Options, Futures & other Derivatives / (Record no. 4727)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 09291nam a2200205Ia 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 8178084457 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | English |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.1 |
| Item number | HUL.O |
| 100 ## - MAIN ENTRY--AUTHOR NAME | |
| Author name | Hull, John C |
| 245 #0 - TITLE STATEMENT | |
| Title | Options, Futures & other Derivatives / |
| Statement of responsibility, etc | John C. Hull |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 4th ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication | New Delhi : |
| Name of publisher | Pearson , |
| Year of publication | 2002. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | xix, 698 pages : |
| Other physical details | illustrations ; |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Forward Contracts --<br/>Futures Contracts --<br/>Options --<br/>Other Derivatives --<br/>Types of Traders --<br/>Those Big Losses --<br/>Futures Markets and the Use of Futures for Hedging --<br/>Trading Futures Contracts --<br/>Specification of the Futures Contract --<br/>Operation of Margins --<br/>Newspaper Quotes --<br/>Convergence of Futures Price to Spot Price --<br/>Settlement --<br/>Regulation --<br/>Hedging Using Futures --<br/>Optimal Hedge Ratio --<br/>Rolling the Hedge Forward --<br/>Accounting and Tax --<br/>Forward and Futures Prices --<br/>Some Preliminaries --<br/>The Forward Price for an Investment Asset --<br/>The Effect of Known Income --<br/>The Effect of a Known Dividend Yield --<br/>Value of a Forward Contract --<br/>Forward Prices versus Futures Prices --<br/>Stock Index Futures --<br/>Foreign Currencies --<br/>Futures on Commodities --<br/>The Cost of Carry --<br/>Delivery Options --<br/>Futures Prices and the Expected Future Spot Price --<br/>Assets Providing Dividend Yields --<br/>Proof That Forward and Futures Prices Are Equal When Interest Rates Are Constant --<br/>Interest Rates and Duration --<br/>Types of Rates --<br/>Zero Rates --<br/>Bond Pricing --<br/>Determining Zero Rates --<br/>Forward Rates --<br/>Forward-Rate Agreements --<br/>Theories of the Term Structure --<br/>Day Count Conventions --<br/>Quotations --<br/>Interest Rate Futures --<br/>Treasury Bond Futures --<br/>Eurodollar Futures --<br/>Duration --<br/>Duration-Based Hedging Strategies --<br/>Limitations of Duration --<br/>Swaps --<br/>Mechanics of Interest Rate Swaps --<br/>The Comparative Advantage Argument --<br/>Valuation of Interest Rate Swaps --<br/>Currency Swaps --<br/>Valuation of Currency Swaps --<br/>Other Swaps --<br/>Credit Risk --<br/>Construction of Zero-Coupon LIBOR Curve --<br/>Options Markets --<br/>Underlying Assets --<br/>Specification of Stock Options --<br/>Newspaper Quotes --<br/>Trading --<br/>Commissions --<br/>Margins --<br/>The Options Clearing Corporation --<br/>Regulation --<br/>Taxation --<br/>Warrants, Executive Stock Options, and Convertibles --<br/>Properties of Stock Option Prices --<br/>Factors Affecting Option Prices --<br/>Assumptions and Notation --<br/>Upper and Lower Bounds for Option Prices --<br/>Put--Call Parity --<br/>Early Exercise: Calls on a Non-Dividend-Paying Stock --<br/>Early Exercise: Puts on a Non-Dividend-Paying Stock --<br/>Relationship Between American Put and Call Prices --<br/>The Effect of Dividends --<br/>Empirical Research --<br/>Trading Strategies Involving Options --<br/>Strategies Involving a Single Option and a Stock --<br/>Spreads --<br/>Combinations --<br/>Other Payoffs --<br/>Introduction to Binomial Trees --<br/>A One-Step Binomial Model --<br/>Risk-Neutral Valuation --<br/>Two-Step Binomial Trees --<br/>A Put Option Example --<br/>American Options --<br/>Delta --<br/>Matching Volatility with u and d --<br/>Binomial Trees in Practice --<br/>Model of the Behavior of Stock Prices --<br/>The Markov Property --<br/>Continuous Time Stochastic Processes --<br/>The Process for Stock Prices --<br/>Review of the Model --<br/>The Parameters --<br/>Ito's Lemma --<br/>Derivation of Ito's Lemma --<br/>The Black--Scholes Model --<br/>Lognormal Property of Stock Prices --<br/>The Distribution of the Rate of Return --<br/>Volatility --<br/>Concepts Underlying the Black--Scholes--Merton Differential Equation --<br/>Derivation of the Black--Scholes--Merton Differential Equation --<br/>Risk-Neutral Valuation --<br/>Black--Scholes Pricing Formulas --<br/>Cumulative Normal Distribution Function --<br/>Warrants Issued by a Company on Its Own Stock --<br/>Implied Volatilities --<br/>The Causes of Volatility --<br/>Dividends --<br/>Proof of Black--Scholes--Merton Formula --<br/>Exact Procedure for Calculating Values of American Calls on Dividend-Paying Stocks --<br/>Calculation of Cumulative Probability in Bivariate Normal Distribution --<br/>Options on Stock Indices, Currencies, and Futures --<br/>Results for a Stock Paying a Continuous Dividend Yield --<br/>Option Pricing Formulas --<br/>Options on Stock Indices --<br/>Currency Options --<br/>Futures Options --<br/>Valuation of Futures Options Using Binomial Trees --<br/>A Futures Price as a Stock Paying a Continuous Dividend Yield --<br/>Black's Model for Valuing Futures Options --<br/>Comparison of Futures Option and Spot Option Prices --<br/>Derivation of Differential Equation Satisfied by a Derivative Dependent on a Stock Providing a Continuous Dividend Yield --<br/>Derivation of Differential Equation Satisfied by a Derivative Dependent on a Futures Price --<br/>The Greek Letters --<br/>Naked and Covered Positions --<br/>A Stop-Loss Strategy --<br/>Delta Hedging --<br/>Theta --<br/>Gamma --<br/>Relationship among Delta, Theta, and Gamma --<br/>Vega --<br/>Rho --<br/>Hedging in Practice --<br/>Scenario Analysis --<br/>Portfolio Insurance --<br/>Stock Market Volatility --<br/>Taylor Series Expansions and Hedge Parameters --<br/>Value at Risk --<br/>Daily Volatilities --<br/>Calculation of VaR in Simple Situations --<br/>A Linear Model --<br/>How Interest Rates Are Handled --<br/>When the Linear Model Can Be Used --<br/>A Quadratic Model --<br/>Monte Carlo Simulation --<br/>Historical Simulation --<br/>Stress Testing and Back-Testing --<br/>Principal Components Analysis --<br/>Use of the Cornish-Fisher Expansion to Estimate VaR --<br/>Estimating Volatilities and Correlations --<br/>Estimating Volatility --<br/>The Exponentially Weighted Moving Average Model --<br/>The GARCH (1,1) Model --<br/>Choosing Between the Models --<br/>Maximum Likelihood Methods --<br/>Using GARCH (1,1) to Forecast Future Volatility --<br/>Correlations --<br/>Numerical Procedures --<br/>Binomial Trees --<br/>Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts --<br/>Binomial Model for a Dividend-Paying Stock --<br/>Extensions of the Basic Tree Approach --<br/>Alternative Procedures for Constructing Trees --<br/>Monte Carlo Simulation --<br/>Variance Reduction Procedures --<br/>Finite Difference Methods --<br/>Analytic Approximation to American Option Prices --<br/>Analytic Approximation to American Option Prices --<br/>Volatility Smiles and Alternatives to Black-Scholes --<br/>Preliminaries --<br/>Foreign Currency Options --<br/>Equity Options --<br/>The Volatility Term Structure --<br/>Volatility Matrices --<br/>Relaxing the Assumptions in Black-Scholes --<br/>Alternative Models for Stock Options --<br/>Pricing Models Involving Jumps --<br/>Stochastic Volatility Models --<br/>Empirical Research --<br/>Pricing Formulas for Alternative Models --<br/>Exotic Options --<br/>Types of Exotic Options --<br/>Path-Dependent Derivatives --<br/>Lookback Options --<br/>Barrier Options --<br/>Options on Two Correlated Assets --<br/>Implied Trees --<br/>Hedging Issues --<br/>Static Options Replication --<br/>Calculation of the First Two Moments of Arithmetic Averages and Baskets --<br/>Extensions of the Theoretical Framework for Pricing Derivatives: Martingales and Measures --<br/>The Market Price of Risk --<br/>Derivitives Dependent on Several State Variables --<br/>Derivatives Dependent on Commodity Prices --<br/>Martingales and Measures --<br/>Alternative Choices for the Numeraire --<br/>Extension to Multiple Independent Factors --<br/>Applications --<br/>Change of Numeraire --<br/>Quantos --<br/>Siegel's Paradox --<br/>Generalization of Ito's Lemma --<br/>Derivation of the General Differential Equation Satisfied by Derivatives --<br/>Interest Rate Derivatives: The Standard Market Models --<br/>Black's Model --<br/>Bond Options --<br/>Interest Rate Caps --<br/>European Swap Options --<br/>Generalizations --<br/>Convexity Adjustments --<br/>Timing Adjustments --<br/>When Is an Adjustment Necessary? --<br/>Accrual Swaps --<br/>Spread Options --<br/>Hedging Interest Rate Derivatives --<br/>Proof of the Convexity Adjustment Formula --<br/>Interest Rate Derivatives: Models of the Short Rate --<br/>Equilibrium Models --<br/>One-Factor Equilibrium Model --<br/>The Rendleman and Bartter Model --<br/>The Vasicek Model --<br/>The Cox, Ingersoll, and Ross Model --<br/>Two-Factor Equilibrium Models --<br/>No-Arbitrage Models --<br/>The Ho and Lee Model --<br/>The Hull and White Model --<br/>Options on Coupon-Bearing Bonds --<br/>Interest Rate Trees --<br/>A General Tree-Building Procedure --<br/>Nonstationary Models --<br/>Calibration --<br/>Hedging Using a One-Factor Model --<br/>Forward Rates and Futures Rates --<br/>Interest Rate Derivatives: More Advanced Models --<br/>Two-Factor Models of the Short Rate --<br/>The Heath, Jarrow, and Morton Approach --<br/>The LIBOR Market Model --<br/>Mortgage-Backed Securities --<br/>The A(t, T), [sigma][rho] and [thetas](t) Functions in the Two-Factor Hull-White Model --<br/>Credit Risk --<br/>The Probability of Default and Expected Losses --<br/>Adjusting the Prices of Derivatives to Reflect Counterparty Default Risk --<br/>Credit Value at Risk --<br/>Credit Derivatives --<br/>Valuation of Convertible Bonds --<br/>Manipulation of the Matrices of Credit Rating Changes --<br/>DerivaGem Software --<br/>Major Exchanges Trading Futures and Options --<br/>Table for N(x) when x [less than or equal] 0 --<br/>Table for N(x) when x [greater than or equal] 0. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Subject | Futures. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Subject | Stock options. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Subject | Derivative securities. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Bill Date | Full call number | Accession Number | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Institute of Public Enterprise, Library | Institute of Public Enterprise, Library | S Campus | 10/24/2006 | M/s Allied | 325.00 | 2003-05-02 | 332.1 HUL.O | 31155 | 06/08/2020 | Books |
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