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Hull J. — Options, Futures, and Other Derivative Securities
Hull J. — Options, Futures, and Other Derivative Securities

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Название: Options, Futures, and Other Derivative Securities

Автор: Hull J.

Аннотация:

Widely-adopted for its comprehensive coverage, exceptionally clear explanations of difficult material, and avoidance of nonessential math, this text bridges the gap between the theory and practice of derivatives, and helps students develop a solid working knowledge of how derivatives can be analyzed. It deals with a wide range of derivative products and provides complete coverage of key analytical material.


Язык: en

Рубрика: Математика/Вероятность/Стохастические методы в финансах/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Издание: second edition

Год издания: 1993

Количество страниц: 492

Добавлена в каталог: 04.06.2005

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Absolute diffusion model      442 453
Accrued interest      90 379
American calls      158
American effects of dividends      234—235
American futures options vs. American spot options      265
American on futures      265
American options      5
American path-dependent options      426—428
American puts      160
American relationship between call and put prices      164—166
American Stock Exchange      137
American valuation      329—369
American-style derivative securities      330
Amortizing swap      128
Analytic approximations in option pricing      362 367—369
Antithetic variable technique      333
Arbitrage      49 51 53 55 95—97 219
Arbitrage pricing theory      280
Arbitrageurs      13—14
Asian options      138 421 425 428
Ask price      144
Asset or nothing call      420
Assigned investor      148
At-the-money options      140
Average price call      421
Average price put      421
Average strike call      422
Average strike put      422
Bank for International Settlements (BIS)      455 464
Bankers Trust      11
Barrier options      418
Basis      34
Basis risk      34—36
Basis, strengthening of      34
Basis, weakening of      34
Bear spread      178
Bearish calendar spread      182
Bermudan option      138 415
Beta      61 321
Beta, using futures to change      63
Bid price      144
Bid-ask spread      144
Binary options      420
Binomial model      201—204 217 222 335—352 425
Binomial tree      335—352
Binomial tree, control variate technique      350
Binomial tree, estimating delta and other hedge parameters      341
Binomial tree, extensions to      348—351
Binomial tree, for dividend paying stock      345—348
Binomial tree, for indices, futures, and currencies      343—345
Binomial tree, similarities to finite difference methods      359—361
BIS capital requirements      464
Bivariate normal distribution      245—246
Black and Karasinski model      408
Black — Scholes differential equation: assumptions for      219
Black — Scholes differential equation: boundary conditions of      220
Black — Scholes differential equation: derivation of      219
Black — Scholes differential equation: underlying concepts      218—219
Black — Scholes pricing formulas      224—226
Black — Scholes pricing formulas, alternatives to      434 452—454
Black — Scholes pricing formulas, application to bond options      378—379
Black — Scholes pricing formulas, for warrants issued by a company on its own stock      228—229
Black — Scholes pricing formulas, properties      225—226
Black's approximation      235—237
Black's model, for bond options      378—379
Black's model, for caps      375—377
Black's model, for futures options      259—264
Black, Derman, and Toy model      408
Board broker      145
Bond equivalent yield      97
Bond options, and duration      380
Bond options, and swaptions      370
Bond options, embedded      371
Bond options, exchange-traded      370
Bond options, using forward bond prices      381—382
Bond options, valuation using Black-Scholes      378—379
Bond price process      399
Bond price volatility      389 399
Bootstrap method      84
Boston options      415
Bottom straddle      184
Bottom vertical combination      185
boundary conditions      220 293
Brady commission      322
Break forward      415
buckets      408
Bull spread      175
Bullish calendar spread      182
Butterfly spread      179
Calendar spread      181
Call option      5
Call option, definition      5
Call option, early exercise      158 234
Callable bonds      149 371
Cancellable forward      415
Cap rate      9 374
Cap valuation      375—378
Capital allocation      466
Capital Asset Pricing Model (CAPM)      61 280
Capital requirements      464
Caplets      374
Caps      9 373
CAPS (S&P)      249 420
Cash or nothing call      420
Cheapest-to-deliver bond      91
Chicago Board of Trade      4 18 20 22 27 42 88 106 137 259
Chicago Board Options Exchange      137 149 249
Chicago Mercantile Exchange      4 20 22 58 259
Clearing margin      26
Clearinghouse      26
Closing out position      19
Collars      378
Combinations      183—186
Combinations, straddle      183
Combinations, strangle      185
Combinations, strap      185
Combinations, strip      185
Commission brokers      19
Commodity price process (risk-neutral world)      282
Comparative advantage, currency swap      122
Comparative advantage, interest rate swap      112
Comparative advantage, validity of      116
Compound option model      440 452
Compound options      417
Constant elasticity of variance model      442
Consumption assets      46 67 72
Contango      70
Contingent claims      1
Continuous compounding      46—48
Continuous dividend yield      54 247—249
Control variate technique, Asian options      428
Control variate technique, finite difference methods      356
Control variate technique, Monte Carlo simulation      333
Control variate technique, trees      350
Convenience yield      68 284
Conversion factors      90
Convertible bonds      148 419
Convexity      103
Cost of carry      69
Coupon-bearing bond      82
Coupon-bearing bond yield curve      82
Covered call      146 175
Covered position      295
Cox, Ingersoll, and Ross model      396—397
Credit risk      129 455—467
Credit risk, exposure      456
Credit risk, independence assumption      457
Credit risk, options      459—461
Credit risk, swaps      461—464
Cross-currency futures and options      284—287
Cumulative bivariate normal distribution function      245—246
Cumulative normal distribution function      226—228
Currency options      255—258
Currency options, quotes      255
Currency options, valuation      257—258
Currency swap      122
Currency swap, credit risk      130 462—464
Currency swap, decomposition into bonds      125
Currency swap, decomposition into forward contracts      126
Currency swap, example      122—125
Currency swap, valuation of      125—128
Day trade      25
Default risk      129 455—467
Deferred payment options      415
Deferred swap      128
Delivery      21
Delivery, cash settlement      33 137 251
Delivery, location      21
Delivery, months      21
Delivery, options      69
Delivery, price      2
Delta      298—307
Delta hedging      298—307
Delta hedging, cost      304
Delta hedging, using futures      306
Delta of American options      341
Delta of European options      300—305
Delta of forward      300
Delta of futures      306
Delta of portfolio      307
Delta, relationship to gamma and theta      314
Delta-neutral portfolio      299
Derivative securities pricing, a single underlying variable      275—278
Derivative securities pricing, cross-currency futures and options      284—287
Derivative securities pricing, several underlying variables      279—282
Derivative securities pricing, underlying a commodity      282—284
Derivative security, definition      1
Derivative security, examples      1 9—12
Diagonal spread      183
Differential equation, Black — Scholes      219
Differential equation, futures contract      271—273
Differential equation, general case      291—293
Differential equation, stock paying continuous dividend yield      270—271
Discount instrument      95
Discount rate      97
Displaced diffusion model      441 453
Dividend yield      54 247 345
Dividends      140 153 166—167 232—237 345—348
Down-and-in option      419
Down-and-out option      419
Duration      99
Duration, hedging using      101—103
Duration, limitations of      103—105
Dynamic hedging schemes      300
Early exercise      158
Early exercise, calls on a dividend paying stock      166 244—246
Early exercise, calls on a nondividend paying stock      158
Early exercise, puts on a nondividend paying stock      160
Early redemption privilege      372
Efficient markets      191
Embedded bond options      371
Empirical research, Black — Scholes and other option pricing model      445—448
Empirical research, futures and forward prices      57
Empirical research, futures price and expected future spot price      71—72
Empirical research, options      167
Eurocurrency market      112
Eurodollar futures contract      98—99
Eurodollar interest rate      98
European options      5
European options, effects of dividends      166 233—234
European options, on futures vs. spot option      264—265
European-style derivative security      329
Ex-dividend date      60 233
Exercise date      5
Exercise limits      141
Exercise price      5
Exotic options      414—431
Exotic options, Asian options      138 421 425 428
Exotic options, barrier options      418
Exotic options, binary options      420
Exotic options, compound options      417
Exotic options, exchange of assets      423
Exotic options, forward start options      416
Exotic options, lookback options      420
Exotic options, nonstandard American options      415
Exotic options, options to exchange one asset for another      423
Exotic options, packages      415
Exotic options, several assets      424
Exotic options, valuation tools      425—426
Exotic options, “as you like it” options      418
Expectations theory      87
Expected rate of return      213—214
Expiration date of options      5 138
Explicit finite difference method      356
Extendable swap      128
Financial News Composite Index      249
Finite difference methods      352
Finite difference methods, application of      361—362
Finite difference methods, backward difference approximation      354
Finite difference methods, explicit      356 358
Finite difference methods, forward difference approximation      354
Finite difference methods, implicit      354
Finite difference methods, relation to tree approaches      359—361
Flexible forward contract      11
Floating interest rates      112
Floor broker      144
Floor-ceiling agreement      378
Floors      378
Foreign currency options      137 255
Foreign exchange quotes      64
Forward bond yield      382
Forward contract      2
Forward contract, and delta hedging      300
Forward contract, comparison with futures      4—5
Forward contract, definition      2
Forward contract, delivery price      2
Forward contract, difference between delivery and forward prices      56—57
Forward contract, forward price      2
Forward contract, long position      2
Forward contract, on income bearing security (known cash income)      53—54
Forward contract, on non-income security      51—52
Forward contract, on security paying a continuous dividend yield      54—55
Forward contract, payoffs from      3
Forward contract, short position      2
Forward interest rate      81
Forward interest rate, volatility of      376
Forward price      45
Forward price, definition      2
Forward price, difference from forward contract value      51
Forward price, equality to futures price      78—79
Forward price, general result      55—56
Forward price, on a security that pays a known dividend yield      54—55
Forward price, on currency      63—65
Forward price, vs. futures prices      56—57
Forward rate curve      83
Forward rate process      400
Forward rate volatilities      377
Forward start options      416
Forward swap      128
Forward volatilities (caps)      377
Forward with optional exit      415
Futures contract      3
Futures contract, and delta hedging      306
Futures contract, cash settlement      33
Futures contract, closing out position      19
Futures contract, commodities      65—68
Futures contract, contract size      20
Futures contract, converging to spot      32—33
Futures contract, currencies      63—65
Futures contract, daily price movement limits      22
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