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| Ïîèñê ïî óêàçàòåëÿì |
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| Hunt P.J., Kennedy J. — Financial Derivatives in Theory and Practice |
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| Ïðåäìåòíûé óêàçàòåëü |
 theory 142
 theory 74—77
theory, concept 67—73 371—372
theory, definitions 69—72 375—376
 106—109
Absolutely continuous models 189 190—191 197
Accrual factors, concept 228—229 283—285 294
Admissible trading strategies 16—17 141—147 158—173 184—187
Affine decomposition, convexity products 278—282
American derivatives 142 178 315—369 see
American derivatives, concept 259 315—317
American options 142 178
Andersen, L. 338
Andreasen, J. 338
Appendices 373—378
Approximate arbitrage 162 185
Arbitrage 3—17 64 163—164 see
Arbitrage concept 3 6—9 158—164
Arbitrage, approximate arbitrage 162 185
Arbitrage, arbitrage-free properties 6—15 64 145—152 185 269—273
Arbitrage, linear swap-rate models 273
Arbitrage, market models 339—340 341—343 345—346
Arbitrage, Markov-functional models 352 355
Arbitrage, no-arbitrage properties 6—15 64 145—152 185 269—273
Arbitrage, portfolio existence 3 5—6 8—9 144
Arbitrage, pricing kernel 6—15 185
Arbitrage, probabilistic formulations 12—15
Arbitrage, short-rate models 316 319
Arbitrage, simplest setting 4—5
Arbitrage, terminal swap-rate models 269—273 303
assets 3—17 141 179—180
Assets, basic instruments 227—236
Assets, dividends 179
Assets, doubling strategy concept 160 185
Assets, filtration concept 152—153 212 273 306
Assets, price processes 142—146 161 179—180 216—217
Assets, pure discount bonds 183—187
Assets, real-world models 215—225
Assets, terminology 227—259
Assets, underlying 19
At the money, concept 240 242
Attainable derivatives, concept 6—7 11
Bachelier, Louis 19
Banach spaces 372
Basic instruments 227—236
Basis point, concept 235
Basis point, PVBP 235 280—284 356
Basis, accrual factors 228—229
Baxter, M.W. 187 201—204 209
Bermudan swaptions 315 317 329—332
Bermudan swaptions, concept 316—317 329
Bermudan swaptions, market models 338 346—347
Bermudan swaptions, Markov-functional models 351—371
Bermudan swaptions, mean reversion 370—371
Bermudan swaptions, model comparisons 370—371
Bermudan swaptions, valuation 317 329—335 351—371
Bermudan swaptions, Vasicek — Hull — White short-rate model 329—335 353 361 370—371
Bessel process 194 196
Billingsley, P. 92
Bjork, T. 184
Black — Derman — Toy model 323
Black — Karasinski short-rate model 198 321 322—323 370—371
Black — Karasinski short-rate model, benefits 322
Black — Karasinski short-rate model, drawbacks 321 322
Black, F. 143 148—150 158—159 180 198 241—243 280 283 292 300 304 321—323 338 341 357—366
Borel  -algebra 117—118 128 130—136 143 184
Borel — Cantelli lemma 54 131
Bounded martingales 35—36 57 87 108—109
Brace, A. 191 337
Breeden, M.J. 285
Breiman, L. 20
Brent's algorithm 267 328 330
Brown, Robert 19
Brownian motion 19—30 44 67 77 84—88 99 305—308 see
Brownian motion, concept 19—26
Brownian motion, definition 20—21
Brownian motion, deterministic transformations 23—26
Brownian motion, differentiability 25—26
Brownian motion, existence 20—21
Brownian motion, filtration 21 27—33 88—89 98—105 112—143 170 184—187 193
Brownian motion, Girsanov's theorem 101—105 139 156—158 307
Brownian motion, history 19
Brownian motion, Levy's theorem 88—89 101 113 122
Brownian motion, Markov property 26—30 134
Brownian motion, martingales 32—33 35 44 98 101—105 111—113 203
Brownian motion, quadratic variation 26 58 88—89
Brownian motion, reflection principle 28—30
Brownian motion, SDEs 115—139 327—329
Brownian motion, short-rate models 198—200 319—335
Brownian motion, symmetric random walks 21—23
Brownian motion, term structures 184—187
Brownian motion, transformations 23—26
Cadlag martingales 33—35 37 39—46 49—50 95—97
Calibration 217 223—225 259—275 287—302 330
Calibration, global calibration 223—225
Calibration, least squares fit 223—225
Calibration, local calibration 223—225
Calibration, market models 337—338
Calibration, Markov-functional models 352 356—357 362
Calibration, short-rate models 351
Call options, macro information modelling 217—218
Cancellable swaps, concept 316—317 361
Canonical set-up 21 44 100—105 117—118 124
Cantor distribution functions 197 211
Capital gains, concept 144—145 161
Caplets 286 359 368
Caplets, concept 239—244
Caplets, digital caplets 244 360
Caplets, intrinsic value 239—240
Caplets, put-call parity 241—242
Caps 207 366
Caps, concept 238—242 244—245
Caps, digital caps 244
Caps, flexible caps 359
Caps, limit caps 221—223 343 359
Caps, valuation 238—242
Cashflows deposits 228—229 233—234
Cashflows floating cashflows 229—230 238 283—285 293
Cashflows, FRAs 229—230
Cashflows, swaps 230—232 235—236 238 273 283—285 316—317
Cashflows, ZCBs 232—233
Cauchy sequences 41 54 70—73 107 126—127
Central limit theorem 23
Chebyshev's inequality 131
Chung, K.L. 176 197
CMS see constant maturity swaps
Complete economies, arbitrage existence 10
Complete economies, concept 7 10—11 151—152 164—173 252
Complete economies, equivalent martingale measure 14—15 155—158
Complete economies, incomplete economies 5
Complete economies, pricing kernel 9—12 185—187
Complete economies, probabilistic formulations 12—15
Complete economies, term structures 186—187
Complete economies, uniqueness 9—12 152 169 173
Constant maturity swaps (CMS), concept 260—261 277 282—285 299
Constant maturity swaps (CMS), options 284—285
Continuous resettlement, futures contracts 253—255
Continuous time 7 10—11 17 176—179
Continuous time, martingales 31—62 77—89 98—101 108—113 207
Continuous time, option pricing 141—181
Convergence 20 23 36 38 57 81 109 138—139
Convergence,  theory 72—73 375—376
Convergence, Doob's martingale convergence theorem 36 61—62 129 196
Convergence, monotone convergence theory 200 295
Convex cones 8—9 13
Convexity corrections 277—286 311
Convexity corrections, concept 277—282
Convexity corrections, examples 282—286
Convexity corrections, extensions 282—286
Convexity corrections, linear swap-rate models 280—282 303
| Correlation, mean reversion 367
Covariance 100 220—222
Covariance, Gaussian distributions 24 310
Covariance, quadratic covariance 55—56 74—76 216
Cox — Ingersoll — Ross model 323—324
Credit risks see also risk
Credit risks, futures contracts 249—251
Cross-currency swaptions, multi-currency terminal swap-rate models 311—313
Currency see foreign exchange
Daniel — Kolmogorov consistency theorem 97
Daycount fraction, concept 228
Decomposition, affine decomposition 278—282
Decomposition, convexity products 277—282
Decomposition, irregular swaptions 293—299
Delbaen, F. 162
Deposits, cashflows 228—229 233—234
Deposits, concept 227—229
Deposits, valuation 233—234
Derman, E. 323
Deterministic transformations, Brownian motion 23—26
Differentiability, Brownian motion 25—26
Differential equations 83—85 125—134 see
Differential equations, concept 115
Differential equations, ODEs 115 126—130
Diffusion 116 205 340 345 366
Digital caplets, concept 244
Digital caplets, valuation 244 360
Digital caps, concept 244
Digital floorlets, concept 244
Digital floorlets, valuation 244
Digital floors, concept 244
Digital options, concept 244—245
Digital swaptions, concept 245 356
Dimensions, data sets 219—221
Discount bonds 183—188 191—200 238 320 352 see
Discount bonds, convexity corrections 278—286
Discount curves 233 260—261 266—269 277—278 298—300 307
Discount factors 354—355
Discount factors, Bermudan swaptions 317 329—332
Discount factors, concept 233—236
Discount factors, multi-currency terminal swap-rate models 305—308
Discount factors, terminal swap-rate models 266—269 272 305—308 349
Discrete barrier swaptions 346—347
Discrete resettlement, futures contracts 252—253
Discrete time 33 149 152
Dividends 179
Dolean's exponential 86 342
Doob — Meyer theorem 55 61—62 129 170 196 212
Doob's martingale convergence theorem 36 61—62 129 196
Doubling strategy, concept 160 185
Drift 116 205 308 339—341 344—345 348—349
Duffle, D. 17 147 159 165 320
Durrett, R. 20 66
Dynamic term structures see term structures
Economies see also complete economies
Economies, arbitrage-free properties 6—15 64 145—152 185 269—273
Economies, components 141 142—145 151 183—184
Economies, incomplete economies 5
Economies, infinite trading horizon 180—181 183
Economies, information availability 144 152—153 216
Economies, one-period economy 5—17
Economies, pure discount bonds 183—187
Economies, real-world models 215—225
Economies, simplest setting 4—5 16
Einstein, Albert 19
Elliot, R.J. 61 176
EMM see equivalent martingale measure
Equity markets 227
Equivalent martingale measure (EMM), concept 14—15 105—106 110—113 155—158
Equivalent martingale measure (EMM), martingale representation theorem 110—113
Equivalent martingale measure (EMM), option pricing 149—151 155—158
Equivalent martingale measure (EMM), real-world measure 216—218
Equivalent probability measures, concept 91—98
Equivalent probability measures, filtration 94 95—98
Equivalent probability measures, Radon — Nikodym derivative 14 91—99 106 156—158 165 310
Eurodollar futures contracts 247—248 250—251 257
European derivatives 141—142 219—221 256—257 368—369
European derivatives, concept 146—147
European derivatives, pricing 146—151 219—221 287—302 368—369
European derivatives, reverse swap-market models 347—350
Exchanges, futures contracts 248—251
Exotic American derivatives 315—371
Exotic derivatives 223—225 259—313 315—371
Exotic derivatives, concept 259
Exotic European derivatives 259—313 351—352
Exponential integrals, concept 378
Exponential swap-rate models 266—267 269—275 299—302
Fatou's lemma 36 61
Filtration 63 99 106 117—118 212
Filtration, assets 152—153 212 273 306
Filtration, Brownian motion 21 27—33 88—89 98—105 152—157 170 184—187 193
Filtration, definitions 152—153
Filtration, equivalent probability measures 94 95—97
Filtration, natural filtration concept 152—153 184
Filtration, quadratic variation 60—61 88—89
Filtration, SDEs 117—138
Filtration, stopping times 34 134
Finite variation 50—58 63 100—105 170—172 197 340—348 367
Finite variation, term structure models 188—189 190—191 194—197
Fixed legs, swaps 231—232 233 235—236 283—285
Fixed-term deposits 227—228
Flesaker — Hughston models 190—191 206—212
Flexible caps, concept 359
Floating cashflows 229—230 238 283—285 293
Floating legs, swaps 231—232 235—236 273 283—285
Floating measure, concept 280—281
Floorlets, concept 239—244
Floorlets, digital floorlets 244
Floorlets, put-call parity 241—242
Floors, concept 238—242 244—245
Floors, digital floors 244
Floors, valuation 238—242
Foreign exchange (FX), cross-currency swaptions 311—313
Foreign exchange (FX), multi-currency terminal swap-rate models 303—313
Forward contracts, futures 256—257
Forward curves, zero coupon swaptions 273—275
Forward FX rate 303 307 311
Forward LIBOR 230—234 240—241 248—251 256 296—299 338—341 353—369
Forward measure, concept 240 290—291
Forward price 247
Forward rate agreements (FRAs) 189 200—202
Forward rate agreements (FRAs), cashflows 229—230
Forward rate agreements (FRAs), concept 229—230 243 247
Forward rate agreements (FRAs), drawbacks 247
Forward rate agreements (FRAs), futures contracts 248 250—251 256—257
Forward rate agreements (FRAs), put-call parity 241—242
Forward rate agreements (FRAs), swaps 232
Forward rate agreements (FRAs), valuation 234—235 237—238
Forward volatilities, mean reversion 369
FRAs see forward rate agreements
Fubini theorem 201—204 208—209
Futures contracts 177 183 186 247—257
Futures contracts, concept 247—251
Futures contracts, continuous resettlement 253—255
Futures contracts, definition 247—251
Futures contracts, discrete resettlement 252—253
Futures contracts, forwards 256—257
Futures contracts, FRAs 248 250—251 256—257
Futures contracts, martingales 253—257
Futures contracts, mathematical formulation 251
Futures contracts, payment rules 248—249
Futures contracts, price process 247—249 252—256
Futures contracts, replication 186
Futures contracts, resettlement 251 252—255
Futures contracts, risks 247—257
Futures contracts, settlement 248—249 251—255
Futures contracts, specification 248—249
Futures correction, concept 257
Futures price 247
FX see foreign exchange
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