, forwards contrasted 155-7
Options, futures contracts, on 238-41
Options, hedges, elementary 153-5
Options, legging-in risk 151
Options, natural resources 49-50
Options, non-financial 51-2
Options, opening and closing transactions 143
Options, option price 31
Options, payoff derivatives, as 3
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