Options, Futures, and Other Derivatives, Global Edition

Höfundur: John C. Hull (Útgáfa: 11)
Options, Futures, and Other Derivatives, Global Edition

Kaup valmöguleikar

Fyrir námskeið í viðskiptafræði, hagfræði, fjármálaverkfræði og stærðfræði. Þessi ítarlega leiðarvísir um afleiðumarkaðinn hefur verið uppfærður með nýlegum dæmum og umfjöllun. Options, Futures, and Other Derivatives er þekkt sem „biblía“ sérfræðinga í viðskipta- og hagfræði og veitir lesendum nútímalega innsýn í afleiðumarkaðinn. Fjallað er um brýn viðfangsefni á borð við verðbréfun og lánsfjárkreppuna.

Nánar um bókina

Útgefandi
Pearson International Content
ISBN
9781292410623
Print ISBN
9781292410654
Format
Page Fidelity (PDF)
Útgáfa
11
Höfundar
John C. Hull
Tungumál
English
Útgefið
2021-07-05
Prent takmörkun á líftíma
100
Prent takmörkun
2
Afritunar takmörkun
2
Flokkar
Hagfræði

Kaflar

  • Title Page
  • Copyright
  • Dedication
  • Contents in Brief
  • Contents
  • List of Business Snapshots
  • List of Technical Notes
  • Preface
  • Acknowledgments
  • About the Author
  • Chapter 1. Introduction
  • 1.1 Exchange-Traded Markets
  • 1.2 Over-the-Counter Markets
  • 1.3 Forward Contracts
  • 1.4 Futures Contracts
  • 1.5 Options
  • 1.6 Types of Traders
  • 1.7 Hedgers
  • 1.8 Speculators
  • 1.9 Arbitrageurs
  • 1.10 Dangers
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 2. Futures Markets and Central Counterparties
  • 2.1 Background
  • 2.2 Specification of a Futures Contract
  • 2.3 Convergence of Futures Price to Spot Price
  • 2.4 The Operation of Margin Accounts
  • 2.5 OTC Markets
  • 2.6 Market Quotes
  • 2.7 Delivery
  • 2.8 Types of Traders and Types of Orders
  • 2.9 Regulation
  • 2.10 Accounting and Tax
  • 2.11 Forward vs. Futures Contracts
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 3. Hedging Strategies Using Futures
  • 3.1 Basic Principles
  • 3.2 Arguments for and Against Hedging
  • 3.3 Basis Risk
  • 3.4 Cross Hedging
  • 3.5 Stock Index Futures
  • 3.6 Stack and Roll
  • Summary
  • Further Reading
  • Practice Questions
  • Appendix: Capital Asset Pricing Model
  • Chapter 4. Interest Rates
  • 4.1 Types of Rates
  • 4.2 Reference Rates
  • 4.3 The Risk-Free Rate
  • 4.4 Measuring Interest Rates
  • 4.5 Zero Rates
  • 4.6 Bond Pricing
  • 4.7 Determining Zero Rates
  • 4.8 Forward Rates
  • 4.9 Forward Rate Agreements
  • 4.10 Duration
  • 4.11 Convexity
  • 4.12 Theories of the Term Structure of Interest Rates
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 5. Determination of Forward and Futures Prices
  • 5.1 Investment Assets vs. Consumption Assets
  • 5.2 Short Selling
  • 5.3 Assumptions and Notation
  • 5.4 Forward Price for an Investment Asset
  • 5.5 Known Income
  • 5.6 Known Yield
  • 5.7 Valuing Forward Contracts
  • 5.8 Are Forward Prices and Futures Prices Equal?
  • 5.9 Futures Prices of Stock Indices
  • 5.10 Forward and Futures Contracts on Currencies
  • 5.11 Futures on Commodities
  • 5.12 The Cost of Carry
  • 5.13 Delivery Options
  • 5.14 Futures Prices and Expected Future Spot Prices
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 6. Interest Rate Futures
  • 6.1 Day Count and Quotation Conventions
  • 6.2 Treasury Bond Futures
  • 6.3 Eurodollar and SOFR Futures
  • 6.4 Duration-Based Hedging Strategies Using Futures
  • 6.5 Hedging Portfolios of Assets and Liabilities
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 7. Swaps
  • 7.1 Mechanics of Interest Rate Swaps
  • 7.2 Determining Risk-Free Rates
  • 7.3 Reasons for Trading Interest Rate Swaps
  • 7.4 The Organization of Trading
  • 7.5 The Comparative-Advantage Argument
  • 7.6 Valuation of Interest Rate Swaps
  • 7.7 How the Value Changes Through Time
  • 7.8 Fixed-for-Fixed Currency Swaps
  • 7.9 Valuation of Fixed-for-Fixed Currency Swaps
  • 7.10 Other Currency Swaps
  • 7.11 Credit Risk
  • 7.12 Credit Default Swaps
  • 7.13 Other Types of Swaps
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 8. Securitization and the Financial Crisis of 2007–8
  • 8.1 Securitization
  • 8.2 The U.S. Housing Market
  • 8.3 What went Wrong?
  • 8.4 The Aftermath
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 9. XVAs
  • 9.1 CVA and DVA
  • 9.2 FVA and MVA
  • 9.3 KVA
  • 9.4 Calculation Issues
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 10. Mechanics of Options Markets
  • 10.1 Types of Options
  • 10.2 Option Positions
  • 10.3 Underlying Assets
  • 10.4 Specification of Stock Options
  • 10.5 Trading
  • 10.6 Trading Costs
  • 10.7 Margin Requirements
  • 10.8 The Options Clearing Corporation
  • 10.9 Regulation
  • 10.10 Taxation
  • 10.11 Warrants, Employee Stock Options, and Convertibles
  • 10.12 Over-the-Counter Options Markets
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 11. Properties of Stock Options
  • 11.1 Factors Affecting Option Prices
  • 11.2 Assumptions and Notation
  • 11.3 Upper and Lower Bounds for Option Prices
  • 11.4 Put–Call Parity
  • 11.5 Calls on a Non-Dividend-Paying Stock
  • 11.6 Puts on a Non-Dividend-Paying Stock
  • 11.7 Effect of Dividends
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 12. Trading Strategies Involving Options
  • 12.1 Principal-Protected Notes
  • 12.2 Trading an Option and the Underlying Asset
  • 12.3 Spreads
  • 12.4 Combinations
  • 12.5 Other Payoffs
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 13. Binomial Trees
  • 13.1 A One-Step Binomial Model and a No-Arbitrage Argument
  • 13.2 Risk-Neutral Valuation
  • 13.3 Two-Step Binomial Trees
  • 13.4 A Put Example
  • 13.5 American Options
  • 13.6 Delta
  • 13.7 Matching Volatility with u and d
  • 13.8 The Binomial Tree Formulas
  • 13.9 Increasing the Number of Steps
  • 13.10 Using DerivaGem
  • 13.11 Options on other Assets
  • Summary
  • Further Reading
  • Practice Questions
  • Appendix: Derivation of the Black–Scholes–Merton Option-Pricing Formula from a Binomial Tree
  • Chapter 14. Wiener Processes and Itô’s Lemma
  • 14.1 The Markov Property
  • 14.2 Continuous-Time Stochastic Processes
  • 14.3 The Process for a Stock Price
  • 14.4 The Parameters
  • 14.5 Correlated Processes
  • 14.6 Itô’s Lemma
  • 14.7 The Lognormal Property
  • 14.8 Fractional Brownian Motion
  • Summary
  • Further Reading
  • Practice Questions
  • Appendix: A Nonrigorous Derivation of Itô’s Lemma
  • Chapter 15. The Black–Scholes–Merton Model
  • 15.1 Lognormal Property of Stock Prices
  • 15.2 The Distribution of the Rate of Return
  • 15.3 The Expected Return
  • 15.4 Volatility
  • 15.5 The Idea Underlying the Black–Scholes–Merton Differential Equation
  • 15.6 Derivation of the Black–Scholes–Merton Differential Equation
  • 15.7 Risk-Neutral Valuation
  • 15.8 Black–Scholes–Merton Pricing Formulas
  • 15.9 Cumulative Normal Distribution Function
  • 15.10 Warrants and Employee Stock Options
  • 15.11 Implied Volatilities
  • 15.12 Dividends
  • Summary
  • Further Reading
  • Practice Questions
  • Appendix: Proof of the Black–Scholes–Merton Formula Using Risk-Neutral Valuation
  • Chapter 16. Employee Stock Options
  • 16.1 Contractual Arrangements
  • 16.2 Do Options Align the Interests of Shareholders and Managers?
  • 16.3 Accounting Issues
  • 16.4 Valuation
  • 16.5 The Backdating Scandal
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 17. Options on Stock Indices and Currencies
  • 17.1 Options on Stock Indices
  • 17.2 Currency Options
  • 17.3 Options on Stocks Paying known Dividend Yields
  • 17.4 Valuation of European Stock Index Options
  • 17.5 Valuation of European Currency Options
  • 17.6 American Options
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 18. Futures Options and Black’s Model
  • 18.1 Nature of Futures Options
  • 18.2 Reasons for the Popularity of Futures Options
  • 18.3 European Spot and Futures Options
  • 18.4 Put–Call Parity
  • 18.5 Bounds for Futures Options
  • 18.6 Drift of a Futures Price in a Risk-Neutral World
  • 18.7 Black’s Model for Valuing Futures Options
  • 18.8 Using Black’s model instead of Black–Scholes–Merton
  • 18.9 Valuation of Futures Options Using Binomial Trees
  • 18.10 American Futures Options vs. American Spot Options
  • 18.11 Futures-Style Options
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 19. The Greek Letters
  • 19.1 Illustration
  • 19.2 Naked and Covered Positions
  • 19.3 Greek Letter Calculation
  • 19.4 Delta Hedging
  • 19.5 Theta
  • 19.6 Gamma
  • 19.7 Relationship between Delta, Theta, and Gamma
  • 19.8 Vega
  • 19.9 Rho
  • 19.10 The Realities of Hedging
  • 19.11 Scenario Analysis
  • 19.12 Extension of Formulas
  • 19.13 Portfolio Insurance
  • 19.14 Application of Machine Learning to Hedging
  • Summary
  • Further Reading
  • Practice Questions
  • Appendix: Taylor Series Expansions and Greek Letters
  • Chapter 20. Volatility Smiles and Volatility Surfaces
  • 20.1 Implied Volatilities of Calls and Puts
  • 20.2 Volatility Smile for Foreign Currency Options
  • 20.3 Volatility Smile for Equity Options
  • 20.4 Alternative Ways of Characterizing the Volatility Smile
  • 20.5 The Volatility Term Structure and Volatility Surfaces
  • 20.6 Minimum Variance Delta
  • 20.7 The Role of the Model
  • 20.8 When a Single Large Jump is Anticipated
  • Summary
  • Further Reading
  • Practice Questions
  • Appendix: Determining Implied Risk-Neutral Distributions from Volatility Smiles
  • Chapter 21. Basic Numerical Procedures
  • 21.1 Binomial Trees
  • 21.2 Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts
  • 21.3 Binomial Model for a Dividend-Paying Stock
  • 21.4 Alternative Procedures for Constructing Trees
  • 21.5 Time-Dependent Parameters
  • 21.6 Monte Carlo Simulation
  • 21.7 Variance Reduction Procedures
  • 21.8 Finite Difference Methods
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 22. Value at Risk and Expected Shortfall
  • 22.1 The VaR and ES Measures
  • 22.2 Historical Simulation
  • 22.3 Model-Building Approach
  • 22.4 The Linear Model
  • 22.5 The Quadratic Model
  • 22.6 Monte Carlo Simulation
  • 22.7 Comparison of Approaches
  • 22.8 Back Testing
  • 22.9 Principal Components Analysis
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 23. Estimating Volatilities and Correlations
  • 23.1 Estimating Volatility
  • 23.2 The Exponentially Weighted Moving Average Model
  • 23.3 The Garch(1,1) Model
  • 23.4 Choosing between the Models
  • 23.5 Maximum Likelihood Methods
  • 23.6 Using Garch(1,1) to Forecast Future Volatility
  • 23.7 Correlations
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 24. Credit Risk
  • 24.1 Credit Ratings
  • 24.2 Historical Default Probabilities
  • 24.3 Recovery Rates
  • 24.4 Estimating Default Probabilities from Bond Yield Spreads
  • 24.5 Comparison of Default Probability Estimates
  • 24.6 Using Equity Prices to Estimate Default Probabilities
  • 24.7 Credit Risk in Derivatives Transactions
  • 24.8 Default Correlation
  • 24.9 Credit VaR
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 25. Credit Derivatives
  • 25.1 Credit Default Swaps
  • 25.2 Valuation of Credit Default Swaps
  • 25.3 Credit Indices
  • 25.4 The Use of Fixed Coupons
  • 25.5 CDS Forwards and Options
  • 25.6 Basket Credit Default Swaps
  • 25.7 Total Return Swaps
  • 25.8 Collateralized Debt Obligations
  • 25.9 Role of Correlation in a Basket CDS and CDO
  • 25.10 Valuation of a Synthetic CDO
  • 25.11 Alternatives to the Standard Market Model
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 26. Exotic Options
  • 26.1 Packages
  • 26.2 Perpetual American Call and Put Options
  • 26.3 Nonstandard American Options
  • 26.4 Gap Options
  • 26.5 Forward Start Options
  • 26.6 Cliquet Options
  • 26.7 Compound Options
  • 26.8 Chooser Options
  • 26.9 Barrier Options
  • 26.10 Binary Options
  • 26.11 Lookback Options
  • 26.12 Shout Options
  • 26.13 Asian Options
  • 26.14 Options to Exchange One Asset for Another
  • 26.15 Options Involving Several Assets
  • 26.16 Volatility and Variance Swaps
  • 26.17 Static Options Replication
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 27. More on Models and Numerical Procedures
  • 27.1 Alternatives to Black–Scholes–Merton
  • 27.2 Stochastic Volatility Models
  • 27.3 The IVF Model
  • 27.4 Convertible Bonds
  • 27.5 Path-Dependent Derivatives
  • 27.6 Barrier Options
  • 27.7 Options on Two Correlated Assets
  • 27.8 Monte Carlo Simulation and American Options
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 28. Martingales and Measures
  • 28.1 The Market Price of Risk
  • 28.2 Several State Variables
  • 28.3 Martingales
  • 28.4 Alternative Choices for the Numeraire
  • 28.5 Extension to Several Factors
  • 28.6 Black’s Model Revisited
  • 28.7 Option to Exchange One Asset for Another
  • 28.8 Change of Numeraire
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 29. Interest Rate Derivatives: The Standard Market Models
  • 29.1 Bond Options
  • 29.2 Interest Rate Caps and Floors
  • 29.3 European Swap Options
  • 29.4 Hedging Interest Rate Derivatives
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 30. Convexity, Timing, and Quanto Adjustments
  • 30.1 Convexity Adjustments
  • 30.2 Timing Adjustments
  • 30.3 Quantos
  • Summary
  • Further Reading
  • Practice Questions
  • Appendix: Proof of the Convexity Adjustment Formula
  • Chapter 31. Equilibrium Models of the Short Rate
  • 31.1 Background
  • 31.2 One-Factor Models
  • 31.3 Real-World vs. Risk-Neutral Processes
  • 31.4 Estimating Parameters
  • 31.5 More Sophisticated Models
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 32. No-Arbitrage Models of the Short Rate
  • 32.1 Extensions of Equilibrium Models
  • 32.2 Options on Bonds
  • 32.3 Volatility Structures
  • 32.4 Interest Rate Trees
  • 32.5 A General Tree-Building Procedure
  • 32.6 Calibration
  • 32.7 Hedging Using a One-Factor Model
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 33. Modeling Forward Rates
  • 33.1 The Heath, Jarrow, and Morton Model
  • 33.2 The BGM Model
  • 33.3 Agency Mortgage-Backed Securities
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 34. Swaps Revisited
  • 34.1 Variations on the Vanilla Deal
  • 34.2 Compounding Swaps
  • 34.3 Currency and Nonstandard Swaps
  • 34.4 Equity Swaps
  • 34.5 Swaps with Embedded Options
  • 34.6 Other Swaps
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 35. Energy and Commodity Derivatives
  • 35.1 Agricultural Commodities
  • 35.2 Metals
  • 35.3 Energy Products
  • 35.4 Modeling Commodity Prices
  • 35.5 Weather Derivatives
  • 35.6 Insurance Derivatives
  • 35.7 Pricing Weather and Insurance Derivatives
  • 35.8 How an Energy Producer can Hedge Risks
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 36. Real Options
  • 36.1 Capital Investment Appraisal
  • 36.2 Extension of the Risk-Neutral Valuation Framework
  • 36.3 Estimating the Market Price of Risk
  • 36.4 Application to the Valuation of a Business
  • 36.5 Evaluating Options in an Investment Opportunity
  • Summary
  • Further Reading
  • Practice Questions
  • Chapter 37. Derivatives Mishaps and What We Can Learn from Them
  • 37.1 Lessons for All Users of Derivatives
  • 37.2 Lessons for Financial Institutions
  • 37.3 Lessons for Nonfinancial Corporations
  • Summary
  • Further Reading
  • Glossary of Terms
  • DerivaGem Software
  • Exchanges Trading Futures and Options
  • Table for N(x) When x ≤ 0
  • Author index
  • Subject index