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首页 期权、期货及其他衍生产品-赫尔-第七版-英文版

期权、期货及其他衍生产品-赫尔-第七版-英文版.pdf

期权、期货及其他衍生产品-赫尔-第七版-英文版

xiu_zhijun
2011-04-17 0人阅读 举报 0 0 暂无简介

简介:本文档为《期权、期货及其他衍生产品-赫尔-第七版-英文版pdf》,可适用于高等教育领域

Administrator铅笔SeventhEditionOPTIONS,FUTURES,ANDOTHERDERIVATIVESCONTENTSINBRIEFContentsBUSINESSSNAPSHOTSTECHNICALNOTESPrefaceWhat'sNewSoftwareSlidesSolutionsManualInstructorsManualTechnicalNotesAcknowledgmentsIntroductionExchangeTradedMarketsElectronicMarketsOverTheCounterMarketsMarketSizeForwardContractsPayoffsfromForwardContractsForwardPricesandSpotPricesFuturesContractsOptionsTypesofTradersHedgersHedgingusingForwardContractsHedgingusingOptionsAComparisonSpeculatorsSpeculationusingFuturesSpeculationusingOptionsAComparisonArbitrageursDangersSummaryFurtherReadingQuestionsandproblemsAssignmentQuestionsMechanicsofFuturesMarketsBackgroundClosingOutPositionsSpecificationofaFuturesContractTheAssetTheContractSizeDeliveryArrangementsDeliveryMonthsPriceQuotesPriceLimitsandPositionLimitsConvergenceofFuturesPricetoSpotPriceDailySettlementandMarginsTheOperationofMarginsFurtherDetailsTheClearinghouseandClearingMarginsCreditRiskCollateralizationinOTCMarketsNewspaperQuotesPricesSettlementPriceOpenInterestPatternsofFuturesPricesDeliveryCashSettlementTypesofTradersandTypesofOrdersOrdersRegulationTradingIrregularitiesAccountandTaxAccountingTaxForwardsvsFuturesContractsProfitsfromForwardandFuturesContractsForeignExchangeQuotesSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsHedgingStrategiesUsingFuturesBasicPrinciplesShortHedgesLongHedgesArgumentsforandAgainstHedgingHedgingandShareholdersHedgingandCompetitorsHedgingCanLeadtoaWorseOutcomeBasisRiskTheBasisChoiceofContractCrossHedgingStockIndexFuturesStockIndicesHedginganEquityPortfolioReasonsforHedginganEquityPortfolioChangingtheBetaofaPortfolioExposuretothePriceofanIndividualStockRollingTheHedgeForwardSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsAppendixProofofTheMinimumVarianceHedgeRatioFormulaInterestRatesTypesofRatesTreasuryRatesLIBORRepoRatesMeasuringInterestRatesContinuousCompoundingZeroRatesBondPricingBondYieldParYieldDeterminingTreasuryZeroRatesForwardRatesForwardRateAgreementsValuationDurationModifiedDurationBondPortfoliosConvexityTheoriesofthetermStructureofInterestRatesTheManagementofNetInterestIncomeSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsDeterminationofForwardandFuturesPricesInvestmentAssetsvsConsumptionAssetsShortSellingAssumptionsandNotationForwardPriceforanInvestmentAssetAGeneralizationWhatIfShortSalesarenotPossibleKnownIncomeAGeneralizationKnownYieldValuingForwardContractsAreForwardPricesandFuturesPricesEqualFuturesPricesofStockIndicesIndexArbitrageForwardandFuturesContractsonCurrenciesAForeignCurrencyasanAssetProvidingaKnownYieldFuturesonCommoditiesIncomeandStorageCostsComsumptionCommoditiesConvenienceYieldsTheCostofCarryDeliveryOptionsFuturesPricesandExpectedFutureSpotPricesKeynesandHicksRiskandReturnTheRiskinaFuturesPositionNormalBackwardationandContangoSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsAppendixProofThatForwardandFuturesPricesareEqualWhenInterestRatesareConstantInterestRateFuturesDayCountandQuotationConventionsDayCountsPriceQuotationsUsTreasuryBondsTreasuryBondFuturesQuotesConversionFactorsCheapesttoDeliverBondDeterminingtheFuturesPriceEurodollarFuturesForwardvsFuturesInterestRatesUsingEurodollarFuturestoExtendtheLIBORZeroCurveDurationBasedhedgingStrategiesusingFuturesHedgingPortfoliosofAssetandLiabilitiesSummaryFutherReadingQuestionsandProblemsAssignmentQuestionsSwapsMechanicsofInterestRateSwapsLIBORIllustrationUsingtheSwaptoTransformaLiabilityUsingtheSwaptoTransformanAssetRoleofFinancialIntermediaryMarketMakersDayCountIssuesConfirmationsTheComparativeAdvantageArgumentCriticismoftheArgumentTheNatureofSwapRatesDeterminingLIBORSwapZeroRatesValuationofInterestRateSwapsValuationinTermsofBondPrciesValuationinTermsofFRAsCurrencySwapsIllustrationUseofaCurrencySwaptoTransformLiabilitiesandAssetsComparativeAdvantageValuationofCurrencySwapsValuationinTermsofBondPricesValuationasPortfolioofForwardContractsCreditRiskOtherTypesofSwapsVariationsontheStandardInterestRateSwapOtherCurrencySwapsEquitySwapsOptionsCommoditySwaps,VolatilitySwaps,andOtherExoticInstrumentsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsMechanicsofOptionsMarketsTypesofOptionsCallOptionsPutOptionsEarlyExerciseOptionPositionsUnderlyingAssetsStockOptionsForeignCurrencyOptionsIndexOptionsFuturesOptionsSpecificationofStockOptionsExpirationDatesTerminologyFLEXOptionsPositionLimitsandExerciseLimitsTradingMarketMakersCommissionsMarginsWritingNakedOptionsOtherRulesTheOptionsClearingCorporationExercisinganOptionRegulationTaxationWashSaleRuleConstructiveSalesWarrants,EmployeeStockOptions,andConvertiblesOverTheCounterOptionsMarketsSummaryFurtherReadingQuestionsandProblemsAssignmentsQuestionsPropertiesofStockOptionsFactorsAffectingOptionPricesStockPriceandStrikePriceTimetoExpirationVolatilityRiskFreeInterestRateAmountofFutureDividendsAssumptionsandNotationUpperandLowerBoundsforOptionPricesUpperBoundsLowerBoundforCallsonNonDividendPayingStocksLowerBoundforEuropeanPutsonNonDividendPayingStocksPutCallParityAmericanOptionsEarlyExercise:CallsonaNonDividendPayingStockEarlyExercise:PutsonaNonDividendPayingStockEffectofDividendsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsTradingStrategiesInvolvingOptionsStrategiesInvolvingaSingleOptionandaStockSpreadsBullSpreadsBearSpreadsBoxSpreadsButterflySpreadsCalendarSpreadsDiagonalSpreadsCombinationsStraddleStripsandStrapsStranglesOtherPayoffsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsBinomialTreesAonestepBinomialModelandANoArbitrageArgumentAGeneralizationIrrelevanceoftheStock'sExpectedReturnRiskNeutralValuationTheonestepBinomialExampleRevisitedRealWorldvsRiskNeutralWorldTwoStepBinomialTreesAGeneralizationAPutExampleAmericanOptionsDeltaMatachingVolatilityWithuanddIncreasingtheNumberofStepsUsingDerivaGemOptionsonOtherAssetsOptionsonStocksPayingaContinuousDividendYieldOptionsonStockIndicesOptionsonCurrenciesOptionsonFuturesSummaryFutherReadingQuestionsandProblemsAssignmentQuestionsWienerProcessesandIto'sLemmaTheMarkovPropertyContinuousTimeStochasticProcessesWienerProcessesGeneralizedWienerProcessIto^ProcessTheProcessforaStockPriceDiscreteTimeModelMonteCarloSimulationTheParametersIto^'sLemmaApplicationtoForwardContractsTheLognormalPropertySummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsAppendixDerivationofIto^'sLemmaTheBlackScholesMertonModelLognormalPropertyofStockPricesTheDistributionofTheRateofReturnTheExpectedReturnVolatilityEstimatingVolatilityfromHistoricalDataTradingDaysvsCalendarDaysTheIdeaUnderlyingTheBlackScholesMertonDifferentialEquationAssumptionsDerivationoftheBlackScholesMertonDifferentialEquationThePricesofTradeableDerivativesRiskNeutralValuationApplicationtoForwardContractsonaStockBlackScholesPricingFormulasPropertiesoftheBlackScholesFormulasCumulativeNormalDistributionFunctionWarrantsandEmployeeStockOptionsImpliedVolatilitiesTheVIXIndexDividendsEuropeanOptionsAmericanOptionsBlack'sApproximationSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsAppendixProofoftheBlackScholesMertonFormulaDerivativesMarketsinDevelopingCountriesChina'sMarketsIndia'sMarketsOtherDevelopingCountriesSummaryFurtherReadingOptionsonStockIndicesandCurrenciesOptionsonStockIndicesPortfolioInsuranceCurrencyOptionsOptionsonStocksPayingKnownDividendYieldsValuationofEuropeanStockIndexOptionsForwardPricesImpliedDividendYieldsValuationofEuropeanCurrencyOptionsUsingForwardExchangeRatesAmericanOptionsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsFuturesOptionsNatureofFuturesOptionsExpirationMonthsOptionsonInterestRateFuturesReasonsforThePopularityofFuturesOptionsEuropeanSpotandFuturesOptionsPutCallParityBoundsforFuturesOptionsValuationofFuturesOptionsUsingBinomialTreesDriftofaFuturesPriceinaRiskNeutralWorldBlack'sModelforValuingFuturesOptionsAmericanFuturesOptionsvsAmericanSpotOptionsFuturesStyleOptionsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsTheGreekLettersIllustrationNakedandCoveredPositionsAStopLossStrategyDeltaHedgingDeltaofEuropeanStockOptionsDynamicAspectsofDeltaHedgingWheretheCostComesFromDeltaofaPortfolioTransactionsCostsThetaGammaMakingaPortfolioGmmaNeutralCalculationofGammaRelationshipbetweenDelta,Theta,andGammaVegaRhoTheRealitiesofHedgingScenarioAnalysisExtensionofFormulasPortfolioInsuranceStockMarketVolatilitySummaryFutherReadingQuestionsandProblemsAssignmentQuestionsAppendixTaylorSeriesExpansionsandHedgeParametersVolatilitySmilesWhytheVolatilitySmilesisthesameforCallsandPutsForeignCurrencyOptionsEmpiricalResultsReasonsfortheSmileinForeignCurrencyOptionsEquityOptionsTheReasonfortheSmileinEquityOptionsAlternativeWaysofCharacterizingtheVolatilitySmileTheVolatilityTermStructureandVolatilitySurfacesTheRoleoftheModelGreekLettersWhenaSingleLargeJumpisAnticipatedSummaryFutherReadingQuestionsandProblemsAssignmentQuestionsAppendixDeterminingImpliedRiskNeutralDistributionsfromVolatilitySmilesBasicNumericalProceduresBinomialTreesRiskNeutralValuationDeterminationofp,u,anddTreeofAssetPricesWorkingBackwardthroughtheTreeExpressingtheApproachAlgebraicallyEstimatingDeltaandOtherGreekLettersUsingtheBinomialTreeforOptionsonIndices,Currencies,andFuturesContractsBinomialModelforaDividendPayingStockKnownDividendYieldKnownDollarDividendControlVariateTechniqueAlternativeProceduresforConstructingTreesTrinomialTreesTimeDependentParametersMonteCarloSimulationDerivativesDependentonMorethanOneMarketVariableGeneratingtheRandomSamplesfromNormalDistributionsNumberofTrialsApplicationsCalculatingtheGreekLettersSamplingthroughaTreeVarianceReductionProceduresAntitheticVariableTechniqueControlVariateTechniqueStratifiedSamplingMomentMatchingUsingQuasiRandomSequencesFiniteDifferenceMethodsImplicitFiniteDifferenceMethodExplicitFiniteDifferenceMethodChangeofVariableRelationtoTrinomialTreeApproachesOtherFiniteDifferenceMethodsApplicationofFiniteDifferenceMethodsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsValueatRiskTheVaRMeasureTheTimeHorizonHistoricalSimulationModelBuildingApproachDailyVolatilitiesSingleAssetCaseTwoAssetCaseLinearModelHandlingInterestRatesApplicationsoftheLinearModelTheLinearModelandOptionsQuadraticModelMonteCarloSimulationComparisonofApproachesStressTestingandBackTestingPrincipalComponentsAnalysisUsingPrincipalComponentsAnalysistoCalculateVaRSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsAppendixCashFlowMappingTheMappingProcedureEstimatingVolatilitiesandCorrelationsEstimatingVolatilityWeightingSchemesTheExponentiallyWeightedMovingAverageModelTheGarch(,)ModelTheWeightsMeanReversionChoosingBetweentheModelsMaximumLikelihoodMethodsEstimatingaConstantVarianceEstimatingGARCH(,)ParametersHowGoodIstheModelUsingGARCH(,)toForecastFutureVolatilityVolatilityTermStructuresImpactofVolatilityChangesCorrelationsConsistencyConditionforCovariancesSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsCreditRiskCreditRatingsHistoricalDefaultProbabilitiesDefaultIntensitiesRecoveryRatesEstimatingDefaultProbabilitiesfromBondPricesAMoreExactCalculationTheRiskFreeRateAssetSwapsComparisonofDefaultProbabilityEstimatesRealWorldvsRiskNeutralProbabilitiesUsingEquityPricestoEstimateDefaultProbabilitiesCreditRiskinDerivativesTransactionsAdjustingDerivatives'ValuationsforCounterpartyDefaultRiskCreditRiskMitigationNettingCollateralizationDowngradeTriggersDefaultCorrelationTheGaussianCopulaModelforTimetoDefaultAFactorbasedCorrelationStructureBinomialCorrelationMeasureCreditVaRCreditMetricsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsCreditDerivativesCreditDefaultSwapsCreditDefaultSwapsandBondYieldsTheCheapesttoDeliverBondValuationofCreditDefaultSwapsEstimatingDefaultProbabilitiesBinaryCreditDefaultSwapsHowImportantistheRecoveryRateTheFutureoftheCDSMarketCreditIndicesCDSForwardsandOptionsBasketCreditDefaultSwapsTotalReturnSwapsAssetBackedSecuritiesCollateralizedDebtObligationsSyntheticCDOsSingleTrancheTradingRoleofCorrelationinaBasketCDSandCDOValuationofASyntheticCDOUsingtheGaussianCopulaModelofTimetoDefaultValuationofkthtoDefaultCDSImpliedCorrelationValuingNonstandardTranchesAlternativestoTheStandardMarketModelHeterogeneousModelOtherCopulasMultipleFactorsRandomFactorLoadingsTheImpliedCopulaModelDynamicModelsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsExoticOptionsPackagesNonstandardAmericanOptionsForwardStartOptionsCompoundOptionsChooserOptionsBarrierOptionsBinaryOptionsLookbackOptionsShoutOptionsAsianOptionsOptionstoExchangeoneAssetforAnotherOptionsInvolvingServeralAssetsVolatilityandVarianceSwapsValuationofVarianceSwapValuationofaVolatilitySwapTheVIXIndexStaticOptionsReplicationSummaryFutherReadingQuestionsandProblemsAssignmentQuestionsAppendixcalculationofMomentsforValuationofBasketOptionsandAsianOptionsAsianOptionsWeather,Energy,andInsuranceDerivativesReviewofPricingIssuesWeatherDerivativesEnergyDerivativesCrudeOilNaturalGasElectricityModelingEnergyPricesHowanEnergyProducerCanHedgeRisksInsuranceDerivativesSummaryFutherReadingQuestionsandProblemsAssignmentQuestionMoreonModelsandNumericalProceduresAlternativestoBlackScholesTheConstantElasticityofVarianceModelMethon'sMixedJumpDiffusionModelTheVarianceGammaModelStochasticVolatilityModelsTheIvfModelConvertibleBondsPathDependentDerivativesIllustrationUsingLookbackOptionsGeneralizationBarrierOptionsTheAdaptiveMeshModelOptionsonTwoCorrelatedAssetsTransformingVariablesUsingaNonrectangularTreeAdjustingtheProbabilitiesMonteCarloSimulationandAmericanOptionsTheLeastSquaresApproachTheExerciseBoundaryParameterizationApproachUpperBoundsSummaryFurtherReadingQuestionsandProblemsAssignmentsQuestionsMartingalesandMeasuresTheMarketPriceofRiskAlternativeWorldsServeralStateVariablesMartingalesTheEquivalentMartingaleMeasureResultAlternativeChoicesfortheNumeraireMoneyMarketAccountastheNumeraireZeroCouponBondPriceastheNumeraireInterestRateswhenaBondPriceistheNumeraireAnnuityFactorastheNumeraireExtensiontoSeveralFactorsBlack'sModelRevisitedOptiontoExchangeOneAssetforAnotherChangeofNumeraireGeneralizationofTraditionalValuationMethodsSummaryFurtherReadingQuestionsandProblemsAssignmentQuestionsAppendixHandlingMultipleSourcesofUncertaintyInterestRateDerivatives:TheStandardMa

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期权、期货及其他衍生产品-赫尔-第七版-英文版

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