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| Hull J. — Options, Futures, and Other Derivative Securities |
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| Предметный указатель |
Futures contract, definition 3
Futures contract, delivery arrangements 21
Futures contract, delivery month 21
Futures contract, difference from forward contract 4—5
Futures contract, difference from options contract 5
Futures contract, Eurodollar 98—99
Futures contract, gold and silver 66
Futures contract, hedging 33—37
Futures contract, initial margin 23
Futures contract, interest rate 80
Futures contract, maintenance margin 23
Futures contract, margin account 23
Futures contract, margin call 23
Futures contract, marking-to-market 23
Futures contract, operation of margins 22—26
Futures contract, optimal number of 62
Futures contract, option on 137 258—265
Futures contract, position limits 22
Futures contract, price 45
Futures contract, quotations 21 27
Futures contract, specification of 19—22
Futures contract, stock index 57
Futures contract, Treasury bill 94
Futures contract, Treasury bond and Treasury note 88—94
Futures contract, variation margin 23
Futures markets 18—31
Futures options 137 258—265
Futures options, American futures vs. American spot 265
Futures options, Black's model 259—264
Futures options, definition 137 258
Futures options, differential equation for 271—273
Futures options, European futures vs. European spot 264
Futures options, put-call parity 264
Futures options, Treasury bond 370
Futures options, Treasury note 379
Futures options, valuation of 378—382
Futures price and expected future spot price 70—71
Futures price of stock indices 59—60
Futures price on commodity 63—65
Futures price on currency 65—68
Futures price vs. forward price 56—57
Futures price, equality to forward price 78—79
Gamma 310
Gamma, calculation for American options 341
Gamma, calculation for European options 312—313
Gamma, relationship to delta and theta 314
Gamma-neutral portfolio 312
Gap management 105 409
General differential equation 291—293
Generalized Wiener process 193—196
Geometric average, option on 428
Geometric Brownian motion 198
Gold / Silver index 249
Gross basis 26
Heath, Jarrow, and Morton model 401—402
Hedge and forget schemes 300
Hedge, long 33
Hedge, optimal ratio 37
Hedge, short 33
Hedgers 12
Hedging strategies, duration-based 101—103
Hedging strategies, rolling forward 39—40
Hedging strategies, simulation of 302—303
Hedging strategies, using futures 33—37
Hedging strategies, using index futures 61 320—321
Hedging strategies, using index option 251—253
Hedging strategies, using synthetic options 318—319
History-dependent derivative security 282
Ho and Lee model 403—404
Hull and White model 404—408
icons 11
Implicit finite difference method 354
Implied repo rate 96
Implied volatility 229—230
In-the-money options 140
Index arbitrage 60
Index currency option notes (ICONs) 11
Index futures 57
Index options 137 249
Indication pricing schedule 117
Initial margin 23
Instantaneous expected drift rate 197
Instantaneous forward rate 83
Instantaneous variance rate 197
Institutional index 249
Interest-rate caps 9—10 373
Interest-rate collars 378
Interest-rate derivative securities 370—413
Interest-rate floors 378
Interest-rate futures 80
Interest-rate options 370—413
Interest-rate risk 278—279
Interest-rate swap 111
Interest-rate swap, exchange of payments 115
Interest-rate swap, pricing schedules 117
Interest-rate swap, relationship to bond prices 118—120
Interest-rate swap, relationship to forward contracts 120—122
Interest-rate swap, role of financial intermediary 114
Interest-rate swap, valuation of 118
Interest-rate swap, warehousing 118
International Monetary Market 21 98 259
International Swap Dealers Association 131
Intrinsic value 140
Inverted market 31
Investment asset 65
Ito process 196
Ito's lemma 208
Ito's lemma, derivation of 243—244
Ito's lemma, generalization of 290
Ito's lemma, illustration 209—210
Jamshidian approach 390—393
Jamshidian approach, valuing European option on coupon-bearing bonds 391—393
Jamshidian approach, valuing European option on discount bonds 390—391
Japan Index 249
Jump diffusion model 443 454
jumps 442
Kappa 315
Knockout option 419
LAMBDA 315
Lattice approach See Binomial tree
LEAPS 249
Libor 98 112
Lifetime highs and lows 31
Limit down 22
Limit move 22
Limit order 19 144
Limit up 22
Liquidity preference theory 87
Locals 19
Lognormal distribution 210 437
London Interbank Offer Rate 98 112
London International Financial Futures Exchange 98
Long hedge 33
Long position 2 7
Long Term Credit Bank of Japan 11
Long-term Equity Anticipation Securities (LEAPS) 249
Lookback options 420 426
Maintenance margin 23
Major Market Index 58 249
Margin account 23
Margin call 23
margins 23 145
Market efficiency 191
Market maker 144
Market order 19
Market price of risk 276
Market segmentation theory 87
Marking to market 23
Markov process 191
Markov property 191 401 402
| Matched pair of swaps See Offsetting swap agreements Mean reversion
Merton's stochastic interest rate model 435—436
Monte Carlo simulation 199 329—334 425 461
Monte Carlo simulation, antithetic variable technique 333
Monte Carlo simulation, application of 334
Monte Carlo simulation, control variable technique 333
Monte Carlo simulation, nature of 330
Monte Carlo simulation, one underlying variable 330—331
Monte Carlo simulation, several underlying variables 331—332
Monte Carlo simulation, simulation run of 330
Mortgage commitments 372
Mortgage-backed securities 372
Naked option 146
Naked position 295
Negative probabilities in tree 351
Net basis 26
Netting 466
Neutral calendar spread 182
New York Commodity Exchange 23 31
New York Cotton Exchange 20
New York Futures Exchange 58
New York Mercantile Exchange 21 31 259
New York Stock Exchange 58 137
New York Stock Exchange Composite Index 58 249
Nikkei 225 Index 58 61 148 285
No-arbitrage interest rate models 398—401
Nonparallel shifts in interest rates 104
Nonsystematic risk 70 281
Normal backwardation 70
Normal distribution 192
Normal distribution function 226—228
Normal market 31
Notice of intention to deliver 0
Numerical procedures 329—62
Numerical procedures, Binomial trees 335—343
Numerical procedures, finite differential methods 352—362
Numerical procedures, for exotics 425—30
Numerical procedures, Monte Carlo simulation 329—334
Offsetting order 145
Offsetting swap agreements 129
Open interest 31
Optimal hedge ratio 37—39
Option class 140
Option Clearing Corporation 147
Option contract 5 136
Option contract, American options vs. European options 5
Option contract, call 5
Option contract, cross currency 284—287
Option contract, currency 137 255—258
Option contract, definition 5
Option contract, difference from futures and forward contracts 5
Option contract, dividend and stock split 140—141
Option contract, examples 6—7
Option contract, exercise date 5
Option contract, exercise price 5
Option contract, exercising of 147—148
Option contract, expiration date 5 138
Option contract, foreign currency 137
Option contract, futures 137 258—265
Option contract, index 137
Option contract, interest rate 370
Option contract, intrinsic value 140
Option contract, maturity 5
Option contract, on bonds 370
Option contract, on stock indices 137 249—254
Option contract, on stock paying known dividend yields 247—249
Option contract, on swaps 128 372
Option contract, payoff / terminal value 8—9
Option contract, positions 7
Option contract, put 5
Option contract, quotes 142
Option contract, specification 138—142
Option contract, synthetic 318
Option contract, trading 144—145
Option contract, underlying assets 136
Option series 140
Option valuation, Black — Scholes formula 224—226
Option valuation, cross currency 284—287
Option valuation, currency options 257—258
Option valuation, effect of dividends 232—235
Option valuation, futures options 259
Option valuation, stock index options 253—254
Option valuation, stock paying known dividend yields 247—249
Option valuation, two underlying assets 428
Option valuation, using a simple binomial model 217—18 343—345
Option valuation, using numerical procedures 329—369
Options exchange 137
Options on two correlated assets 428—429
Options trading 144
Options trading strategies 173—187
Order Book Official 144
Orders 144
Out-the-money options 140
Over-the-counter market 1
Over-the-counter options 138
Overnight repo 50
Pacific Stock Exchange 137
Packages 415
Par yield bond 119
Payoff 7—8 176 178 180 184 416
Perfect hedge 33
Philadelphia Board of Trade 137
Philadelphia Stock Exchange 137
Plain vanilla interest-rate swap 111
Portfolio insurance 251—253 318—321
Portfolio insurance, creating options synthetically 318—319
Portfolio insurance, using index futures 320—321
Portfolio insurance, using index options 251—253
Position limits 22 141
Prepayment privilege 372
Price sensitivity hedge ratio 102
Pricing biases 436—438
Pricing schedule 117
Program trading 60
Protective put 175
Pull to par 380
Pure jump model 442 454
Put option, definition 5
Put option, early exercise on nondividend paying stock 160
Put-call parity 163 167 264 438
Puttable bonds 371
Puttable swap 128
Quadratic approximation 362
Random samples 332
Range forward contracts 11 415
Rate of return 70 212—214
Rate of return, distribution of 212—214
Rate of return, expected 213—214
Rebalancing hedges 300
Regulators 455 464
Relationship between American call and put prices 164—166
Rendleman and Bartter model 385—388
Repo agreement 50
Repo rate 50
Repurchase agreement 50
reverse calendar spread 182
Rho 317
Risk adjusted exposure 464
Risk and return 70
Risk neutral valuation 221—223 277 281 335 470
Risk neutral valuation, application to forward contracts on a stock 223
Risk neutral valuation, explanation of 221—222
Risk neutral valuation, extension to non-traded securities 277 281
Risk-free interest rate 153
Risk-neutral world 222
Riskless hedge 469
Riskless portfolio 218
Rolling back, interest rate tree 396
Rolling back, tree for stock prices 337
Rolling the hedge forward 39—40
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