Research Catalog

Title

Options, futures & other derivatives / John C. Hull.

Author

Hull, John, 1946-

Publication

Upper Saddle River, NJ : Prentice Hall, [2000], ©2000.

Items in the Library & Off-site

Holdings

Details

Description

xix, 698 pages : illustrations; 24 cm +

Summary

This text examines how academia and real-world practice have come together with common respect and focus for theory and practice. It provides a unifying approach in the calculation of all derivatives - not just futures.

Alternative Title

Options, futures, and other derivatives

Subject

• Futures
• Stock options
• Derivative securities
• Marchés à terme
• Options d'achat d'actions
• Instruments dérivés (Finances)

Bibliography (note)

• Includes bibliographical references and index.

System Details (note)

• System requirements for disk: Excel, Version 7.0.

Contents

Forward Contracts -- Futures Contracts -- Options -- Other Derivatives -- Types of Traders -- Those Big Losses -- Futures Markets and the Use of Futures for Hedging -- Trading Futures Contracts -- Specification of the Futures Contract -- Operation of Margins -- Newspaper Quotes -- Convergence of Futures Price to Spot Price -- Settlement -- Regulation -- Hedging Using Futures -- Optimal Hedge Ratio -- Rolling the Hedge Forward -- Accounting and Tax -- Forward and Futures Prices -- Some Preliminaries -- The Forward Price for an Investment Asset -- The Effect of Known Income -- The Effect of a Known Dividend Yield -- Value of a Forward Contract -- Forward Prices versus Futures Prices -- Stock Index Futures -- Foreign Currencies -- Futures on Commodities -- The Cost of Carry -- Delivery Options -- Futures Prices and the Expected Future Spot Price -- Assets Providing Dividend Yields -- Proof That Forward and Futures Prices Are Equal When Interest Rates Are Constant -- Interest Rates and Duration -- Types of Rates -- Zero Rates -- Bond Pricing -- Determining Zero Rates -- Forward Rates -- Forward-Rate Agreements -- Theories of the Term Structure -- Day Count Conventions -- Quotations -- Interest Rate Futures -- Treasury Bond Futures -- Eurodollar Futures -- Duration -- Duration-Based Hedging Strategies -- Limitations of Duration -- Swaps -- Mechanics of Interest Rate Swaps -- The Comparative Advantage Argument -- Valuation of Interest Rate Swaps -- Currency Swaps -- Valuation of Currency Swaps -- Other Swaps -- Credit Risk -- Construction of Zero-Coupon LIBOR Curve -- Options Markets -- Underlying Assets -- Specification of Stock Options -- Newspaper Quotes -- Trading -- Commissions -- Margins -- The Options Clearing Corporation -- Regulation -- Taxation -- Warrants, Executive Stock Options, and Convertibles -- Properties of Stock Option Prices -- Factors Affecting Option Prices -- Assumptions and Notation -- Upper and Lower Bounds for Option Prices -- Put--Call Parity -- Early Exercise: Calls on a Non-Dividend-Paying Stock -- Early Exercise: Puts on a Non-Dividend-Paying Stock -- Relationship Between American Put and Call Prices -- The Effect of Dividends -- Empirical Research -- Trading Strategies Involving Options -- Strategies Involving a Single Option and a Stock -- Spreads -- Combinations -- Other Payoffs -- Introduction to Binomial Trees -- A One-Step Binomial Model -- Risk-Neutral Valuation -- Two-Step Binomial Trees -- A Put Option Example -- American Options -- Delta -- Matching Volatility with u and d -- Binomial Trees in Practice -- Model of the Behavior of Stock Prices -- The Markov Property -- Continuous Time Stochastic Processes -- The Process for Stock Prices -- Review of the Model -- The Parameters -- Ito's Lemma -- Derivation of Ito's Lemma -- The Black--Scholes Model -- Lognormal Property of Stock Prices -- The Distribution of the Rate of Return -- Volatility -- Concepts Underlying the Black--Scholes--Merton Differential Equation -- Derivation of the Black--Scholes--Merton Differential Equation -- Risk-Neutral Valuation -- Black--Scholes Pricing Formulas -- Cumulative Normal Distribution Function -- Warrants Issued by a Company on Its Own Stock -- Implied Volatilities -- The Causes of Volatility -- Dividends -- Proof of Black--Scholes--Merton Formula -- Exact Procedure for Calculating Values of American Calls on Dividend-Paying Stocks -- Calculation of Cumulative Probability in Bivariate Normal Distribution -- Options on Stock Indices, Currencies, and Futures -- Results for a Stock Paying a Continuous Dividend Yield -- Option Pricing Formulas -- Options on Stock Indices -- Currency Options -- Futures Options -- Valuation of Futures Options Using Binomial Trees -- A Futures Price as a Stock Paying a Continuous Dividend Yield -- Black's Model for Valuing Futures Options -- Comparison of Futures Option and Spot Option Prices -- Derivation of Differential Equation Satisfied by a Derivative Dependent on a Stock Providing a Continuous Dividend Yield -- Derivation of Differential Equation Satisfied by a Derivative Dependent on a Futures Price -- The Greek Letters -- Naked and Covered Positions -- A Stop-Loss Strategy -- Delta Hedging -- Theta -- Gamma -- Relationship among Delta, Theta, and Gamma -- Vega -- Rho -- Hedging in Practice -- Scenario Analysis -- Portfolio Insurance -- Stock Market Volatility -- Taylor Series Expansions and Hedge Parameters -- Value at Risk -- Daily Volatilities -- Calculation of VaR in Simple Situations -- A Linear Model -- How Interest Rates Are Handled -- When the Linear Model Can Be Used -- A Quadratic Model -- Monte Carlo Simulation -- Historical Simulation -- Stress Testing and Back-Testing -- Principal Components Analysis -- Use of the Cornish-Fisher Expansion to Estimate VaR -- Estimating Volatilities and Correlations -- Estimating Volatility -- The Exponentially Weighted Moving Average Model -- The GARCH (1,1) Model -- Choosing Between the Models -- Maximum Likelihood Methods -- Using GARCH (1,1) to Forecast Future Volatility -- Correlations -- Numerical Procedures -- Binomial Trees -- Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts -- Binomial Model for a Dividend-Paying Stock -- Extensions of the Basic Tree Approach -- Alternative Procedures for Constructing Trees -- Monte Carlo Simulation -- Variance Reduction Procedures -- Finite Difference Methods -- Analytic Approximation to American Option Prices -- Analytic Approximation to American Option Prices -- Volatility Smiles and Alternatives to Black-Scholes -- Preliminaries -- Foreign Currency Options -- Equity Options -- The Volatility Term Structure -- Volatility Matrices -- Relaxing the Assumptions in Black-Scholes -- Alternative Models for Stock Options -- Pricing Models Involving Jumps -- Stochastic Volatility Models -- Empirical Research -- Pricing Formulas for Alternative Models -- Exotic Options -- Types of Exotic Options -- Path-Dependent Derivatives -- Lookback Options -- Barrier Options -- Options on Two Correlated Assets -- Implied Trees -- Hedging Issues -- Static Options Replication -- Calculation of the First Two Moments of Arithmetic Averages and Baskets -- Extensions of the Theoretical Framework for Pricing Derivatives: Martingales and Measures -- The Market Price of Risk -- Derivitives Dependent on Several State Variables -- Derivatives Dependent on Commodity Prices -- Martingales and Measures -- Alternative Choices for the Numeraire -- Extension to Multiple Independent Factors -- Applications -- Change of Numeraire -- Quantos -- Siegel's Paradox -- Generalization of Ito's Lemma -- Derivation of the General Differential Equation Satisfied by Derivatives -- Interest Rate Derivatives: The Standard Market Models -- Black's Model -- Bond Options -- Interest Rate Caps -- European Swap Options -- Generalizations -- Convexity Adjustments -- Timing Adjustments -- When Is an Adjustment Necessary? -- Accrual Swaps -- Spread Options -- Hedging Interest Rate Derivatives -- Proof of the Convexity Adjustment Formula -- Interest Rate Derivatives: Models of the Short Rate -- Equilibrium Models -- One-Factor Equilibrium Model -- The Rendleman and Bartter Model -- The Vasicek Model -- The Cox, Ingersoll, and Ross Model -- Two-Factor Equilibrium Models -- No-Arbitrage Models -- The Ho and Lee Model -- The Hull and White Model -- Options on Coupon-Bearing Bonds -- Interest Rate Trees -- A General Tree-Building Procedure -- Nonstationary Models -- Calibration -- Hedging Using a One-Factor Model -- Forward Rates and Futures Rates -- Interest Rate Derivatives: More Advanced Models -- Two-Factor Models of the Short Rate -- The Heath, Jarrow, and Morton Approach -- The LIBOR Market Model -- Mortgage-Backed Securities -- The A(t, T), [sigma][rho] and [thetas](t) Functions in the Two-Factor Hull-White Model -- Credit Risk -- The Probability of Default and Expected Losses -- Adjusting the Prices of Derivatives to Reflect Counterparty Default Risk -- Credit Value at Risk -- Credit Derivatives -- Valuation of Convertible Bonds -- Manipulation of the Matrices of Credit Rating Changes -- DerivaGem Software -- Major Exchanges Trading Futures and Options -- Table for N(x) when x [less than or equal] 0 -- Table for N(x) when x [greater than or equal] 0.

ISBN

• 0130224448
• 9780130224446
• 0130158224
• 9780130158222

LCCN

99026609

OCLC

• ocm41606219
• 41606219
• SCSB-5794927

Owning Institutions

Columbia University Libraries