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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 |
Gaussian Integrals 184 218—222 257 292
Gaussian integrals, calculations 375—376
Gaussian integrals, covariance 24 310
Geometric swap-rate models 267—275
Geometry, option pricing 7—13
Girsanov's theorem 125 139 156—158 203 205
Girsanov's theorem, Brownian motion 101—105 139 156—158 307
Girsanov's theorem, concept 91 96—97 99—105
Girsanov's theorem, continuous semimartingales 99—101
Glasserman, P. 187 338
Global calibration 223—225
Goes short concept, FRAs 230
Gronwall's lemma 133 135—136
Heath — Jarrow — Morton (HJM) models 189 200—206 337
Hedging calibration 223—225
Hedging European options 146—151
Hedging macro information modelling 217—218
Hilbert spaces 40 66—68 69—70 107 376
HJM see Heath — Jarrow — Morton models
Hull, J. 321 see
Implied interest rate pricing models 287—302
Implied interest rate pricing models, exponential swap-rate models 299—302
Implied interest rate pricing models, irregular swaptions 288 293—299
Implied interest rate pricing models, numerical implementation 292—293
Implied volatilities, mean reversion 368—371
In the money, concept 240 242
Incomplete economies, concept 5
Infinite trading horizon 180—181 183
Infinitesimals, modelling 216—217
Information, macro information modelling 217—218
Information, trading strategies 144 152—153 216
Ingersoll, J.E. 323—324
Initial margin, futures contracts 249
Instantaneous forward rates 189 200—202
Integration see also stochastic integration
Integration by parts 81—83
Integration, Lebesgue — Stieltjes integration 49—51 64—67 81—82 132—133 189 197 201
Integration, semimartingales 59—62 63 73 78—89 91
Integration, Stieltjes integration 49—51 64 65—67 74 76
Integration, variation 49—58
Interest rate swaps see swaps
Interest rates see also term structure interest
Interest rates, implied interest rate pricing models 287—302
Interest rates, LIBOR 228—257 277 282—286 296—299 311—313 359—371
Interest rates, Markov-functional models 264 299 316
Interest rates, mean reversion 359 367—371
Interest rates, models 183—212 287—302 316
Interest rates, products 180 186 227—236 247—257
Interest rates, spot interest rates 198 228 368
Intrinsic value, caplets 239—240
Irregular swaptions 288 293—299
Ito's formula 98 116 150 171—172 203—204 321—326
Ito's formula, capital gains 144—145 161
Ito's formula, concept 81—89 145—146
Ito's formula, differential notation 83—85
Ito's formula, multidimensional version 85—88
Ito's formula, SDEs 125—134
Jacka, S.D. 184
Jacod, J. 105 116
Jamshidian, F. 191 295 323 328 337
Jensen's inequality 36—37 40 74—76 129
Jin, Y. 187
Jointly progressively measurable concept 204
Karasinski, P. see Black — Karasinski short-rate model
Karatzas, I. 34 78 84 97 105 134 159 179
Kennedy, D.P. 184
Kunita — Watanabe characterization 74 76
Kunita, H. 74 76 88
Lamberton, D. 147
Lapeyre, B. 147
Least squares fit, calibration 223—225
Lebesgue — Stieltjes integration 49—51 64—67 132—133 189 197 201
Legs, swaps 231—233 235—236 273 283—285 293
Levy's theorem, concept 88—89 101 113 122
Libor see London Interbank Offer Rate
Limit caps 221—223 343 359
Linear swap-rate models 268—269 273—275 280—282 310
Lipschitz conditions, SDEs 116 125—138 173
Litzenberger, R. 285
Local calibration 223—225
Local martingales 98 100—113 139
Local martingales, concept 56—59 62 63
Local martingales, Ito integrals 145
Local martingales, Levy's theorem 88—89 101 113
Local martingales, stochastic integration 77—80 82—89 91
Localization concept 56 77—80 82 105—113
Locally bounded integrands 64—65 73 78—80
Log-normal models 207 216—218 240—245 269 300—307 366—367
Log-normal models, short-rate models 322—323
London Interbank Offer Rate (LIBOR) 228—244 268 277 282—286 296—299 311—313
London Interbank Offer Rate (LIBOR), concept 228
London Interbank Offer Rate (LIBOR), futures contracts 248—257
London Interbank Offer Rate (LIBOR), LIBOR-in-arrears basis swaps 277 282—283
London Interbank Offer Rate (LIBOR), market models 337—343
London Interbank Offer Rate (LIBOR), Markov-functional models 359—371
London Interbank Offer Rate (LIBOR), mean reversion 367—371
Macro information, modelling 217—218
Maintenance margin level, futures contracts 249
Margrabe, W. 309—311
Market models 337—350
Market models, advent 198 316—317 319 337—338
Market models, arbitrage-free properties 339—340 341—343 349—350
Market models, benefits 316 319 337—338
Market models, Bermudan swaptions 338 346—347
Market models, calibration 337—338
Market models, concept 337—338
Market models, drawbacks 338 351
Market models, drift 339—341 344—345 348—349
Market models, European derivatives 347—350
Market models, examples 343 346—347 350
Market models, LIBOR models 337—343 368—369
Market models, Markov-functional models 365—367
Market models, regular swap-market models 343—347
Market models, reverse swap-market models 338 347—350
Market models, swap-rate models 338 343—350
Market risks, futures contracts 249—251
Markov property 26—30 33 116 134
Markov property, concept 26—27
Markov property, SDEs 125 134—139 143 341—343 346 349
Markov-functional models 264 299 316
Markov-functional models, arbitrage-free properties 352 355 358
Markov-functional models, Bermudan swaptions 351—371
Markov-functional models, calibration 352 356—357 362
Markov-functional models, concept 351—353 365—367
Markov-functional models, example models 359—362
Markov-functional models, LIBOR models 359—361 368—369
Markov-functional models, market models 365—367
Markov-functional models, mean reversion 359 367—371
Markov-functional models, swap model 361—362
Markov-functional models, swaption prices 354—358
Martingales 14—15 31—62 76—80 153—158 206—212 see
Martingales, bounded martingales 35—36 39—41 57 87
Martingales, Brownian motion 32—33 35 44 98 101—105 195 203
Martingales, cadlag stochastic processes 33—35 37 39—46 61—62 95—97
Martingales, classes 31 35—41
Martingales, concept 31—41
Martingales, definition 32—35
Martingales, equivalent martingale measure 14—15 110—113 149—151 155—158 216—218
Martingales, futures contracts 253—257
Martingales, properties 32—35
Martingales, quadratic variation 32 51—56 58 88—89
Martingales, real-world models 215—218
Martingales, representation theorem 64 91 103 105—113 203
Martingales, square-integrable martingales 35 39—41 67—68 106—108
Martingales, stopping times 45—62
Martingales, supermartingales 61—62 98 207—212
Martingales, terminal swap-rate models 264—273
Martingales, uniformly integrable martingales 31 35 70 180
Maturities, CMS 260—261 282—285
Maturities, deposits 228
| Maturities, swaps 231 235
Maturities, term structure models 200 209
Maturities, ZCBs 233—234 235
Mean reversion 359 367—371
Mean reversion, Bermudan swaptions 370—371
Mean reversion, correlation 367
Mean reversion, implied volatilities 368—371
Mean reversion, Markov-functional models 359 367—371
Mean reversion, Vasicek — Hull — White short-rate model 367—371
Mean reversion, volatilities 368—371
Meyer's theorem 55—56
Miltersen, K. 191 337
Models see also calibration; real-world models; short-rate models
Models, absolutely continuous models 189 190—191 207—212
Models, Black — Karasinski short-rate model 198 322—323 370—371
Models, comparisons 370—371
Models, exotic American derivatives 315—371
Models, exotic European derivatives 259—313 370—371
Models, geometric swap-rate models 267—275
Models, Heath — Jarrow — Morton models 189 191 337
Models, implied interest rate pricing models 287—302
Models, infinitesimals 216—217
Models, interest rates 183—212 287—302 316
Models, log-normal models 207 216—218 240—245 269 300—307 322—323 365—366
Models, macro information 217—218
Models, market models 198 316—317 319 337—351
Models, Markov-functional models 264 299 316
Models, multi-currency terminal swap-rate models 303—313
Models, numerical comparisons 369—371
Models, product-based models 218—223
Models, regular swap-market models 343—347
Models, reverse swap-market models 338 347—350
Models, swap-rate models 263—275 280—282 287—313 343—350
Models, term structures 187—212 269 271—273 338—0 358
Models, terminal swap-rate models 263—275 280—282 347 349
Models, Vasicek — Hull — White short-rate model 198 319—335 353 361 367—371
Monotone convergence theory 200 295
Multi-currency terminal swap-rate models 303—313
Multi-currency terminal swap-rate models, concept 303—305
Multi-currency terminal swap-rate models, construction 304—305
Multi-currency terminal swap-rate models, cross-currency swaptions 311—313
Multi-currency terminal swap-rate models, examples 308—313
Multi-currency terminal swap-rate models, spread options 308—311
Multi-temporal products see also Bermudan swaptions
Multi-temporal products, concept 315—317 329 346—347 352—355
Multidimensional short-rate models 324
Multidimensional version, Ito's formula 85—88
Musiela, M. 324
Natural filtration, concept 152—153 184
Newton — Raphson algorithm 292—293 328 330
Notional amounts, cross-currency swaptions 311—313
Notional amounts, FRAs 229—230 250
Novikov's condition 97—98 104 342
Null sets, macro information modelling 217—218
Numeraires see also pricing kernel
Numeraires, concept 15 142 149—151 153—158 161—176
Numeraires, convexity corrections 278—286
Numeraires, futures contracts 252—257
Numeraires, market models 337—350
Numeraires, Markov-functional models 352—367
Numeraires, term structure models 187—188 192—194 358
Numeraires, vanilla swaptions 242—243 260 265—266 356—357
Numerical comparisons, models 367—369
Numerical implementation, implied interest rate pricing models 292—293
ODEs see ordinary differential equations
Oksendal, B. 179
One-period economy, option pricing 3—17
One-period economy, possible states 4
Option pricing see also prices; valuation
Option pricing, American options 142 178
Option pricing, arbitrage-free properties 163—164
Option pricing, concept 3 141—142 146—151
Option pricing, continuous time 141—181
Option pricing, equivalent martingale measure 149—151 155—158
Option pricing, European options 146—151 219—221 370—371
Option pricing, extensions 176—181
Option pricing, geometry 7—13
Option pricing, infinite trading horizon 180—181
Option pricing, payouts 176—179
Option pricing, PDEs 147—149 150
Option pricing, real-world models 215—225
Option pricing, simplest setting 4—5 16
Option pricing, single period 3—17
Option pricing, two-period economy 15—17
Optional sampling theorem 31—32 45—49 75—76
options see also swaptions
Options, Bermudan swaptions 315—317 329—335 338
Options, call options 217—218
Options, caplets 239—244 286
Options, CMS 284—285
Options, digital options 244—245
Options, macro information modelling 217—218
Options, put options 241
Options, spread options 308—311 347 350
Options, swaptions 207 242—243 245 265—266 273—275
Ordinary differential equations (odes) 115 see
Ordinary differential equations (ODEs), Picard — Lindeloef iteration 126—130
Orthogonal complements 107—109
OTC see over the counter
Out of the money, concept 240 242
Over the counter (OTC), concept 247
Par swaps 231—232 242 261 298 317 346—348
Partial differential equations (PDEs), option, pricing 147—149 150
Path-dependent derivatives 315—369
Paths 21—26
Paths, limits 71—73
Paths, martingales 34—35 58
Paths, two-period economy 16
Paths, uniqueness 120—121 124 127 130—134 143
Payers swaptions, concept 242 245 266 368
Payment dates 229—230
Payment, futures contracts rules 248—249
Payment, payouts 176—179
PDEs see partial differential equations
Picard — Lindeloef iteration 126—130
Plain vanilla interest rate swaps 242
Polarization identity, concept 56 81
Polynomial integrals, concept 373—374
Pre-agreed deposits 227—229
Predictable processes 128 205
Predictable processes, concept 62 64 65—67
Predictable processes, stochastic integration 64 65—67 69—70 79—0
Present value of a basis point (PVBP) 235 356
prices see also option pricing; valuation
Prices, assets 142—146 161
Prices, continuous process assumption 19
Prices, convexity corrections 277—286
Prices, exotic American derivatives 315—371
Prices, exotic European derivatives 259—313 351—352 370—371
Prices, futures contracts 247—249 252—256
Prices, implied interest rate pricing models 287—302
Prices, irregular swaptions 288 293—299
Prices, macro information modelling 217—218
Prices, model comparisons 370—371
Prices, path-dependent derivatives 315—369
Prices, real-world models 215—225
Prices, zero coupon swaptions 273—275
Pricing kernel see also numeraires
Pricing kernel, arbitrage-free properties 6—15 185
Pricing kernel, complete economies 9—12 185—187
Pricing kernel, concept 6—15 173—176
Pricing kernel, equivalent martingale measure 14—15
Pricing kernel, futures contracts 252
Pricing kernel, term structure models 188—189 191 192 194 201—203 207—212
Priestley, H.A. 371
Principal component analysis 219—222
Product-based models 218—223
Progressively measurable concept 50 67
Protter, P. 92 110 116 176
Pure discount bonds 183—188 191—192 194—196 320 352 see
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