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| Авторизация |
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| Поиск по указателям |
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| Hull J. — Options, Futures, and Other Derivative Securities |
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| Предметный указатель |
Settlement price 27
Short hedge 33
Short position 2 7
Short rate process 400
Short selling 48
Short squeeze 49
Simulation run 330
Specialist system 145
Speculators 13
Spot interest rate 81
Spread on swap 116
Spread transaction (futures) 25
Spreads (options) 175—183
Spreads (options), bear spread 178
Spreads (options), bull spread 175
Spreads (options), butterfly spread 179
Spreads (options), calendar spread 181
Spreads (options), diagonal spread 183
Standard and Poor's 100 Index 137 249
Standard and Poor's 500 Index 58 137 24
Standard Oil 10
Step-up swap 128
Stochastic calculus 191
Stochastic interest rates 435
Stochastic process 190
Stochastic volatility 439
Stock dividend 140 153 232—237
Stock index 57
Stock index, futures price of 59—60
Stock index, index arbitrage 60
Stock index, option valuation 253—254
Stock index, options on 137 249—254
Stock option price 151—169
Stock option price, factors affecting 151—152
Stock option price, upper and lower bounds 154—158
Stock options, margins 145
Stock options, newspaper quotes 142
Stock options, on indices 249—54
Stock options, specifications of 138—242
Stock options, trading 144
Stock options, valuation 245
Stock price, lognormal property 210—212
Stock price, model 197
Stock price, parameters 200—201
Stock price, process for 196—198
Stock split 140
Stop-loss strategy 296—298
Storage cost 69
Straddle 183
Straddle purchase 184
Straddle write 184
Strangle 185
Strap 185
Strengthening of the basis 34
Strike price 139
Strip 185
Swaps 111—131
Swaps, amortizing 128
Swaps, credit risk 129—130 461—466
Swaps, currency 122
Swaps, default on 129
Swaps, deferred 128
Swaps, definition 111
Swaps, examples 112—114
Swaps, exchange of payments 115—116
Swaps, extendable 128
Swaps, forward 128
Swaps, indication pricing schedule 117
Swaps, interest rate 111
Swaps, offsetting 129
Swaps, options on 372—373
Swaps, pricing schedule 117
Swaps, puttable 128
Swaps, role of financial intermediary 114—115
Swaps, step-up 128
Swaps, warehousing 118
Swaptions 128 372
| Synthetic options 318
Systematic risk 70 281
Taylor series 327—328
Term repo 50
Term structure models 383—409
Term structure models, no-arbitrage 398—409
Term structure models, traditional approaches 383—398
Term structure theory 87—88
Term structure theory, expectation 87
Term structure theory, liquidity preference 87
Term structure theory, market segmentation 87
Terminal stock price distribution 437
Theta 307
Theta, for American options 341—342
Theta, relationship to gamma and delta 314
Tier one capital 464
Tier two capital 464
Time decay 308
Time to expiration 152
Time value of option 140
Tokyo Stock Exchange 58
Top straddle 184
Top vertical combination 186
Traded security 274 470
Traders 12—14
Traders, arbitrageurs 13—14
Traders, hedgers 12
Traders, speculators 13
Trading strategies using options 173
Trading volume 31
Treasury bill futures 94—98
Treasury bill price quotes 97
Treasury bond 88
Treasury bond futures 88—94
Treasury bond futures, cheapest-to-deliver bond 91
Treasury bond futures, conversion factors 90
Treasury bond futures, futures price of 93—94
Treasury bond futures, quotes 88
Treasury bond futures, wild card play 93
Treasury note futures contract 88
Trinomial trees 349 393—396 405—408
Triple witching hour 33
Two-factor interest rate models 397—398
Uncertain volatility 379
Up-and-in option 419
Up-and-out option 419
Uptick 49
Utilities index 249
Value Line index 249
Variance rate 197
Variance reduction procedures 333
Variation margin 23
Vasicek model 390—396
Vega 298 342
Vega-neutral portfolio 315
Volatility 153 198 200 201
Volatility, bond price 379—380
Volatility, causes 230—232
Volatility, estimation from historical data 214—217
Volatility, forward rate 377
Volatility, implied 229—230
Volatility, smile 448
Volatility, stock market 321—322
Volume of trading 31
Vulnerable option 459
Wall Street Journal 27 31 58 65 88 142 249 256 260
Warehousing interest rate swaps 118
Warrants 148 228
Weakening of the basis 34
Wiener process 192—196
Wild card play 93
Writing covered calls 146—147 175
Writing naked options 146
Yield curve model 383—409
Zero-coupon bond 81
Zero-coupon yield curve, definition 82
Zero-coupon yield curve, determination 84—86
“As You Like It” options 418
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