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E-grāmata: Options, Futures, and Other Derivatives uPDF eBook

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  • Formāts: PDF+DRM
  • Izdošanas datums: 09-Nov-2015
  • Izdevniecība: Pearson
  • Valoda: eng
  • ISBN-13: 9781292123301
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  • Formāts: PDF+DRM
  • Izdošanas datums: 09-Nov-2015
  • Izdevniecība: Pearson
  • Valoda: eng
  • ISBN-13: 9781292123301
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For graduate courses in business, economics, financial mathematics, and financial engineering; for advanced undergraduate courses with students who have good quantitative skills; and for practitioners involved in derivatives markets

Practitioners refer to it as “the bible;” in the university and college marketplace it’s the best seller; and now it’s been revised and updated to cover the industry’s hottest topics and the most up-to-date material on new regulations.Options, Futures, and Other Derivatives by John C. Hull bridges the gap between theory and practice by providing a current look at the industry, a careful balance of mathematical sophistication, and an outstanding ancillary package that makes it accessible to a wide audience. Through its coverage of important topics such as the securitization and the credit crisis, the overnight indexed swap, the Black-Scholes-Merton formulas, and the way commodity prices are modeled and commodity derivatives valued, it helps students and practitioners alike keep up with the fast pace of change in today’s derivatives markets.

This program provides a better teaching and learning experience—for you and your students. Here’s how:

  • NEW! Available with a new version of DerivaGem software—including two Excel applications, the Options Calculator and the Applications Builder
  • Bridges the gap between theory and practice—a best-selling college text, and considered “the bible” by practitioners, it provides the latest information in the industry
  • Provides the right balance of mathematical sophistication—careful attention to mathematics and notation
  • Offers outstanding ancillaries toround out the high quality of the teaching and learning package
List of Business Snapshots
xvii
List of Technical Notes
xviii
Preface xix
Chapter 1 Introduction
1(23)
1.1 Exchange-traded markets
2(1)
1.2 Over-the-counter markets
3(3)
1.3 Forward contracts
6(2)
1.4 Futures contracts
8(1)
1.5 Options
8(3)
1.6 Types of traders
11(1)
1.7 Hedgers
11(3)
1.8 Speculators
14(2)
1.9 Arbitrageurs
16(1)
1.10 Dangers
17(7)
Summary
18(1)
Further reading
19(1)
Practice questions
19(2)
Further questions
21(3)
Chapter 2 Mechanics of futures markets
24(25)
2.1 Background
24(2)
2.2 Specification of a futures contract
26(2)
2.3 Convergence of futures price to spot price
28(1)
2.4 The operation of margin accounts
29(3)
2.5 OTC markets
32(3)
2.6 Market quotes
35(3)
2.7 Delivery
38(1)
2.8 Types of traders and types of orders
39(1)
2.9 Regulation
40(1)
2.10 Accounting and tax
41(2)
2.11 Forward vs. futures contracts
43(6)
Summary
44(1)
Further reading
45(1)
Practice questions
45(2)
Further questions
47(2)
Chapter 3 Hedging strategies using futures
49(28)
3.1 Basic principles
49(2)
3.2 Arguments for and against hedging
51(3)
3.3 Basis risk
54(4)
3.4 Cross hedging
58(4)
3.5 Stock index futures
62(6)
3.6 Stack and roll
68(9)
Summary
70(1)
Further reading
70(1)
Practice questions
71(2)
Further questions
73(2)
Appendix: Capital asset pricing model
75(2)
Chapter 4 Interest rates
77(27)
4.1 Types of rates
77(2)
4.2 Measuring interest rates
79(3)
4.3 Zero rates
82(1)
4.4 Bond pricing
82(2)
4.5 Determining Treasury zero rates
84(2)
4.6 Forward rates
86(2)
4.7 Forward rate agreements
88(3)
4.8 Duration
91(4)
4.9 Convexity
95(1)
4.10 Theories of the term structure of interest rates
96(8)
Summary
98(1)
Further reading
99(1)
Practice questions
99(3)
Further questions
102(2)
Chapter 5 Determination of forward and futures prices
104(28)
5.1 Investment assets vs. consumption assets
104(1)
5.2 Short selling
105(1)
5.3 Assumptions and notation
106(1)
5.4 Forward price for an investment asset
107(3)
5.5 Known income
110(2)
5.6 Known yield
112(1)
5.7 Valuing forward contracts
112(2)
5.8 Are forward prices and futures prices equal?
114(1)
5.9 Futures prices of stock indices
115(2)
5.10 Forward and futures contracts on currencies
117(3)
5.11 Futures on commodities
120(3)
5.12 The cost of carry
123(1)
5.13 Delivery options
124(1)
5.14 Futures prices and expected future spot prices
124(8)
Summary
126(2)
Further reading
128(1)
Practice questions
128(2)
Further questions
130(2)
Chapter 6 Interest rate futures
132(20)
6.1 Day count and quotation conventions
132(3)
6.2 Treasury bond futures
135(5)
6.3 Eurodollar futures
140(5)
6.4 Duration-based hedging strategies using futures
145(2)
6.5 Hedging portfolios of assets and liabilities
147(5)
Summary
147(1)
Further reading
148(1)
Practice questions
148(2)
Further questions
150(2)
Chapter 7 Swaps
152(33)
7.1 Mechanics of interest rate swaps
153(5)
7.2 Day count issues
158(1)
7.3 Confirmations
159(1)
7.4 The comparative-advantage argument
159(4)
7.5 The nature of swap rates
163(1)
7.6 Determining the LIBOR/swap zero rates
164(1)
7.7 Valuation of interest rate swaps
164(4)
7.8 Term structure effects
168(1)
7.9 Fixed-for-fixed currency swaps
168(4)
7.10 Valuation of fixed-for-fixed currency swaps
172(3)
7.11 Other currency swaps
175(1)
7.12 Credit risk
176(2)
7.13 Other types of swaps
178(7)
Summary
180(1)
Further reading
181(1)
Practice questions
181(2)
Further questions
183(2)
Chapter 8 Securitization and the credit crisis of 2007
185(15)
8.1 Securitization
185(4)
8.2 The US housing market
189(4)
8.3 What went wrong?
193(2)
8.4 The aftermath
195(5)
Summary
196(1)
Further reading
197(1)
Practice questions
198(1)
Further questions
198(2)
Chapter 9 OIS discounting, credit issues, and funding costs
200(13)
9.1 The risk-free rate
200(2)
9.2 The OIS rate
202(3)
9.3 Valuing swaps and FRAs with OIS discounting
205(1)
9.4 OIS vs. LIBOR: Which is correct?
206(1)
9.5 Credit risk: CVA and DVA
207(2)
9.6 Funding costs
209(4)
Summary
210(1)
Further reading
211(1)
Practice questions
211(1)
Further questions
212(1)
Chapter 10 Mechanics of options markets
213(21)
10.1 Types of options
213(2)
10.2 Option positions
215(2)
10.3 Underlying assets
217(1)
10.4 Specification of stock options
218(5)
10.5 Trading
223(1)
10.6 Commissions
223(1)
10.7 Margin requirements
224(2)
10.8 The options clearing corporation
226(1)
10.9 Regulation
227(1)
10.10 Taxation
227(2)
10.11 Warrants, employee stock options, and convertibles
229(1)
10.12 Over-the-counter options markets
229(5)
Summary
230(1)
Further reading
231(1)
Practice questions
231(1)
Further questions
232(2)
Chapter 11 Properties of stock options
234(20)
11.1 Factors affecting option prices
234(4)
11.2 Assumptions and notation
238(1)
11.3 Upper and lower bounds for option prices
238(3)
11.4 Put call parity
241(4)
11.5 Calls on a non-dividend-paying stock
245(1)
11.6 Puts on a non-dividend-paying stock
246(3)
11.7 Effect of dividends
249(5)
Summary
250(1)
Further reading
251(1)
Practice questions
251(2)
Further questions
253(1)
Chapter 12 Trading strategies involving options
254(20)
12.1 Principal-protected notes
254(2)
12.2 Trading an option and the underlying asset
256(2)
12.3 Spreads
258(8)
12.4 Combinations
266(3)
12.5 Other payoffs
269(5)
Summary
270(1)
Further reading
271(1)
Practice questions
271(1)
Further questions
272(2)
Chapter 13 Binomial trees
274(28)
13.1 A one-step binomial model and a no-arbitrage argument
274(4)
13.2 Risk-neutral valuation
278(2)
13.3 Two-step binomial trees
280(3)
13.4 A put example
283(1)
13.5 American options
284(1)
13.6 Delta
285(1)
13.7 Matching volatility with u and d
286(2)
13.8 The binomial tree formulas
288(1)
13.9 Increasing the number of steps
288(1)
13.10 Using DerivaGem
289(1)
13.11 Options on other assets
290(12)
Summary
293(1)
Further reading
294(1)
Practice questions
295(1)
Further questions
296(2)
Appendix: Derivation of the Black--Scholes--Merton option-pricing formula from a binomial tree
298(4)
Chapter 14 Wiener processes and Ito's lemma
302(19)
14.1 The Markov property
302(1)
14.2 Continuous-time stochastic processes
303(5)
14.3 The process for a stock price
308(3)
14.4 The parameters
311(1)
14.5 Correlated processes
312(1)
14.6 Ito's lemma
313(1)
14.7 The lognormal property
314(7)
Summary
315(1)
Further reading
316(1)
Practice questions
316(1)
Further questions
317(2)
Appendix: Derivation of Ito's lemma
319(2)
Chapter 15 The Black--Scholes--Merton model
321(33)
15.1 Lognormal property of stock prices
322(1)
15.2 The distribution of the rate of return
323(1)
15.3 The expected return
324(1)
15.4 Volatility
325(4)
15.5 The idea underlying the Black--Scholes--Merton differential equation
329(2)
15.6 Derivation of the Black--Scholes--Merton differential equation
331(3)
15.7 Risk-neutral valuation
334(1)
15.8 Black--Scholes--Merton pricing formulas
335(3)
15.9 Cumulative normal distribution function
338(1)
15.10 Warrants and employee stock options
339(2)
15.11 Implied volatilities
341(2)
15.12 Dividends
343(11)
Summary
346(1)
Further reading
347(1)
Practice questions
348(2)
Further questions
350(2)
Appendix: Proof of Black--Scholes--Merton formula using risk-neutral valuation
352(2)
Chapter 16 Employee stock options
354(13)
16.1 Contractual arrangements
354(2)
16.2 Do options align the interests of shareholders and managers?
356(1)
16.3 Accounting issues
357(1)
16.4 Valuation
358(5)
16.5 Backdating scandals
363(4)
Summary
364(1)
Further reading
365(1)
Practice questions
365(1)
Further questions
366(1)
Chapter 17 Options on stock indices and currencies
367(16)
17.1 Options on stock indices
367(2)
17.2 Currency options
369(3)
17.3 Options on stocks paying known dividend yields
372(2)
17.4 Valuation of European stock index options
374(3)
17.5 Valuation of European currency options
377(1)
17.6 American options
378(5)
Summary
379(1)
Further reading
379(1)
Practice questions
380(2)
Further questions
382(1)
Chapter 18 Futures options
383(16)
18.1 Nature of futures options
383(3)
18.2 Reasons for the popularity of futures options
386(1)
18.3 European spot and futures options
386(1)
18.4 Put--call parity
387(1)
18.5 Bounds for futures options
388(1)
18.6 Valuation of futures options using binomial trees
389(2)
18.7 Drift of a futures prices in a risk-neutral world
391(1)
18.8 Black's model for valuing futures options
392(2)
18.9 American futures options vs. American spot options
394(1)
18.10 Futures-style options
394(5)
Summary
395(1)
Further reading
396(1)
Practice questions
396(1)
Further questions
397(2)
Chapter 19 The Greek letters
399(32)
19.1 Illustration
399(1)
19.2 Naked and covered positions
400(1)
19.3 A stop-loss strategy
400(2)
19.4 Delta hedging
402(7)
19.5 Theta
409(2)
19.6 Gamma
411(3)
19.7 Relationship between delta, theta, and gamma
414(1)
19.8 Vega
415(2)
19.9 Rho
417(1)
19.10 The realities of hedging
418(1)
19.11 Scenario analysis
419(1)
19.12 Extension of formulas
419(3)
19.13 Portfolio insurance
422(2)
19.14 Stock market volatility
424(7)
Summary
424(2)
Further reading
426(1)
Practice questions
426(2)
Further questions
428(2)
Appendix: Taylor series expansions and hedge parameters
430(1)
Chapter 20 Volatility smiles
431(19)
20.1 Why the volatility smile is the same for calls and puts
431(2)
20.2 Foreign currency options
433(3)
20.3 Equity options
436(1)
20.4 Alternative ways of characterizing the volatility smile
437(1)
20.5 The volatility term structure and volatility surfaces
438(1)
20.6 Greek letters
439(1)
20.7 The role of the model
440(1)
20.8 When a single large jump is anticipated
440(10)
Summary
442(1)
Further reading
443(1)
Practice questions
443(2)
Further questions
445(2)
Appendix: Determining implied risk-neutral distributions from volatility smiles
447(3)
Chapter 21 Basic numerical procedures
450(44)
21.1 Binomial trees
450(8)
21.2 Using the binomial tree for options on indices, currencies, and futures contracts
458(2)
21.3 Binomial model for a dividend-paying stock
460(5)
21.4 Alternative procedures for constructing trees
465(3)
21.5 Time-dependent parameters
468(1)
21.6 Monte Carlo simulation
469(6)
21.7 Variance reduction procedures
475(3)
21.8 Finite difference methods
478(16)
Summary
488(1)
Further reading
489(1)
Practice questions
490(2)
Further questions
492(2)
Chapter 22 Value at risk
494(27)
22.1 The VaR measure
494(3)
22.2 Historical simulation
497(4)
22.3 Model-building approach
501(3)
22.4 The linear model
504(5)
22.5 The quadratic model
509(2)
22.6 Monte Carlo simulation
511(1)
22.7 Comparison of approaches
512(1)
22.8 Stress testing and back testing
513(1)
22.9 Principal components analysis
513(8)
Summary
517(1)
Further reading
517(1)
Practice questions
518(1)
Further questions
519(2)
Chapter 23 Estimating volatilities and correlations
521(23)
23.1 Estimating volatility
521(2)
23.2 The exponentially weighted moving average model
523(2)
23.3 The GARCH (1, 1) model
525(1)
23.4 Choosing between the models
526(1)
23.5 Maximum likelihood methods
527(5)
23.6 Using GARCH (1, 1) to forecast future volatility
532(3)
23.7 Correlations
535(3)
23.8 Application of EWMA to four-index example
538(6)
Summary
540(1)
Further reading
540(1)
Practice questions
540(2)
Further questions
542(2)
Chapter 24 Credit risk
544(27)
24.1 Credit ratings
544(1)
24.2 Historical default probabilities
545(1)
24.3 Recovery rates
546(1)
24.4 Estimating default probabilities from bond yield spreads
547(3)
24.5 Comparison of default probability estimates
550(3)
24.6 Using equity prices to estimate default probabilities
553(2)
24.7 Credit risk in derivatives transactions
555(6)
24.8 Default correlation
561(3)
24.9 Credit VaR
564(7)
Summary
567(1)
Further reading
567(1)
Practice questions
568(1)
Further questions
569(2)
Chapter 25 Credit derivatives
571(27)
25.1 Credit default swaps
572(3)
25.2 Valuation of credit default swaps
575(4)
25.3 Credit indices
579(1)
25.4 The use of fixed coupons
580(1)
25.5 CDS forwards and options
581(1)
25.6 Basket credit default swaps
581(1)
25.7 Total return swaps
581(2)
25.8 Collateralized debt obligations
583(2)
25.9 Role of correlation in a basket CDS and CDO
585(1)
25.10 Valuation of a synthetic CDO
585(7)
25.11 Alternatives to the standard market model
592(6)
Summary
594(1)
Further reading
594(1)
Practice questions
595(1)
Further questions
596(2)
Chapter 26 Exotic options
598(26)
26.1 Packages
598(1)
26.2 Perpetual American call and put options
599(1)
26.3 Nonstandard American options
600(1)
26.4 Gap options
601(1)
26.5 Forward start options
602(1)
26.6 Cliquet options
602(1)
26.7 Compound options
602(1)
26.8 Chooser options
603(1)
26.9 Barrier options
604(2)
26.10 Binary options
606(1)
26.11 Lookback options
607(2)
26.12 Shout options
609(1)
26.13 Asian options
609(2)
26.14 Options to exchange one asset for another
611(1)
26.15 Options involving several assets
612(1)
26.16 Volatility and variance swaps
613(3)
26.17 Static options replication
616(8)
Summary
618(1)
Further reading
619(1)
Practice questions
619(2)
Further questions
621(3)
Chapter 27 More on models and numerical procedures
624(31)
27.1 Alternatives to Black--Scholes--Merton
625(5)
27.2 Stochastic volatility models
630(2)
27.3 The IVF model
632(1)
27.4 Convertible bonds
633(3)
27.5 Path-dependent derivatives
636(4)
27.6 Barrier options
640(3)
27.7 Options on two correlated assets
643(3)
27.8 Monte Carlo simulation and American options
646(9)
Summary
650(1)
Further reading
651(1)
Practice questions
652(1)
Further questions
653(2)
Chapter 28 Martingales and measures
655(18)
28.1 The market price of risk
656(3)
28.2 Several state variables
659(1)
28.3 Martingales
660(1)
28.4 Alternative choices for the numeraire
661(4)
28.5 Extension to several factors
665(1)
28.6 Black's model revisited
666(1)
28.7 Option to exchange one asset for another
667(1)
28.8 Change of numeraire
668(5)
Summary
669(1)
Further reading
670(1)
Practice questions
670(2)
Further questions
672(1)
Chapter 29 Interest rate derivatives: The standard market models
673(20)
29.1 Bond options
673(5)
29.2 Interest rate caps and floors
678(6)
29.3 European swap options
684(4)
29.4 OIS discounting
688(1)
29.5 Hedging interest rate derivatives
688(5)
Summary
689(1)
Further reading
690(1)
Practice questions
690(1)
Further questions
691(2)
Chapter 30 Convexity, timing, and quanto adjustments
693(13)
30.1 Convexity adjustments
693(4)
30.2 Timing adjustments
697(2)
30.3 Quantos
699(7)
Summary
702(1)
Further reading
702(1)
Practice questions
702(2)
Further questions
704(1)
Appendix: Proof of the convexity adjustment formula
705(1)
Chapter 31 Interest rate derivatives: models of the short rate
706(34)
31.1 Background
706(1)
31.2 Equilibrium models
707(7)
31.3 No-arbitrage models
714(5)
31.4 Options on bonds
719(1)
31.5 Volatility structures
720(1)
31.6 Interest rate trees
721(2)
31.7 A general tree-building procedure
723(9)
31.8 Calibration
732(2)
31.9 Hedging using a one-factor model
734(6)
Summary
735(1)
Further reading
735(1)
Practice questions
736(2)
Further questions
738(2)
Chapter 32 HJM, LMM, and multiple zero curves
740(20)
32.1 The Heath, Jarrow, and Morton model
740(3)
32.2 The LIBOR market model
743(10)
32.3 Handling multiple zero curves
753(2)
32.4 Agency mortgage-backed securities
755(5)
Summary
757(1)
Further reading
758(1)
Practice questions
758(1)
Further questions
759(1)
Chapter 33 Swaps Revisited
760(15)
33.1 Variations on the vanilla deal
760(2)
33.2 Compounding swaps
762(1)
33.3 Currency swaps
763(1)
33.4 More complex swaps
764(3)
33.5 Equity swaps
767(2)
33.6 Swaps with embedded options
769(2)
33.7 Other swaps
771(4)
Summary
772(1)
Further reading
773(1)
Practice questions
773(1)
Further questions
774(1)
Chapter 34 Energy and commodity derivatives
775(17)
34.1 Agricultural commodities
775(1)
34.2 Metals
776(1)
34.3 Energy products
777(2)
34.4 Modeling commodity prices
779(6)
34.5 Weather derivatives
785(1)
34.6 Insurance derivatives
786(1)
34.7 Pricing weather and insurance derivatives
786(2)
34.8 How an energy producer can hedge risks
788(4)
Summary
789(1)
Further reading
789(1)
Practice questions
790(1)
Further question
791(1)
Chapter 35 Real options
792(14)
35.1 Capital investment appraisal
792(1)
35.2 Extension of the risk-neutral valuation framework
793(2)
35.3 Estimating the market price of risk
795(1)
35.4 Application to the valuation of a business
796(1)
35.5 Evaluating options in an investment opportunity
796(10)
Summary
803(1)
Further reading
803(1)
Practice questions
804(1)
Further questions
804(2)
Chapter 36 Derivatives mishaps and what we can learn from them
806(12)
36.1 Lessons for all users of derivatives
806(4)
36.2 Lessons for financial institutions
810(5)
36.3 Lessons for nonfinancial corporations
815(3)
Summary
817(1)
Further reading
817(1)
Glossary of terms 818(22)
DerivaGem software 840(5)
Major exchanges trading futures and options 845(1)
Tables for N(x) 846(1)
Author index 847(5)
Subject index 852