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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 |
Pure discount bonds, convexity corrections 278—286
Put options 241
Put-call parity 241—243
PVBP see present value of a basis point
Quadratic covariation, concept 55—56 216
Quadratic covariation, stochastic integration 74—76
Quadratic variation, Brownian motion 26 58 88—89 113
Quadratic variation, concept 51—56 69 216
Quadratic variation, filtration changes 60—61 88—89
Quadratic variation, Levy's theorem 88—89 113
Quadratic variation, martingales 32 51—56 58 88—89 100
Quadratic variation, stochastic integration 74—76 84 88—89
Radon — Nikodym derivative 14 91—99 101—103 156—158 165 310
Random walks see also Brownian motion
Random walks, symmetric random walks 21—23
Rational log-normal models 207 216—217
Real-world models 215—225 see
Real-world models, EMM 216—218
Real-world models, martingales 215—218
Real-world models, terminal swap-rate models 263—275 280—282 347 349
Receivers swaptions, concept 242—243 245 371
Reflection principle, Brownian motion 28—30
Regular swap-market models 343—347
Replication 3—17 147 149—151 163—164 see
Replication, concept 3 6—7 9—10 112 234
Replication, FRAs 234 237—238
Replication, futures contracts 186
Replication, simplest setting 4—5
Replication, swaps 235
Representation theorem, martingales 64 91 105—113 139 203
Reset dates, FRAs 229—230
Resettlement, futures contracts 251 252—255
Reverse swap-market models 338 347—350
Revuz, D. 36 42 57 67 92 110 113 116 122 254
Riemann Sums 73 254
Risk-neutral measures 252—257
Risk-neutral measures, concept 189 201—203
Risk-neutral measures, short-rate models 319—320 325—330
Risks, credit risks 249—251
Risks, futures contracts 247—257
Risks, market risks 249—251
Rogers, L.C.G. 38 70 78 122—125
Ross, S.A. 323—324
Rudin, W. 371
Rutkowski, M. 207 324 338
Schachermayer, W. 162
Scholes, M. 143 148—150 158 159 180
SDEs see stochastic differential equations
Self-finance, trading strategies 16—17 142 149—151 154—155 158—173
Semimartingales 56 73 78—89 153 173—176 192
Semimartingales, concept 59—63
Semimartingales, Girsanov's theorem 91 96—97 99—105
Semimartingales, integration 59—62 63 73 78—89 91
Settlement, futures contracts 248—249 251—255
Short-rate models 189 190—191 197—206 252
Short-rate models, American derivatives 316—317
Short-rate models, arbitrage-free properties 316 319
Short-rate models, benefits 316 319 337
Short-rate models, Black — Karasinski model 198 321 322—323
Short-rate models, calibration 351
Short-rate models, concept 316 319—335
Short-rate models, Cox — Ingersoll — Ross model 323—324
Short-rate models, drawbacks 316 337 351
Short-rate models, log-normal models 322—323
Short-rate models, multidimensional short-rate models 324
Short-rate models, risk-neutral measures 319—320 325—330
Short-rate models, SDEs 319—329
Short-rate models, Vasicek — Hull — White model 198 257 316 353 361 367—371
Shreve, S.E. 34 78 84 97 105 134 179
Simplest integral, stochastic integration 68—69
Simulation 338 350
Single period, option pricing 3—17
Smiles 304 307—308 see
spaces 39—41 66—73 78
Spaces,  theory 67—73 371—372
Spaces,  106—109
Spaces, Banach spaces 372
Spaces, equivalent probability measures 95—98
Spaces, Hilbert spaces 40 66—68 69—70 107 372
Specification, futures contracts 248—249
Spot interest rates 198 228 367
Spot LIBOR 228 230 368—369
Spread options 308—311 347 350
Square-integrable martingales 35 39—41 55—56 106—108
Stability 106—109
Standard market derivatives, pricing 237—245
Stieltjes integration 49—51 64 65—67 74 76
Stochastic calculus 78 81—89 99 125—134
Stochastic differential equations (SDEs) 86 115—139 156—159 187—188
Stochastic differential equations (SDEs), asset price processes 143 216—217
Stochastic differential equations (SDEs), concept 115—117
Stochastic differential equations (SDEs), definition 116—117
Stochastic differential equations (SDEs), Heath — Jarrow — Morton models 189 200—206
Stochastic differential equations (SDEs), inequality 126—129
Stochastic differential equations (SDEs), Lipschitz conditions 116 125—138 173 341
Stochastic differential equations (SDEs), market models 338—350 363
Stochastic differential equations (SDEs), Markov property 125 134—139 143 341—343 349
Stochastic differential equations (SDEs), pathwise uniqueness 120—121 124 127 130—134 341—350
Stochastic differential equations (SDEs), short-rate models 319—329
Stochastic differential equations (SDEs), solutions 116 119—134 139 305 341—343
Stochastic differential equations (SDEs), strong solutions 116 119 121—134 139 305
Stochastic differential equations (SDEs), uniqueness 120—134 143 152 169 305 346 349—350
Stochastic differential equations (SDEs), weak solutions 116 119—134 139 152 169
Stochastic integration 63—89 105—113
Stochastic integration, theory 67—73 74—77 375—376
Stochastic integration, central result 26
Stochastic integration, concept 63—77
Stochastic integration, construction 64—73
Stochastic integration, extensions 77—80
Stochastic integration, integrands 64 66—74 77—80
Stochastic integration, localization 77—80 82—89 105—113
Stochastic integration, maps 66—67 70 80
Stochastic integration, outline 63—65
Stochastic integration, pathwise limits 71—73
Stochastic integration, predictable processes 64 65—67 69—70 79—0
Stochastic integration, properties 74—77
Stochastic integration, quadratic variation 74—76 84 88—89
Stochastic integration, semimartingales 63 73 78—89
Stochastic integration, simplest integral 68—69
Stochastic integration, space 66—73 78
Stochastic integration, stopping times 74—75 78—79
Stochastic integration, uniqueness 76—77
Stochastic processes 19—20 144—145 see
Stochastic processes, cadlag 33—35 37 39—46 49—50 61—62 95—97
Stochastic processes, square-integrable concept 35 39—41 55—56
Stopping times 26 27—30 68—69 134—139 144
Stopping times, American options 142 178
Stopping times, concept 27 41—45
Stopping times, definition 41—42
Stopping times, filtration 34 134
Stopping times, martingales 45—62
Stopping times, Stochastic integration 74—75 78—79
Stratonovich integral 145
Strike, options 238 242
| Strong SDE solution 116 119 121—134 139 341—343
Strook, D.W. 125
Supermartingales 61—62 98 207—212
Swap Markov-functional model 361—362
Swap-rate models 263—275 280—282 287—313 see
Swap-rate models, market models 338 343—350
Swap-rate models, regular models 343—347
Swap-rate models, reverse models 338 347—350
Swaps 304—308
Swaps, cancellable swaps 316—317 361
Swaps, cashflows 230—232 235—236 238 273 283—285 316—317
Swaps, CMS 260—261 277 282—285 299
Swaps, concept 230—233 238 242 260—261
Swaps, cross-currency swaps 311—313
Swaps, FRAs 232
Swaps, LIBOR-in-arrears basis swaps 277 282—283
Swaps, par swaps 231—232 242 261—266 298 317 356
Swaps, PVBP 235 280—284 356
Swaps, replication 235
Swaps, reverse swap-market models 338 347—350
Swaps, valuation 235—236 237—238 293—299 329—335 350
Swaps, ZCBs 233
Swaptions 207 242 354—358 see
Swaptions, concept 242—243 245 273
Swaptions, cross-currency swaptions 311—313
Swaptions, digital swaptions 245 346
Swaptions, discrete barrier swaptions 346—347
Swaptions, implied interest rate pricing models 287—302
Swaptions, irregular swaptions 288 293—299
Swaptions, measure 242—243
Swaptions, payers swaptions 242 245 266 297—298 371
Swaptions, receivers swaptions 242—243 245 293—295 371
Swaptions, terminal swap-rate models 265—273 304—308
Swaptions, valuation 242—245 265—266 273—275 293—299 317 346—347 354—358 371
Swaptions, volatilities 274—275 283—284 288 296—299 304 357 369—371
Swaptions, zero coupon swaptions 273—275
Symmetric random walks 21—23
Tanaka 122
Taylor's theorem 84 268
Term structures 183—212 358
Term structures, concept 183—191
Term structures, market models 338—350
Term structures, maturity parameters 200 209
Term structures, modelling 187—212 269 271—273 338—350
Term structures, terminal swap-rate models 269 271—273
Terminal swap-rate models 263—275 280—282 349 see
Terminal swap-rate models, arbitrage-free properties 269—273 303
Terminal swap-rate models, concept 265—269
Terminal swap-rate models, discount factors 266—269 272 287—302 349
Terminal swap-rate models, examples 266—269
Terminal swap-rate models, implied interest rate pricing models 287—302
Terminal swap-rate models, multi-currency models 303—313
Terminal swap-rate models, term structures 269 271—273
Terminal swap-rate models, types 266—269
Terminal swap-rate models, zero coupon swaptions 273—275
Terminal times 163—164 263—275
Terminology 227—259
Time inversion, Brownian motion 23—25
Total variation concept 49—51
Toy, W. 323
Trading strategies see also replication
Trading strategies, admissible trading strategies 16—17 141—147 158—173 184—187
Trading strategies, capital gains concept 144—145 161
Trading strategies, concept 16—17 142—146
Trading strategies, infinite horizons 180—181 183
Trading strategies, information availability 144 152—153 216
Trading strategies, self-financing 16—17 142 144—145 149—151 158—173
Transformations, Brownian motion 23—26
Two-period economy, option pricing 15—17
Two-period economy, paths 16
Two-period economy, possible states 16
Underlying 19 see
Uniformly integrable martingales, concept 31 36—39 70 180
Uniqueness, Brownian motion 20
Uniqueness, completeness 9—12 152 169 173
Uniqueness, pathwise uniqueness 120—121 127 130—134 341—346 349—350
Uniqueness, pricing kernel 9—12
Uniqueness, SDEs 120—134 143 152 169 305 341—346
Uniqueness, stochastic integration 76—77
Units, concept 15 153—158
Units, invariance 154—155 166—169 173
Valuation see also option pricing; prices
Valuation, Bermudan swaptions 317 329—335 351—371
Valuation, caps 238—242
Valuation, convexity corrections 277—286
Valuation, deposits 233—234
Valuation, digital caplets 244 360
Valuation, digital floorlets 244
Valuation, digital swaptions 245
Valuation, discount factors 233—236 266—269
Valuation, floors 238—242
Valuation, FRAs 234—235 237—238
Valuation, limit caps 221—223 343
Valuation, standard market derivatives 237—245
Valuation, swaps 235—236 237—238 293—299 329—335 346—347
Valuation, swaptions 242—245 265—266 273—275 293—299 317 346—347 354—358 370—371
Vanilla swaptions, concept 242—243 260 265—266 273 293 298 356—357
Vanilla swaptions, volatilities 274—275
Vanilla swaptions, zero coupon swaptions 273—275
Vanillas 223 259 264—266 283—285 293 298 343
Varadhan, S.R.S. 125
Variation see also finite variation; quadratic variation
Variation, integration 49—58
Variation, total variation 49—51
Vasicek — Hull — White short-rate model 198 316 319—335 361 370—371
Vasicek — Hull — White short-rate model, benefits 321 351
Vasicek — Hull — White short-rate model, Bermudan swaptions 329—335 353 361
Vasicek — Hull — White short-rate model, concept 320—322 353 366
Vasicek — Hull — White short-rate model, drawbacks 321—322 337
Vasicek — Hull — White short-rate model, error analysis 330—332 334—335
Vasicek — Hull — White short-rate model, mean reversion 367—371
Vasicek — Hull — White short-rate model, parameter fitting 325—329
Vasicek — Hull — White short-rate model, tractability properties 321 351
Volatilities, forward volatilities 368
Volatilities, implied volatilities 368—371
Volatilities, mean reversion 368—371
Volatilities, smiles 304 307—308
Volatilities, swaptions 274—275 283—284 288 296—299 304 357 368—371
Wald 32
Watanabe, S. 74 76 88 120 124
Weak SDE solution 116 119—134 139 152 169
White, A. 321 see
Wiener 19 21 123
Williams, D. 38 70 78 122—125
Williams, R.J. 176
Willmot, P. 147
Yamada, T. 120 124
Yor, M. 36 42 57 67 92 110 113 116 122 254
Z pricing kernel 6—15 173—176 192
Zero coupon bonds (ZCBs) 187 234 240 see
Zero coupon bonds (ZCBs), cash flows 232—233
Zero coupon bonds (ZCBs), concept 232—234
Zero coupon swaptions 273—275
Zhao, X. 338
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