Holdings: Fundamentals of futures and options markets

Fundamentals of futures and options markets:

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Bibliographic Details
Main Author:	Hull, John (Author)
Format:	Book
Language:	English
Published:	Upper Saddle River, N.J. Prentice Hall 2008
Edition:	6. ed., internat. ed.
Subjects:	Futures market Options (Finance) Futures market > Problems, exercises, etc Options (Finance) > Problems, exercises, etc Termingeschäft Optionsmarkt Optionshandel Financial Futures Optionsgeschäft Option Terminmarkt Lehrbuch
Online Access:	Inhaltsverzeichnis
Item Description:	Includes index.
Physical Description:	XIII, 561 S. 1 CD-ROM (12 cm)
ISBN:	9780131354180

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adam_text	Contents Preface ..........................................................................................................................xi Chapter 1: Introduction ..................................................................................................1 1.1 Futures Contracts .........................................................................................1 1.2 History of Futures Markets ...........................................................................2 1.3 The Over-the-Counter Market ........................................................................4 1.4 Forward Contracts ........................................................................................5 1.5 Options Contracts .........................................................................................6 1.6 History of Options Markets ...........................................................................8 1.7 Types of Traders ...........................................................................................9 1.8 Hedgers .......................................................................................................9 1.9 Speculators .................................................................................................13 1.10 Arbitrageurs ............................................................................................... 15 1.11 Dangers .....................................................................................................16 Summary ...................................................................................................17 Further Reading .........................................................................................17 Quiz ..........................................................................................................18 Questions and Problems ..............................................................................18 Assignment Questions .................................................................................19 Chapter 2: Mechanics of Futures Markets ......................................................................21 2.1 Opening and Closing Futures Positions ........................................................21 2.2 The Specification of a Futures Contract ........................................................22 2.3 Convergence of Futures Price to Spot Price ..................................................25 2.4 The Operation of Margins ...........................................................................26 2.5 Newspaper Quotes ......................................................................................30 2.6 Delivery .....................................................................................................33 2.7 Types of Traders and Types of Orders ..........................................................34 2.8 Regulation ..................................................................................................35 2.9 Accounting and Tax ...................................................................................36 2.10 Forward vs. Futures Contracts .....................................................................39 S ummary ...................................................................................................41 Further Reading .........................................................................................41 Quiz ..........................................................................................................42 Questions and Problems ..............................................................................42 Assignment Questions .................................................................................43 iii iv Contents Chapter 3: Hedging Strategies Using Futures ..................................................................45 3.1 Basic Principles ...........................................................................................45 3.2 Arguments for and against Hedging .............................................................48 3.3 Basis Risk ..................................................................................................51 3.4 Cross Hedging ............................................................................................56 3.5 Stock Index Futures ....................................................................................60 3.6 Rolling the Hedge Forward ..........................................................................65 Summary ....................................................................................................67 Further Reading ..........................................................................................68 Quiz ...........................................................................................................69 Questions and Problems ...............................................................................69 Assignment Questions ..................................................................................70 Appendix: Proof of the Minimum Variance Hedge Ratio Formula .................72 Chapter 4: Interest Rates ..............................................................................................73 4.1 Types of Rates ............................................................................................73 4.2 Measuring Interest Rates .............................................................................75 4.3 Zero Rates ..................................................................................................77 4.4 Bond Pricing ..............................................................................................78 4.5 Determining Treasury Zero Rates .................................................................80 4.6 Forward Rates ............................................................................................82 4.7 Forward Rate Agreements ...........................................................................84 4.8 Theories of the Term Structure of Interest Rates ...........................................87 Summary ....................................................................................................89 Further Reading ..........................................................................................90 Quiz ...........................................................................................................90 Questions and Problems ...............................................................................91 Assignment Questions ..................................................................................92 Appendix: Exponential and Logarithm Functions .........................................94 Chapter 5: Determination of Forward and Futures Prices .................................................97 5.1 Investment Assets vs. Consumption Assets ....................................................97 5.2 Short Selling ...............................................................................................97 5.3 Assumptions and Notation ..........................................................................99 5.4 Forward Price for an Investment Asset .........................................................99 5.5 Known Income ......................................................................................... 102 5.6 Known Yield ............................................................................................ 105 5.7 Valuing Forward Contracts ........................................................................105 5.8 Are Forward Prices and Futures Prices Equal? ............................................ 107 5.9 Futures Prices of Stock Indices .................................................................. 108 5.10 Forward and Futures Contracts on Currencies .............................................110 5.11 Futures on Commodities ............................................................................113 5.12 The Cost of Carry .....................................................................................117 5.13 Delivery Options ....................................................................................... 117 5.14 Futures Prices and Expected Spot Prices ..................................................... 117 Summary ..................................................................................................119 Further Reading ........................................................................................121 Quiz .........................................................................................................121 Questions and Problems .............................................................................121 Contents v Assignment Questions ................................................................................123 Appendix: Proof that Forward and Futures Prices Are Equal When Interest Rates Are Constant ...................................................................125 Chapter 6: Interest Rate Futures ...................................................................................127 6.1 Day Count and Quotation Conventions .......................................................127 6.2 Treasury Bond Futures ...............................................................................130 6.3 Eurodollar Futures .....................................................................................135 6.4 Duration ...................................................................................................138 6.5 Duration-Based Hedging Strategies Using Futures ........................................142 Summary ..................................................................................................147 Further Reading ........................................................................................148 Quiz .........................................................................................................148 Questions and Problems .............................................................................148 Assignment Questions ................................................................................150 Chapter 7: Swaps .......................................................................................................153 7.1 Mechanics of Interest Rate Swaps ...............................................................153 7.2 Day Count Issues ......................................................................................160 7.3 Confirmations ............................................................................................160 7.4 The Comparative-Advantage Argument .......................................................161 7.5 The Nature of Swap Rates .........................................................................164 7.6 Determining LIBOR/Swap Zero Rates ........................................................165 7.7 Valuation of Interest Rate Swaps ................................................................166 7.8 Currency Swaps .........................................................................................170 7.9 Valuation of Currency Swaps ......................................................................174 7.10 Credit Risk ...............................................................................................175 7.11 Other Types of Swaps ................................................................................178 Summary ..................................................................................................180 Further Reading ........................................................................................181 Quiz .........................................................................................................181 Questions and Problems .............................................................................182 Assignment Questions ................................................................................183 Chapter 8: Mechanics of Options Markets ....................................................................185 8.1 Types of Options .......................................................................................185 8.2 Option Positions ........................................................................................188 8.3 Underlying Assets ......................................................................................190 8.4 Specification of Stock Options ....................................................................191 8.5 Trading .....................................................................................................195 8.6 Commissions .............................................................................................196 8.7 Margins ....................................................................................................197 8.8 The Options Clearing Corporation ..............................................................198 8.9 Regulation .................................................................................................199 8.10 Taxation ...................................................................................................199 8.11 Warrants, Executive Stock Options, and Convertibles ...................................201 8.12 Over-the-Counter Markets ..........................................................................203 Summary ..................................................................................................203 Further Reading ........................................................................................204 VI Contents Quiz .........................................................................................................204 Questions and Problems .............................................................................205 Assignment Questions ................................................................................206 Chapter 9: Properties of Stock Options ........................................................................209 9.1 Factors Affecting Option Prices ..................................................................209 9.2 Assumptions and Notation ........................................................................213 9.3 Upper and Lower Bounds for Option Prices ...............................................213 9.4 Put-Call Parity .........................................................................................217 9.5 Early Exercise: Calls on a Non-Dividend-Paying Stock ................................220 9.6 Early Exercise: Puts on a Non-Dividend-Paying Stock .................................222 9.7 Effect of Dividends ...................................................................................223 9.8 Summary ..................................................................................................224 Further Reading ........................................................................................225 Quiz .........................................................................................................225 Questions and Problems .............................................................................226 Assignment Questions ................................................................................227 Chapter 10: Trading Strategies Involving Options ..........................................................229 10.1 Strategies Involving a Single Option and a Stock .......................................229 10.2 Spreads ...................................................................................................231 10.3 Combinations ..........................................................................................240 10.4 Other Payoffs ..........................................................................................243 10.5 Summary ................................................................................................243 Further Reading ......................................................................................244 Quiz .......................................................................................................244 Questions and Problems ...........................................................................244 Assignment Questions ..............................................................................245 Chapter 11: Introduction to Binomial Trees ..................................................................247 11.1 A One-Step Binomial Model ....................................................................247 11.2 Risk-Neutral Valuation ............................................................................250 11.3 Two-Step Binomial Trees .........................................................................252 11.4 A Put Example .......................................................................................255 11.5 American Options ...................................................................................256 11.6 Delta ......................................................................................................257 11.7 Determining и and d ...............................................................................258 11.8 Increasing the Number of Time Steps .......................................................259 11.9 Options on Other Assets ..........................................................................260 Summary ................................................................................................265 Further Reading ......................................................................................265 Quiz .......................................................................................................265 Questions and Problems ...........................................................................266 Assignment Questions ..............................................................................267 Chapter 12: Valuing Stock Options: The Black-Scholes Model ......................................269 12.1 Assumptions about How Stock Prices Evolve ............................................269 12.2 Expected Return ......................................................................................272 12.3 Volatility .................................................................................................274 12.4 Estimating Volatility from Historical Data .................................................274 Contents vii 12.5 Assumptions Underlying Black-Scholes .....................................................277 12.6 The Key No-Arbitrage Argument ..............................................................278 12.7 The Black-Scholes Pricing Formulas .........................................................279 12.8 Risk-Neutral Valuation .............................................................................281 12.9 Implied Volatilities ...................................................................................282 12.10 Dividends ................................................................................................283 12.11 Valuing Executive Stock Options ...............................................................285 Summary .................................................................................................288 Further Reading .......................................................................................289 Quiz ........................................................................................................290 Questions and Problems ............................................................................290 Assignment Questions ...............................................................................292 Appendix: The Early Exercise of American Call Options on Dividend-Paying Stocks ...........................................................293 Chapter 13: Options on Stock Indices and Currencies .....................................................295 13.1 Options on Stock Indices ..........................................................................295 13.2 Currency Options .....................................................................................298 13.3 Options on Stocks Paying Known Dividend Yields .....................................300 13.4 Valuation of Stock Index Options .............................................................303 13.5 Valuation of Currency Options .................................................................305 Summary .................................................................................................307 Further Reading .......................................................................................307 Quiz ........................................................................................................308 Questions and Problems ............................................................................308 Assignment Questions ...............................................................................309 Chapter 14: Futures Options ........................................................................................311 14.1 Nature of Futures Options ........................................................................311 14.2 Reasons for the Popularity of Futures Options ...........................................313 14.3 European Spot and Futures Options ..........................................................314 14.4 Put-Call Parity ........................................................................................314 14.5 Bounds for Futures Options ......................................................................316 14.6 Valuation of Futures Options Using Binomial Trees ...................................316 14.7 A Futures Price as an Asset Providing a Yield ...........................................318 14.8 Black s Model for Valuing Futures Options ...............................................319 14.9 American Futures Options vs. American Spot Options ...............................320 Summary .................................................................................................321 Further Reading .......................................................................................321 Quiz ........................................................................................................322 Questions and Problems ............................................................................322 Assignment Questions ...............................................................................323 Chapter 15: The Greek Letters ....................................................................................325 15.1 Illustration ...............................................................................................325 15.2 Naked and Covered Positions ....................................................................326 15.3 A Stop-Loss Strategy ................................................................................326 15.4 Delta Hedging .........................................................................................328 15.5 Theta ......................................................................................................335 viii Contents 15.6 Gamma ..................................................................................................337 15.7 Relationship between Delta, Theta, and Gamma ........................................340 15.8 Vega.......................................................................................................341 15.9 Rho ........................................................................................................343 15.10 The Realities of Hedging ..........................................................................344 15.11 Scenario Analysis ....................................................................................344 15.12 Extension of Formulas .............................................................................346 15.13 Creating Options Synthetically for Portfolio Insurance ...............................348 15.14 Stock Market Volatility ............................................................................350 Summary ................................................................................................351 Further Reading ......................................................................................352 Quiz .......................................................................................................352 Questions and Problems ...........................................................................353 Assignment Questions ..............................................................................355 Chapter 16: Binomial Trees in Practice ........................................................................357 16.1 The Binomial Model for a Non-Dividend-Paying Stock ..............................357 16.2 Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts ................................................................................................364 16.3 The Binomial Model for a Dividend-Paying Stock .....................................367 16.4 Extensions of the Basic Tree Approach .....................................................369 16.5 Alternative Procedure for Constructing Trees .............................................371 16.6 Monte Carlo Simulation ..........................................................................374 Summary ................................................................................................375 Further Reading ......................................................................................376 Quiz .......................................................................................................376 Questions and Problems ...........................................................................376 Assignment Questions ..............................................................................377 Chapter 17: Volatility Smiles ......................................................................................379 17.1 Foreign Currency Options ........................................................................379 17.2 Equity Options ........................................................................................382 17.3 The Volatility Term Structure and Volatility Surfaces .................................384 17.4 When a Single Large Jump Is Anticipated .................................................386 Summary ................................................................................................387 Further Reading ......................................................................................388 Quiz .......................................................................................................389 Questions and Problems ...........................................................................389 Assignment Questions ..............................................................................390 Appendix: Why the Put Volatility Smile Is the Same As the Call Volatility Smile ..........................................................392 Chapter 18: Value at Risk ..........................................................................................395 18.1 The VaR Measure ...................................................................................395 18.2 Historical Simulation ...............................................................................398 18.3 Model-Building Approach ........................................................................399 18.4 Linear Model ..........................................................................................403 18.5 Quadratic Model .....................................................................................405 18.6 Estimating Volatilities and Correlations .....................................................408 Contents їх 18.7 Comparison of Approaches .......................................................................412 18.8 Stress Testing and Back Testing .................................................................413 Summary .................................................................................................413 Further Reading .......................................................................................414 Quiz ........................................................................................................415 Questions and Problems ............................................................................415 Assignment Questions ...............................................................................417 Appendix: Cash-Flow Mapping ................................................................419 Chapter 19: Interest Rate Options ................................................................................421 19.1 Exchange-Traded Interest Rate Options .....................................................421 19.2 Embedded Bond Options ..........................................................................423 19.3 Black s Model ..........................................................................................423 19.4 European Bond Options ...........................................................................425 19.5 Interest Rate Caps ....................................................................................427 19.6 European Swap Options ...........................................................................433 19.7 Term Structure Models .............................................................................436 Summary .................................................................................................437 Further Reading .......................................................................................438 Quiz ........................................................................................................438 Questions and Problems ............................................................................439 Assignment Questions ...............................................................................440 Chapter 20: Exotic Options and Other Nonstandard Products .........................................443 20.1 Exotic Options .........................................................................................443 20.2 Mortgage-Backed Securities ......................................................................448 20.3 Nonstandard Swaps ..................................................................................450 Summary .................................................................................................456 Further Reading .......................................................................................457 Quiz ........................................................................................................458 Questions and Problems ............................................................................458 Assignment Questions ...............................................................................459 Chapter 21: Credit Derivatives .....................................................................................461 21.1 Credit Default Swaps ...............................................................................461 21.2 Credit Indices ..........................................................................................464 21.3 Determining CDS Spreads ........................................................................465 21.4 Total Return Swaps ..................................................................................470 21.5 CDS Forwards and Options ......................................................................471 21.6 Collateralized Debt Obligations .................................................................471 Summary .................................................................................................474 Further Reading .......................................................................................474 Quiz ........................................................................................................475 Questions and Problems ............................................................................475 Assignment Questions ...............................................................................476 Chapter 22: Weather, Energy, and Insurance Derivatives .................................................477 22.1 Weather Derivatives .................................................................................477 22.2 Energy Derivatives ...................................................................................478 22.3 Insurance Derivatives ...............................................................................481 χ Contents Summary ................................................................................................482 Further Reading ......................................................................................483 Quiz .......................................................................................................483 Questions and Problems ...........................................................................484 Assignment Question ...............................................................................484 Chapter 23: Derivatives Mishaps and What We Can Learn from Them ...........................485 23.1 Lessons for All Users of Derivatives .........................................................485 23.2 Lessons for Financial Institutions .............................................................489 23.3 Lessons for Nonfinancial Corporations .....................................................493 Summary ................................................................................................494 Further Reading ......................................................................................494 Answers to Quiz Questions ............................................................................................497 Chapter 1 ...............................................................................................497 Chapter 2...............................................................................................498 Chapter 3...............................................................................................498 Chapter 4...............................................................................................499 Chapter 5...............................................................................................501 Chapter 6...............................................................................................501 Chapter 7...............................................................................................502 Chapter 8...............................................................................................504 Chapter 9...............................................................................................506 Chapter 10..............................................................................................506 Chapter 11..............................................................................................507 Chapter 12..............................................................................................509 Chapter 13..............................................................................................510 Chapter 14..............................................................................................512 Chapter 15..............................................................................................512 Chapter 16..............................................................................................513 Chapter 17..............................................................................................515 Chapter 18..............................................................................................515 Chapter 19..............................................................................................517 Chapter 20..............................................................................................517 Chapter 21..............................................................................................518 Chapter 22..............................................................................................519 Glossary of Terms ........................................................................................................521 DerivaGem Software ....................................................................................................537 The Options Calculator ............................................................................537 The Applications Builder .........................................................................540 Major Exchanges Trading Futures and Options ...............................................................543 Table for N(x) When χ < 0...........................................................................................544 Table for N(x) When χ Џ 0...........................................................................................545 Index ..........................................................................................................................547
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genre	(DE-588)4123623-3 Lehrbuch gnd-content
genre_facet	Lehrbuch
id	DE-604.BV035805702
illustrated	Not Illustrated
indexdate	2024-07-09T22:05:00Z
institution	BVB
isbn	9780131354180
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-018664734
oclc_num	255115981
open_access_boolean
owner	DE-473 DE-BY-UBG
owner_facet	DE-473 DE-BY-UBG
physical	XIII, 561 S. 1 CD-ROM (12 cm)
publishDate	2008
publishDateSearch	2008
publishDateSort	2008
publisher	Prentice Hall
record_format	marc
spelling	Hull, John Verfasser aut Fundamentals of futures and options markets John C. Hull 6. ed., internat. ed. Upper Saddle River, N.J. Prentice Hall 2008 XIII, 561 S. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Includes index. Futures market Options (Finance) Futures market Problems, exercises, etc Options (Finance) Problems, exercises, etc Termingeschäft (DE-588)4117190-1 gnd rswk-swf Optionsmarkt (DE-588)4381644-7 gnd rswk-swf Optionshandel (DE-588)4126185-9 gnd rswk-swf Financial Futures (DE-588)4128564-5 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Option (DE-588)4115452-6 gnd rswk-swf Terminmarkt (DE-588)4184759-3 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Financial Futures (DE-588)4128564-5 s Optionsgeschäft (DE-588)4043670-6 s Termingeschäft (DE-588)4117190-1 s 1\p DE-604 Optionsmarkt (DE-588)4381644-7 s Terminmarkt (DE-588)4184759-3 s 2\p DE-604 3\p DE-604 Option (DE-588)4115452-6 s 4\p DE-604 5\p DE-604 Optionshandel (DE-588)4126185-9 s 6\p DE-604 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018664734&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 5\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 6\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk
spellingShingle	Hull, John Fundamentals of futures and options markets Futures market Options (Finance) Futures market Problems, exercises, etc Options (Finance) Problems, exercises, etc Termingeschäft (DE-588)4117190-1 gnd Optionsmarkt (DE-588)4381644-7 gnd Optionshandel (DE-588)4126185-9 gnd Financial Futures (DE-588)4128564-5 gnd Optionsgeschäft (DE-588)4043670-6 gnd Option (DE-588)4115452-6 gnd Terminmarkt (DE-588)4184759-3 gnd
subject_GND	(DE-588)4117190-1 (DE-588)4381644-7 (DE-588)4126185-9 (DE-588)4128564-5 (DE-588)4043670-6 (DE-588)4115452-6 (DE-588)4184759-3 (DE-588)4123623-3
title	Fundamentals of futures and options markets
title_auth	Fundamentals of futures and options markets
title_exact_search	Fundamentals of futures and options markets
title_full	Fundamentals of futures and options markets John C. Hull
title_fullStr	Fundamentals of futures and options markets John C. Hull
title_full_unstemmed	Fundamentals of futures and options markets John C. Hull
title_short	Fundamentals of futures and options markets
title_sort	fundamentals of futures and options markets
topic	Futures market Options (Finance) Futures market Problems, exercises, etc Options (Finance) Problems, exercises, etc Termingeschäft (DE-588)4117190-1 gnd Optionsmarkt (DE-588)4381644-7 gnd Optionshandel (DE-588)4126185-9 gnd Financial Futures (DE-588)4128564-5 gnd Optionsgeschäft (DE-588)4043670-6 gnd Option (DE-588)4115452-6 gnd Terminmarkt (DE-588)4184759-3 gnd
topic_facet	Futures market Options (Finance) Futures market Problems, exercises, etc Options (Finance) Problems, exercises, etc Termingeschäft Optionsmarkt Optionshandel Financial Futures Optionsgeschäft Option Terminmarkt Lehrbuch
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018664734&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT hulljohn fundamentalsoffuturesandoptionsmarkets

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