Options, futures, and other derivatives:
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| Ausgabe: | Eleventh edition, global edition |
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 880 Seiten Illustrationen, Diagramme |
| ISBN: | 9781292410654 1292410655 |
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| 100 | 1 | |a Hull, John |d 1946- |0 (DE-588)109733290 |4 aut | |
| 245 | 1 | 0 | |a Options, futures, and other derivatives |c John C. Hull: Maple Financial Group Professor of Derivatives and Risk Management , Joseph L. Rotman School of Management , University of Toronto |
| 250 | |a Eleventh edition, global edition | ||
| 264 | 1 | |a Harlow, England ; London ; New York ; Boston ; San Francisco ; Toronto ; Sydney ; Dubai ; Singapore ; Hong Kong ; Tokyo ; Seoul ; Taipei ; New Delhi ; Cape Town ; Sao Paulo ; Mexico City ; Madrid ; Amsterdam ; Munich ; Paris ; Milan |b Pearson |c [2022] | |
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CONTENTS IN BRIEF 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. List of business snapshots. List of technical notes . Preface. Introduction. Futures markets and central counterparties. Hedging strategies using futures . Interest rates. Determination of forward and futures prices. Interest rate futures. Swaps. Securitization and the financia! crisis of 2007-8 . XVAs. Mechanics of options markets. Properties of stock options. Trading strategies involving options . Binomial trees. Wiener processes and Itô’s lemma . The Black-Scholes-Merton model . Employee stock options. Options on stock indices and currencies. Futures options and Black’s
model. The Greek letters. Volatility smiles and volatility surfaces. Basic numerical procedures . Value at risk and expected shortfall. Estimating volatilities and correlations. Credit risk. Credit derivatives. Exotic options. More on models and numerical procedures. Martingales and measures. Interest rate derivatives: The standard market models Convexity, timing, and quanto adjustments. Equilibrium models of the short rate. No-arbitrage models of the short rate. Modeling forward rates. . Swaps revisited. Energy and commodity derivatives. Real options. Derivatives mishaps and what we can learn from them Glossary of terms. DerivaGem software. . Exchanges trading futures and options . Table for N(x) When x ճ 0 .
Author index. Subject index . „.15 .16 .17 .23 .46 .70 .98 .124 .152 .172 .201 .216 .227 .247 .268 .288 .316 .338 .371 .384 .401 .417 ,451 .470 .514 .542 .562 .587 .614 640 .670 .688 .707 .719 .732 .755 .773 .785 802 .815 .827 .851 .856 .857 .859 .863
CONTENTS List of business snapshots. 15 List of technical notes.16 Preface .17 Chapter 1. Introduction. 23 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 1.10 Exchange-traded markets.24 Over-the-counter markets .25 Forward contracts. 28 Futures contracts . 30 Options. 31 Types of traders. 33 Hedgers . 34 Speculators . 36 Arbitrageurs .39
Dangers. 39 Summary. 41 Further reading. 41 Practice questions. 42 Chapter 2. Futures markets and centrai counterparties . 2.1 2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9 2.10 2.11 Chapter 3. Hedging strategies usingfutures---------------------------------------- 3.1 3.2 3.3 3.4 3.5 3.6 46 Background . 46 Specification of a futures contract.48 Convergence of futures price to spot price .50 The operation of margin accounts .51 OTC markets.54 Market quotes . 57 Delivery. 60 Types of traders and typesof orders . 61 Regulation
.62 Accounting and tax.63 Forward vs. futures contracts. 64 Summary. 65 Further reading. 66 Practice questions. 67 70 Basic principles . 70 Arguments for and against hedging. 72 Basis risk. 75 Cross hedging.79 Stock index futures. 84 Stack and roll.89 Summary. 90 5
6 Contents Further reading. 92 Practice questions. 93 Appendix: Capital asset pricing model.96 Chapter 4. Interest rates. 4.1 4.2 4.3 4.4 4.5 4.6 4.7 4.8 4.9 4.10 4.11 4.12 Types of rates. 98 Reference rates . 99 The risk-free rate . 101 Measuring interest rates .101 Zero rates. 104 Bond pricing.105 Determining zero rates.106 Forward rates .109 Forward rate agreements. 110
Duration. 112 Convexity.116 Theories of the term structure of interest rates.117 Summary. 119 Further reading. 120 Practice questions. 121 Chapter 5. Determination of forward and futures prices.124 5.1 5.2 5.3 5.4 5.5 5.6 5.7 5.8 5.9 5.10 5.11 5.12 5.13 5.14 Chapter 6. Interest rate futures .152 6.1 6.2 6.3 6.4 6.5 Chapter 7. Investment assets vs. consumption assets. 124 Short selling.125 Assumptions and notation. 126 Forward price for an investment asset.127 Known income. 130 Known
yield. 132 Valuing forward contracts. 133 Are forward prices and futures prices equal? .135 Futures prices of stock indices.135 Forward and futures contracts on currencies .137 Futures on commodities .141 The cost of carry. 143 Delivery options.144 Futures prices and expected future spot prices. 144 Summary. 147 Further reading. 148 Practice questions. 149 Day count and quotation conventions . 152 Treasury bond futures. 155 Eurodollar and SOFR futures. 160 Duration-based hedging
strategies using futures. 165 Hedging portfolios of assets and liabilities. 167 Summary. 168 Further reading. 168 Practice questions. 169 Swaps.172 7.1 7.2 Mechanics of interest rate swaps . 172 Determining risk-free rates.175
Contents 7 7.3 7.4 7.5 7.6 7.7 7.8 7.9 7.10 7.11 7.12 7.13 Reasons for trading interest rate swaps.176 The organization of trading .178 The comparative-advantage argument.181 Valuation of interest rate swaps. 183 How the value changes through time. 185 Fixed-for-fixed currency swaps. 186 Valuation of fixed-for-fixed currency swaps.190 Other currency swaps. 192 Credit risk. 193 Credit default swaps.193 Other types of swaps . 194 Summary.196 Further reading. 196 Practice questions.197 Chapter
8. Securitization and the financial crisis of 2007-8 .201 8.1 8.2 8.3 8.4 Securitization . 201 The U.S. housing market .205 What went wrong?. 209 The aftermath . 211 Summary.213 Further reading. 213 Practice questions. 215 Chapter 9. XVAs.216 9.1 9.2 9.3 9.4 CVA and DVA .:. 216 FVA and MVA. 219 KVA. 222 Calculation issues . 223
Summary. 224 Further reading.225 Practice questions. 226 Chapter 10. Mechanics of options markets.227 10.1 10.2 10.3 10.4 10.5 10.6 10.7 10.8 10.9 10.10 10.11 10.12 Types of options.227 Option positions. 229 Underlying assets. 231 Specification of stock options . 233 Trading. 236 Trading costs .237 Margin requirements. 237 The options clearing corporation.239 Regulation .239 Taxation
. 240 Warrants, employee stock options, and convertibles. 241 Over-the-counter options markets.242 Summary.243 Further reading. 243 Practice questions. 244 Chapter 11. Properties of stock options. 247 11.1 11.2 Factors affecting option prices. 247 Assumptions and notation. 251
8 Contents 11.3 11.4 11.5 11.6 11.7 Upper and lower bounds for option prices.252 Put-call parity. 255 Calls on a non-dividend-paying stock.257 Puts on a non-dividend-paying stock.260 Effect of dividends.262 Summary. 263 Further reading. 264 Practice questions.265 Chapter 12. Trading strategies involving options. 268 12.1 12.2 12.3 12.4 12.5 Principal-protected notes . 268 Trading an option and the underlying asset.270 Spreads.272 Combinations. 280 Other payoffs. :. 283
Summary.284 Further reading.285 Practice questions.285 Chapter 13. Binomial trees. 288 13.1 13.2 13.3 13.4 13.5 13.6 13.7 13.8 13.9 13.10 13.11 A one-step binomial model and a no-arbitrage argument.288 Risk-neutral valuation.292 Two-step binomial trees.294 A put example.297 American options. 298 Delta. 299 Matching volatility with и andd. 300 The binomial tree formulas. 302 Increasing the number of steps.302 Using
DerivaGem. 303 Options on other assets.304 Summary. 308 Further reading. 308 Practice questions. 309 Appendix: Derivation of the Black-Scholes-Merton option-pricing formula from a binomial tree. 312 Chapter 14. Wiener processes and Itô’s lemma. 316 14.1 14.2 14.3 14.4 14.5 14.6 14.7 14.8 The Markov property.316 Continuous-time stochastic processes . 317 The process for a stock price.322 The parameters.325 Correlated processes. 326 Itô’s lemma . 327 The lognormal property .328 Fractional Brownian
motion. 329 Summary. 330 Further reading. 332 Practice questions. 333 Appendix: A nonrigorous derivation of Itô’s lemma.336 Chapter 15. The Black-Scholes-Merton model. 338 15.1 15.2 Lognormal property of stock prices. 339 The distribution of the rate of return. 340
Contents 9 15.3 15.4 15.5 15.6 15.7 15.8 15.9 15.10 15.11 15.12 The expected return.341 Volatility .342 The idea underlying the Black-Scholes-Merton differential equation. 346 Derivation of the Black-Scholes-Merton differential equation . 348 Risk-neutral valuation. 351 Black-Scholes-Merton pricing formulas . 352 Cumulative normal distribution function . 355 Warrants and employee stock options. 356 Implied volatilities. 358 Dividends.360 Summary.363 Further reading.364 Practice questions. 365 Appendix: Proof of the Black-Scholes-Merton formula using risk-neutral valuation. 369 Chapter 16.
Employee stock options.371 16.1 16.2 16.3 16.4 16.5 Contractual arrangements. 371 Do options align the interests of shareholders and managers? . 373 Accounting issues. 374 Valuation. 375 The backdating scandal . 380 Summary. 381 Further reading.381 Practice questions.382 Chapter 17. Options on stock indices and currencies . 384 17.1 17.2 17.3 17.4 17.5 17.6 Options on stock indices.384 Currency options .386 Options on stocks paying known dividend yields.389 Valuation of European stock index
options. 391 Valuation of European currency options. 394 American options.395 Summary. 396 Further reading.397 Practice questions.397 Chapter 18. Futures options and Black’s model. 401 18.1 18.2 18.3 18.4 18.5 18.6 18.7 18.8 18.9 18.10 18.11 Nature of futures options.401 Reasons for the popularity of futures options. 404 European spot and futures options.404 Put-call parity. 405 Bounds for futures options.406 Drift of a futures price in a risk-neutral world .407 Black’s model for valuing futures options.408 Using Black’s model instead of Black-Scholes-Merton
. 409 Valuation of futures options using binomial trees. 410 American futures options vs. American spot options.412 Futures-style options.413 Summary. 413 Further reading. 414 Practice questions. 414
10 Contents Chapter 19. The Greek letters. . 19.1 19.2 19.3 19.4 19.5 19.6 19.7 19.8 19.9 19.10 19.11 19.12 19.13 19.14 Illustration. 417 Naked and covered positions. 418 Greek letter calculation. 420 Delta hedging.!.421 Theta.427 Gamma.429 Relationship between delta, theta, and gamma.433 Vega. 434 Rho. 436 The realities of hedging .437 Scenario analysis. 437 Extension of formulas.439 Portfolio
insurance. 441 Application of machine learning to hedging. 443 Summary. 444 Further reading.445 Practice questions. 446 Appendix: Taylor series expansions and Greek letters.450 Chapter 20. Volatility smiles and volatility surfaces. 451 20.1 20.2 20.3 20.4 20.5 20.6 20.7 20.8 Implied volatilities of calls and puts. 451 Volatility smile for foreign currency options . 453 Volatility smile for equity options. 456 Alternative ways of characterizing the volatility smile .458 The volatility term structure and volatility surfaces. 458 Minimum variance delta. 460 The role of the model. 460 When a single large jump is anticipated. 460
Summary.462 Further reading. 463 Practice questions.464 Appendix: Determining implied risk-neutral distributions from voiatility smiles.467 Chapter 21. Basic numerical procedures . 470 21.1 21.2 21.3 21.4 21.5 21.6 21.7 21.8 Binomial trees. 470 Using the binomial tree for options on indices, currencies, and futures contracts. 478 Binomial model for a dividend-paying stock.480 Alternative procedures for constructing trees.485 Time-dependent parameters.488 Monte Carlo simulation.489 Variance reduction procedures. 495 Finite difference methods.
. 498 Summary. 508 Further reading.509 Practice questions. 510 Chapter 22. Value at risk and expected shortfall .514 22.1 22.2 The VaR and ES measures.514 Historical simulation. 517
Contents 11 22.3 22.4 22.5 22.6 22.7 22.8 22.9 Model-building approach .521 The linear model. 524 The quadratic model .530 Monte Carlo simulation. 533 Comparison of approaches. 533 Backtesting. 534 Principal components analysis.534 Summary.537 Further reading. 538 Practice questions. 539 Chapter 23. Estimating volatilities and correlations. 542 23.1 23.2 23.3 23.4 23.5 23.6 23.7 Estimating volatility. 542 The exponentially weighted moving average model. 544 The GARCH(1,1) model
.546 Choosing between the models . 547 Maximum likelihood methods. 548 Using GARCH(1,1) to forecast future volatility. 553 Correlations.556 Summary. 558 Further reading. 559 Practice questions. 559 Chapter 24. Credit risk. 562 24.1 24.2 24.3 24.4 24.5 24.6 24.7 24.8 24.9 Credit ratings.562 Historical default probabilities. 563 Recovery rates. 564 Estimating default probabilities from bond yield spreads .564 Comparison of default probability estimates. 567 Using equity
prices to estimate default probabilities . 570 Credit risk in derivatives transactions .571 Default correlation. 577 Credit VaR. 580 Summary. 582 Further reading.583 Practice questions. 583 Chapter 25. Credit derivatives. 587 25.1 25.2 25.3 25.4 25.5 25.6 25.7 25.8 25.9 25.10 25.11 Credit default swaps. 588 Valuation of credit default swaps . 591 Credit indices .595 The use of fixed coupons .596 CDS forwards and options . 597 Basket credit default swaps
. 597 Total return swaps . 597 Collateralized debt obligations. 599 Role of correlation in a basket CDS and CDO.601 Valuation of a synthetic CDO. 601 Alternatives to the standard market model. 608 Summary.610 Further reading. 610 Practice questions. 611
12 Contents Chapter 26. Exotic options. (¡14 26.1 26.2 26.3 26.4 26.5 26.6 26.7 26.8 26.9 26.10 26.11 26.12 26.13 26.14 26.15 26.16 26.17 Packages. 614 Perpetual American call and put options .615 Nonstandard American options .616 Gap options . 617 Forward start options.618 Cliquet options. 618 Compound options. 618 Chooser options.619 Barrier options. . 620 Binary options.622 Lookback options. 623 Shout options.625 Asian options
.626 Options to exchange one asset for another. 627 Options involving several assets . 628 Volatility and variance swaps. 629 Static options replication .632 Summary. 634 Further reading. 635 Practice questions. :.635 Chapter 27. More on models and numerical procedures.640 27.1 27.2 27.3 27.4 27.5 27.6 27.7 27.8 Alternatives to Black-Scholes-Merton.641 Stochastic volatility models. 646 The I VF model . 649 Convertible bonds. 650 Path-dependent derivatives. 653 Barrier
options. 656 Options on two correlated assets. 658 Monte Carlo simulation and American options.660 Summary.665 Further reading. 666 Practice questions.667 Chapter 28. Martingales and measures.670 28.1 28.2 28.3 28.4 28.5 28.6 28.7 28.8 The market price of risk .671 Several state variables.674 Martingales. 675 Alternative choices for the numeraire. 676 Extension to several factors . 679 Black’s model revisited . 680 Option to exchange one asset for another.681 Change of
numeraire. 682 Summary. 684 Further reading.685 Practice questions. 685 Chapter 29. Interest rate derivatives: The standard market models.688 29.1 29.2 29.3 29.4 Bond options .688 Interest rate caps and floors . 693 European swap options. 699 Hedging interest rate derivatives.703
Contents 13 Summary. 703 Further reading.704 Practice questions.704 Chapter 30. Convexity, timing, and quanto adjustments . 707 30.1 30.2 30.3 Convexity adjustments.707 Timing adjustments. 710 Quantos. 711 Summary.!.714 Further reading.715 Practice questions. 715 Appendix: Proof of the convexity adjustment formula .718 Chapter 31. Equilibrium models of the short rate. 719 31.1 31.2 31.3 31.4 31.5 Background . 719 One-factor
models. 721 Real-world vs. risk-neutral processes.726 Estimating parameters. 727 More sophisticated models.728 Summary. 729 Further reading.729 Practice questions.729 Chapter 32. No-arbitrage models of the short rate ._ .-----.732 32.1 32.2 32.3 32.4 32.5 32.6 32.7 Extensions of equilibrium models. 732 Options on bonds.736 Volatility structures.737 Interest rate trees.738 A general tree-building procedure. 740 Calibration .749
Hedging using a one-factor model .751 Summary. 752 Further reading.752 Practice questions.752 Chapter 33. Modeling forward rates.755 33.1 33.2 33.3 The Heath, Jarrow, and Morton model .755 The BGM model.758 Agency mortgage-backed securities . 768 Summary. 770 Further reading.770 Practice questions.771 Chapter 34. Swaps revisited. 773 34.1 34.2 34.3 34.4 34.5 34.6 Variations on the vanilla deal. 773 Compounding swaps
. 775 Currency and nonstandard swaps .776 Equity swaps. 777 Swaps with embedded options. 779 Other swaps. 781 Summary.-. 782 Further reading.783 Practice questions.783
14 Contents Chapter 35. Energy and commodity derivatives .785 35.1 35.2 35.3 35.4 35.5 35.6 35.7 35.8 Agricultural commodities .785 Metals.786 Energy products. 787 Modeling commodity prices. 789 Weather derivatives. 795 Insurance derivatives . 796 Pricing weather and insurance derivatives. 797 How an energy producer can hedge risks.798 Summary. 799 Further reading.799 Practice questions. 800 Chapter 36. Real options. 802 36.1 36.2 36.3 36.4 36.5 Capital investment
appraisal. 802 Extension of the risk-neutral valuation framework. 803 Estimating the market price of risk . 805 Application to the valuation of a business 806 5682595523 Evaluating options in an investment opportunity.806 Summary.813 Further reading. 813 Practice questions.814 Chapter 37. Derivatives mishaps and what we can learn from them. 815 37.1 37.2 37.3 Lessons for all users of derivatives. 815 Lessons for financial institutions. 819 Lessons for nonfinancial corporations .824 Summary.826 Further reading. 826 Glossary of terms .827 DerivaGem
software.851 Exchanges trading futures and options.856 Table for N{x) When r ճ 0 .857 Author index. 859 Subject index.863 |
| adam_txt |
CONTENTS IN BRIEF 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. List of business snapshots. List of technical notes . Preface. Introduction. Futures markets and central counterparties. Hedging strategies using futures . Interest rates. Determination of forward and futures prices. Interest rate futures. Swaps. Securitization and the financia! crisis of 2007-8 . XVAs. Mechanics of options markets. Properties of stock options. Trading strategies involving options . Binomial trees. Wiener processes and Itô’s lemma . The Black-Scholes-Merton model . Employee stock options. Options on stock indices and currencies. Futures options and Black’s
model. The Greek letters. Volatility smiles and volatility surfaces. Basic numerical procedures . Value at risk and expected shortfall. Estimating volatilities and correlations. Credit risk. Credit derivatives. Exotic options. More on models and numerical procedures. Martingales and measures. Interest rate derivatives: The standard market models Convexity, timing, and quanto adjustments. Equilibrium models of the short rate. No-arbitrage models of the short rate. Modeling forward rates. . Swaps revisited. Energy and commodity derivatives. Real options. Derivatives mishaps and what we can learn from them Glossary of terms. DerivaGem software. . Exchanges trading futures and options . Table for N(x) When x ճ 0 .
Author index. Subject index . „.15 .16 .17 .23 .46 .70 .98 .124 .152 .172 .201 .216 .227 .247 .268 .288 .316 .338 .371 .384 .401 .417 ,451 .470 .514 .542 .562 .587 .614 640 .670 .688 .707 .719 .732 .755 .773 .785 802 .815 .827 .851 .856 .857 .859 .863
CONTENTS List of business snapshots. 15 List of technical notes.16 Preface .17 Chapter 1. Introduction. 23 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 1.10 Exchange-traded markets.24 Over-the-counter markets .25 Forward contracts. 28 Futures contracts . 30 Options. 31 Types of traders. 33 Hedgers . 34 Speculators . 36 Arbitrageurs .39
Dangers. 39 Summary. 41 Further reading. 41 Practice questions. 42 Chapter 2. Futures markets and centrai counterparties . 2.1 2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9 2.10 2.11 Chapter 3. Hedging strategies usingfutures---------------------------------------- 3.1 3.2 3.3 3.4 3.5 3.6 46 Background . 46 Specification of a futures contract.48 Convergence of futures price to spot price .50 The operation of margin accounts .51 OTC markets.54 Market quotes . 57 Delivery. 60 Types of traders and typesof orders . 61 Regulation
.62 Accounting and tax.63 Forward vs. futures contracts. 64 Summary. 65 Further reading. 66 Practice questions. 67 70 Basic principles . 70 Arguments for and against hedging. 72 Basis risk. 75 Cross hedging.79 Stock index futures. 84 Stack and roll.89 Summary. 90 5
6 Contents Further reading. 92 Practice questions. 93 Appendix: Capital asset pricing model.96 Chapter 4. Interest rates. 4.1 4.2 4.3 4.4 4.5 4.6 4.7 4.8 4.9 4.10 4.11 4.12 Types of rates. 98 Reference rates . 99 The risk-free rate . 101 Measuring interest rates .101 Zero rates. 104 Bond pricing.105 Determining zero rates.106 Forward rates .109 Forward rate agreements. 110
Duration. 112 Convexity.116 Theories of the term structure of interest rates.117 Summary. 119 Further reading. 120 Practice questions. 121 Chapter 5. Determination of forward and futures prices.124 5.1 5.2 5.3 5.4 5.5 5.6 5.7 5.8 5.9 5.10 5.11 5.12 5.13 5.14 Chapter 6. Interest rate futures .152 6.1 6.2 6.3 6.4 6.5 Chapter 7. Investment assets vs. consumption assets. 124 Short selling.125 Assumptions and notation. 126 Forward price for an investment asset.127 Known income. 130 Known
yield. 132 Valuing forward contracts. 133 Are forward prices and futures prices equal? .135 Futures prices of stock indices.135 Forward and futures contracts on currencies .137 Futures on commodities .141 The cost of carry. 143 Delivery options.144 Futures prices and expected future spot prices. 144 Summary. 147 Further reading. 148 Practice questions. 149 Day count and quotation conventions . 152 Treasury bond futures. 155 Eurodollar and SOFR futures. 160 Duration-based hedging
strategies using futures. 165 Hedging portfolios of assets and liabilities. 167 Summary. 168 Further reading. 168 Practice questions. 169 Swaps.172 7.1 7.2 Mechanics of interest rate swaps . 172 Determining risk-free rates.175
Contents 7 7.3 7.4 7.5 7.6 7.7 7.8 7.9 7.10 7.11 7.12 7.13 Reasons for trading interest rate swaps.176 The organization of trading .178 The comparative-advantage argument.181 Valuation of interest rate swaps. 183 How the value changes through time. 185 Fixed-for-fixed currency swaps. 186 Valuation of fixed-for-fixed currency swaps.190 Other currency swaps. 192 Credit risk. 193 Credit default swaps.193 Other types of swaps . 194 Summary.196 Further reading. 196 Practice questions.197 Chapter
8. Securitization and the financial crisis of 2007-8 .201 8.1 8.2 8.3 8.4 Securitization . 201 The U.S. housing market .205 What went wrong?. 209 The aftermath . 211 Summary.213 Further reading. 213 Practice questions. 215 Chapter 9. XVAs.216 9.1 9.2 9.3 9.4 CVA and DVA .:. 216 FVA and MVA. 219 KVA. 222 Calculation issues . 223
Summary. 224 Further reading.225 Practice questions. 226 Chapter 10. Mechanics of options markets.227 10.1 10.2 10.3 10.4 10.5 10.6 10.7 10.8 10.9 10.10 10.11 10.12 Types of options.227 Option positions. 229 Underlying assets. 231 Specification of stock options . 233 Trading. 236 Trading costs .237 Margin requirements. 237 The options clearing corporation.239 Regulation .239 Taxation
. 240 Warrants, employee stock options, and convertibles. 241 Over-the-counter options markets.242 Summary.243 Further reading. 243 Practice questions. 244 Chapter 11. Properties of stock options. 247 11.1 11.2 Factors affecting option prices. 247 Assumptions and notation. 251
8 Contents 11.3 11.4 11.5 11.6 11.7 Upper and lower bounds for option prices.252 Put-call parity. 255 Calls on a non-dividend-paying stock.257 Puts on a non-dividend-paying stock.260 Effect of dividends.262 Summary. 263 Further reading. 264 Practice questions.265 Chapter 12. Trading strategies involving options. 268 12.1 12.2 12.3 12.4 12.5 Principal-protected notes . 268 Trading an option and the underlying asset.270 Spreads.272 Combinations. 280 Other payoffs. :. 283
Summary.284 Further reading.285 Practice questions.285 Chapter 13. Binomial trees. 288 13.1 13.2 13.3 13.4 13.5 13.6 13.7 13.8 13.9 13.10 13.11 A one-step binomial model and a no-arbitrage argument.288 Risk-neutral valuation.292 Two-step binomial trees.294 A put example.297 American options. 298 Delta. 299 Matching volatility with и andd. 300 The binomial tree formulas. 302 Increasing the number of steps.302 Using
DerivaGem. 303 Options on other assets.304 Summary. 308 Further reading. 308 Practice questions. 309 Appendix: Derivation of the Black-Scholes-Merton option-pricing formula from a binomial tree. 312 Chapter 14. Wiener processes and Itô’s lemma. 316 14.1 14.2 14.3 14.4 14.5 14.6 14.7 14.8 The Markov property.316 Continuous-time stochastic processes . 317 The process for a stock price.322 The parameters.325 Correlated processes. 326 Itô’s lemma . 327 The lognormal property .328 Fractional Brownian
motion. 329 Summary. 330 Further reading. 332 Practice questions. 333 Appendix: A nonrigorous derivation of Itô’s lemma.336 Chapter 15. The Black-Scholes-Merton model. 338 15.1 15.2 Lognormal property of stock prices. 339 The distribution of the rate of return. 340
Contents 9 15.3 15.4 15.5 15.6 15.7 15.8 15.9 15.10 15.11 15.12 The expected return.341 Volatility .342 The idea underlying the Black-Scholes-Merton differential equation. 346 Derivation of the Black-Scholes-Merton differential equation . 348 Risk-neutral valuation. 351 Black-Scholes-Merton pricing formulas . 352 Cumulative normal distribution function . 355 Warrants and employee stock options. 356 Implied volatilities. 358 Dividends.360 Summary.363 Further reading.364 Practice questions. 365 Appendix: Proof of the Black-Scholes-Merton formula using risk-neutral valuation. 369 Chapter 16.
Employee stock options.371 16.1 16.2 16.3 16.4 16.5 Contractual arrangements. 371 Do options align the interests of shareholders and managers? . 373 Accounting issues. 374 Valuation. 375 The backdating scandal . 380 Summary. 381 Further reading.381 Practice questions.382 Chapter 17. Options on stock indices and currencies . 384 17.1 17.2 17.3 17.4 17.5 17.6 Options on stock indices.384 Currency options .386 Options on stocks paying known dividend yields.389 Valuation of European stock index
options. 391 Valuation of European currency options. 394 American options.395 Summary. 396 Further reading.397 Practice questions.397 Chapter 18. Futures options and Black’s model. 401 18.1 18.2 18.3 18.4 18.5 18.6 18.7 18.8 18.9 18.10 18.11 Nature of futures options.401 Reasons for the popularity of futures options. 404 European spot and futures options.404 Put-call parity. 405 Bounds for futures options.406 Drift of a futures price in a risk-neutral world .407 Black’s model for valuing futures options.408 Using Black’s model instead of Black-Scholes-Merton
. 409 Valuation of futures options using binomial trees. 410 American futures options vs. American spot options.412 Futures-style options.413 Summary. 413 Further reading. 414 Practice questions. 414
10 Contents Chapter 19. The Greek letters. . 19.1 19.2 19.3 19.4 19.5 19.6 19.7 19.8 19.9 19.10 19.11 19.12 19.13 19.14 Illustration. 417 Naked and covered positions. 418 Greek letter calculation. 420 Delta hedging.!.421 Theta.427 Gamma.429 Relationship between delta, theta, and gamma.433 Vega. 434 Rho. 436 The realities of hedging .437 Scenario analysis. 437 Extension of formulas.439 Portfolio
insurance. 441 Application of machine learning to hedging. 443 Summary. 444 Further reading.445 Practice questions. 446 Appendix: Taylor series expansions and Greek letters.450 Chapter 20. Volatility smiles and volatility surfaces. 451 20.1 20.2 20.3 20.4 20.5 20.6 20.7 20.8 Implied volatilities of calls and puts. 451 Volatility smile for foreign currency options . 453 Volatility smile for equity options. 456 Alternative ways of characterizing the volatility smile .458 The volatility term structure and volatility surfaces. 458 Minimum variance delta. 460 The role of the model. 460 When a single large jump is anticipated. 460
Summary.462 Further reading. 463 Practice questions.464 Appendix: Determining implied risk-neutral distributions from voiatility smiles.467 Chapter 21. Basic numerical procedures . 470 21.1 21.2 21.3 21.4 21.5 21.6 21.7 21.8 Binomial trees. 470 Using the binomial tree for options on indices, currencies, and futures contracts. 478 Binomial model for a dividend-paying stock.480 Alternative procedures for constructing trees.485 Time-dependent parameters.488 Monte Carlo simulation.489 Variance reduction procedures. 495 Finite difference methods.
. 498 Summary. 508 Further reading.509 Practice questions. 510 Chapter 22. Value at risk and expected shortfall .514 22.1 22.2 The VaR and ES measures.514 Historical simulation. 517
Contents 11 22.3 22.4 22.5 22.6 22.7 22.8 22.9 Model-building approach .521 The linear model. 524 The quadratic model .530 Monte Carlo simulation. 533 Comparison of approaches. 533 Backtesting. 534 Principal components analysis.534 Summary.537 Further reading. 538 Practice questions. 539 Chapter 23. Estimating volatilities and correlations. 542 23.1 23.2 23.3 23.4 23.5 23.6 23.7 Estimating volatility. 542 The exponentially weighted moving average model. 544 The GARCH(1,1) model
.546 Choosing between the models . 547 Maximum likelihood methods. 548 Using GARCH(1,1) to forecast future volatility. 553 Correlations.556 Summary. 558 Further reading. 559 Practice questions. 559 Chapter 24. Credit risk. 562 24.1 24.2 24.3 24.4 24.5 24.6 24.7 24.8 24.9 Credit ratings.562 Historical default probabilities. 563 Recovery rates. 564 Estimating default probabilities from bond yield spreads .564 Comparison of default probability estimates. 567 Using equity
prices to estimate default probabilities . 570 Credit risk in derivatives transactions .571 Default correlation. 577 Credit VaR. 580 Summary. 582 Further reading.583 Practice questions. 583 Chapter 25. Credit derivatives. 587 25.1 25.2 25.3 25.4 25.5 25.6 25.7 25.8 25.9 25.10 25.11 Credit default swaps. 588 Valuation of credit default swaps . 591 Credit indices .595 The use of fixed coupons .596 CDS forwards and options . 597 Basket credit default swaps
. 597 Total return swaps . 597 Collateralized debt obligations. 599 Role of correlation in a basket CDS and CDO.601 Valuation of a synthetic CDO. 601 Alternatives to the standard market model. 608 Summary.610 Further reading. 610 Practice questions. 611
12 Contents Chapter 26. Exotic options. (¡14 26.1 26.2 26.3 26.4 26.5 26.6 26.7 26.8 26.9 26.10 26.11 26.12 26.13 26.14 26.15 26.16 26.17 Packages. 614 Perpetual American call and put options .615 Nonstandard American options .616 Gap options . 617 Forward start options.618 Cliquet options. 618 Compound options. 618 Chooser options.619 Barrier options. . 620 Binary options.622 Lookback options. 623 Shout options.625 Asian options
.626 Options to exchange one asset for another. 627 Options involving several assets . 628 Volatility and variance swaps. 629 Static options replication .632 Summary. 634 Further reading. 635 Practice questions. :.635 Chapter 27. More on models and numerical procedures.640 27.1 27.2 27.3 27.4 27.5 27.6 27.7 27.8 Alternatives to Black-Scholes-Merton.641 Stochastic volatility models. 646 The I VF model . 649 Convertible bonds. 650 Path-dependent derivatives. 653 Barrier
options. 656 Options on two correlated assets. 658 Monte Carlo simulation and American options.660 Summary.665 Further reading. 666 Practice questions.667 Chapter 28. Martingales and measures.670 28.1 28.2 28.3 28.4 28.5 28.6 28.7 28.8 The market price of risk .671 Several state variables.674 Martingales. 675 Alternative choices for the numeraire. 676 Extension to several factors . 679 Black’s model revisited . 680 Option to exchange one asset for another.681 Change of
numeraire. 682 Summary. 684 Further reading.685 Practice questions. 685 Chapter 29. Interest rate derivatives: The standard market models.688 29.1 29.2 29.3 29.4 Bond options .688 Interest rate caps and floors . 693 European swap options. 699 Hedging interest rate derivatives.703
Contents 13 Summary. 703 Further reading.704 Practice questions.704 Chapter 30. Convexity, timing, and quanto adjustments . 707 30.1 30.2 30.3 Convexity adjustments.707 Timing adjustments. 710 Quantos. 711 Summary.!.714 Further reading.715 Practice questions. 715 Appendix: Proof of the convexity adjustment formula .718 Chapter 31. Equilibrium models of the short rate. 719 31.1 31.2 31.3 31.4 31.5 Background . 719 One-factor
models. 721 Real-world vs. risk-neutral processes.726 Estimating parameters. 727 More sophisticated models.728 Summary. 729 Further reading.729 Practice questions.729 Chapter 32. No-arbitrage models of the short rate ._ .-----.732 32.1 32.2 32.3 32.4 32.5 32.6 32.7 Extensions of equilibrium models. 732 Options on bonds.736 Volatility structures.737 Interest rate trees.738 A general tree-building procedure. 740 Calibration .749
Hedging using a one-factor model .751 Summary. 752 Further reading.752 Practice questions.752 Chapter 33. Modeling forward rates.755 33.1 33.2 33.3 The Heath, Jarrow, and Morton model .755 The BGM model.758 Agency mortgage-backed securities . 768 Summary. 770 Further reading.770 Practice questions.771 Chapter 34. Swaps revisited. 773 34.1 34.2 34.3 34.4 34.5 34.6 Variations on the vanilla deal. 773 Compounding swaps
. 775 Currency and nonstandard swaps .776 Equity swaps. 777 Swaps with embedded options. 779 Other swaps. 781 Summary.-. 782 Further reading.783 Practice questions.783
14 Contents Chapter 35. Energy and commodity derivatives .785 35.1 35.2 35.3 35.4 35.5 35.6 35.7 35.8 Agricultural commodities .785 Metals.786 Energy products. 787 Modeling commodity prices. 789 Weather derivatives. 795 Insurance derivatives . 796 Pricing weather and insurance derivatives. 797 How an energy producer can hedge risks.798 Summary. 799 Further reading.799 Practice questions. 800 Chapter 36. Real options. 802 36.1 36.2 36.3 36.4 36.5 Capital investment
appraisal. 802 Extension of the risk-neutral valuation framework. 803 Estimating the market price of risk . 805 Application to the valuation of a business 806 5682595523 Evaluating options in an investment opportunity.806 Summary.813 Further reading. 813 Practice questions.814 Chapter 37. Derivatives mishaps and what we can learn from them. 815 37.1 37.2 37.3 Lessons for all users of derivatives. 815 Lessons for financial institutions. 819 Lessons for nonfinancial corporations .824 Summary.826 Further reading. 826 Glossary of terms .827 DerivaGem
software.851 Exchanges trading futures and options.856 Table for N{x) When r ճ 0 .857 Author index. 859 Subject index.863 |
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| id | DE-604.BV047364213 |
| illustrated | Illustrated |
| index_date | 2024-07-03T17:42:16Z |
| indexdate | 2024-11-05T04:01:35Z |
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| isbn | 9781292410654 1292410655 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032766128 |
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| physical | 880 Seiten Illustrationen, Diagramme |
| publishDate | 2022 |
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| spellingShingle | Hull, John 1946- Options, futures, and other derivatives Futures Stock options Derivative securities Optionspreistheorie (DE-588)4135346-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Financial Futures (DE-588)4128564-5 gnd Optionsgeschäft (DE-588)4043670-6 gnd Optionshandel (DE-588)4126185-9 gnd |
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| title | Options, futures, and other derivatives |
| title_auth | Options, futures, and other derivatives |
| title_exact_search | Options, futures, and other derivatives |
| title_exact_search_txtP | Options, futures, and other derivatives |
| title_full | Options, futures, and other derivatives John C. Hull: Maple Financial Group Professor of Derivatives and Risk Management , Joseph L. Rotman School of Management , University of Toronto |
| title_fullStr | Options, futures, and other derivatives John C. Hull: Maple Financial Group Professor of Derivatives and Risk Management , Joseph L. Rotman School of Management , University of Toronto |
| title_full_unstemmed | Options, futures, and other derivatives John C. Hull: Maple Financial Group Professor of Derivatives and Risk Management , Joseph L. Rotman School of Management , University of Toronto |
| title_short | Options, futures, and other derivatives |
| title_sort | options futures and other derivatives |
| topic | Futures Stock options Derivative securities Optionspreistheorie (DE-588)4135346-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Financial Futures (DE-588)4128564-5 gnd Optionsgeschäft (DE-588)4043670-6 gnd Optionshandel (DE-588)4126185-9 gnd |
| topic_facet | Futures Stock options Derivative securities Optionspreistheorie Derivat Wertpapier Financial Futures Optionsgeschäft Optionshandel Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032766128&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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Inhaltsverzeichnis
THWS Schweinfurt Zentralbibliothek Lesesaal
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