Hull-White on derivatives: a compilation of articles
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Risk Publ.
1996
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 356 S. graph. Darst. |
| ISBN: | 1899332456 |
Internformat
MARC
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| 100 | 1 | |a Hull, John |d 1946- |e Verfasser |0 (DE-588)109733290 |4 aut | |
| 245 | 1 | 0 | |a Hull-White on derivatives |b a compilation of articles |c by John Hull and Alan White |
| 246 | 1 | 3 | |a On derivatives |
| 264 | 1 | |a London |b Risk Publ. |c 1996 | |
| 300 | |a 356 S. |b graph. Darst. | ||
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| 337 | |b n |2 rdamedia | ||
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| 650 | 7 | |a Economia |2 larpcal | |
| 650 | 7 | |a Opties |2 gtt | |
| 650 | 7 | |a Termijnhandel |2 gtt | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Financial futures | |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-008159540 | ||
Datensatz im Suchindex
| _version_ | 1804126653150920704 |
|---|---|
| adam_text | Contents
Preface 7
Part I. Stochastic Volatility
1. Introduction: Stochastic volatility 11
2. The pricing of options on assets with stochastic volatilities. ... 19
3. An analysis of the bias in option pricing caused by a stochastic
volatility 41
4. Hedging the risks from writing foreign currency options 75
Part II. Numerical Procedures
5. Introduction: Numerical procedures 105
6. Valuing derivative securities using the explicit finite difference
method Ill
7. The use of the control variate technique in option pricing 127
8. Efficient procedures for valuing European and American
path-dependent options 145
Part III. Credit Risk
9. Introduction: Credit risk 165
10. Assessing credit risk in a financial institution s off-balance
sheet commitments 173
11. The impact of default risk on the valuation of options and
other derivative securities 189
Part IV. Term Structure Models: Theory
12. Introduction: Term structure theory 217
13. Pricing interest rate derivative securities 225
14. Bond option pricing based on a model for the evolution of
bond prices 247
15. The pricing of options on interest rate caps and floors using
the Hull-White model 259
HULL-WHITE ON DERIVATIVES Part V. Term Structure Models: Implementation ,
16. Introduction: Term structure implementation 269 j
17. Single-factor interest rate models and the valuation of interest :
rate derivative securities 277
18. Numerical procedures for implementing term structure models
I: Single-Factor Models 301
19. Numerical procedures for implementing term structure models
II: Two-Factor Models 317
20. Using Hull-White interest rate trees 335
Index 353
|
| any_adam_object | 1 |
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV012055853 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:20:52Z |
| institution | BVB |
| isbn | 1899332456 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008159540 |
| oclc_num | 36259585 |
| open_access_boolean | |
| owner | DE-Aug4 DE-945 DE-19 DE-BY-UBM |
| owner_facet | DE-Aug4 DE-945 DE-19 DE-BY-UBM |
| physical | 356 S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | Risk Publ. |
| record_format | marc |
| spelling | Hull, John 1946- Verfasser (DE-588)109733290 aut Hull-White on derivatives a compilation of articles by John Hull and Alan White On derivatives London Risk Publ. 1996 356 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Economia larpcal Opties gtt Termijnhandel gtt Derivative securities Financial futures Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s DE-604 White, Alan Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008159540&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hull, John 1946- White, Alan Hull-White on derivatives a compilation of articles Economia larpcal Opties gtt Termijnhandel gtt Derivative securities Financial futures Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4381572-8 |
| title | Hull-White on derivatives a compilation of articles |
| title_alt | On derivatives |
| title_auth | Hull-White on derivatives a compilation of articles |
| title_exact_search | Hull-White on derivatives a compilation of articles |
| title_full | Hull-White on derivatives a compilation of articles by John Hull and Alan White |
| title_fullStr | Hull-White on derivatives a compilation of articles by John Hull and Alan White |
| title_full_unstemmed | Hull-White on derivatives a compilation of articles by John Hull and Alan White |
| title_short | Hull-White on derivatives |
| title_sort | hull white on derivatives a compilation of articles |
| title_sub | a compilation of articles |
| topic | Economia larpcal Opties gtt Termijnhandel gtt Derivative securities Financial futures Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Economia Opties Termijnhandel Derivative securities Financial futures Derivat Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008159540&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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