《Options, futures, and other》
John C. Hull · PDF · 929 页
赫尔《期权、期货及其他衍生产品》，929 页 / 514 条书签，有文字层。
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目录
Cover
About Pearson
Title Page
Copyright Page
Detication Page
CONTENTS IN BRIEF
Contents
BUSINESS SNAPSHOTS
TECHNICAL NOTES
Preface
What’s New in the Tenth Edition?
Software
Instructor Resources
Acknowledgments
About the Author
About the Adapter
Chapter 1 - Introduction
1.1 EXCHANGE-TRADED MARKETS
1.2 OVER-THE-COUNTER MARKETS
1.3 FORWARD CONTRACTS
1.4 FUTURES CONTRACTS
1.5 OPTIONS
1.6 TYPES OF TRADERS
1.7 HEDGERS
1.8 SPECULATORS
1.9 ARBITRAGEURS
1.10 OVERVIEW OF THE INDIAN DERIVATIVES MARKET
1.11 DANGERS
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 2 - Futures Markets and Central Counterparties
2.1 BACKGROUND
2.2 SPECIFICATION OF A FUTURES CONTRACT
2.3 CONVERGENCE OF FUTURES PRICE TO SPOT PRICE
2.4 THE OPERATION OF MARGIN ACCOUNTS
2.5 OTC MARKETS
2.6 NEWSPAPER QUOTES
2.7 DELIVERY
2.8 TYPES OF TRADERS AND TYPES OF ORDERS
2.9 REGULATION
2.10 ACCOUNTING AND TAX
2.11 FORWARD vs. FUTURES CONTRACTS
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 3 - Hedging Strategies Using Futures
3.1 BASIC PRINCIPLES
3.2 ARGUMENTS FOR AND AGAINST HEDGING
3.3 BASIS RISK
3.4 CROSS HEDGING
3.5 STOCK INDEX FUTURES
3.6 STACK AND ROLL
SUMMARY
FURTHER READING
Practice Questions
Further Questions
APPENDIX : CAPITAL ASSET PRICING MODEL
Chapter 4 - Interest Rates
4.1 TYPES OF RATES
4.2 SWAP RATES
4.3 THE RISK-FREE RATE
4.4 MEASURING INTEREST RATES
4.5 ZERO RATES
4.6 BOND PRICING
4.7 DETERMINING ZERO RATES
4.8 FORWARD RATES
4.9 FORWARD RATE AGREEMENTS
4.10 DURATION
4.11 CONVEXITY
4.12 THEORIES OF THE TERM STRUCTURE OF INTEREST RATES
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 5 - Determination of Forward and Futures Prices
5.1 INVESTMENT ASSETS vs. CONSUMPTION ASSETS
5.2 SHORT SELLING
5.3 ASSUMPTIONS AND NOTATION
5.4 FORWARD PRICE FOR AN INVESTMENT ASSET
5.5 KNOWN INCOME
5.6 KNOWN YIELD
5.7 VALUING FORWARD CONTRACTS
5.8 ARE FORWARD PRICES AND FUTURES PRICES EQUAL?
5.9 FUTURES PRICES OF STOCK INDICES
5.10 FORWARD AND FUTURES CONTRACTS ON CURRENCIES
5.11 FUTURES ON COMMODITIES
5.12 THE COST OF CARRY
5.13 DELIVERY OPTIONS
5.14 FUTURES PRICES AND EXPECTED FUTURE SPOT PRICES
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 6 - Interest Rate Futures
6.1 DAY COUNT AND QUOTATION CONVENTIONS
6.2 TREASURY BOND FUTURES
6.3 EURODOLLAR FUTURES
6.4 DURATION-BASED HEDGING STRATEGIES USING FUTURES
6.5 HEDGING PORTFOLIOS OF ASSETS AND LIABILITIES
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 7 - Swaps
7.1 MECHANICS OF INTEREST RATE SWAPS
7.2 DAY COUNT ISSUES
7.3 CONFIRMATIONS
7.4 THE COMPARATIVE-ADVANTAGE ARGUMENT
7.5 VALUATION OF INTEREST RATE SWAPS
7.6 HOW THE VALUE CHANGES THROUGH TIME
7.7 FIXED-FOR-FIXED CURRENCY SWAPS
7.8 VALUATION OF FIXED-FOR-FIXED CURRENCY SWAPS
7.9 OTHER CURRENCY SWAPS
7.10 CREDIT RISK
7.11 CREDIT DEFAULT SWAPS
7.12 OTHER TYPES OF SWAPS
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 8 - Securitization and the Credit Crisis of 2007
8.1 SECURITIZATION
8.2 THE U.S. HOUSING MARKET
8.3 WHAT WENT WRONG?
8.4 THE AFTERMATH
8.5 IMPACT OF THE CRISIS IN INDIA
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 9 - XVAs
9.1 CVA AND DVA
9.2 FVA AND MVA
9.3 KVA
9.4 CALCULATION ISSUES
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 10 - Mechanics of Options Markets
10.1 TYPES OF OPTIONS
10.2 OPTION POSITIONS
10.3 UNDERLYING ASSETS
10.4 SPECIFICATION OF STOCK OPTIONS
10.5 TRADING
10.6 COMMISSIONS
10.7 MARGIN REQUIREMENTS
10.8 THE OPTIONS CLEARING CORPORATION
10.9 REGULATION
10.10 TAXATION
10.11 WARRANTS, EMPLOYEE STOCK OPTIONS, AND CONVERTIBLES
10.12 OVER-THE-COUNTER OPTIONS MARKETS
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 11 - Properties of Stock Options
11.1 FACTORS AFFECTING OPTION PRICES
11.2 ASSUMPTIONS AND NOTATION
11.3 UPPER AND LOWER BOUNDS FOR OPTION PRICES
11.4 PUT–CALL PARITY
11.5 CALLS ON A NON-DIVIDEND-PAYING STOCK
11.6 PUTS ON A NON-DIVIDEND-PAYING STOCK
11.7 EFFECT OF DIVIDENDS
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 12 - Trading Strategies Involving Options
12.1 PRINCIPAL-PROTECTED NOTES
12.2 TRADING AN OPTION AND THE UNDERLYING ASSET
12.3 SPREADS
12.4 COMBINATIONS
12.5 OTHER PAYOFFS
SUMMARY
FURTHER READING
Practice Questions
Further Questions
Chapter 13 - Binomial Trees
13.1 A ONE-STEP BINOMIAL MODEL AND A NO-ARBITRAGE ARGUMENT
13.2 RISK-NEUTRAL VALUATION
13.3 TWO-STEP BINOMIAL TREES
13.4 A PUT EXAMPLE
13.5 AMERICAN OPTIONS
13.6 DELTA
13.7 MATCHING VOLATILITY WITH u AND d
13.8 THE BINOMIAL TREE FORMULAS
13.9 INCREASING THE NUMBER OF STEPS
13.10 USING DerivaGem
13.11 OPTIONS ON OTHER ASSETS
SUMMARY
FURTHER READING
Practice Questions
Further Questions
APPENDIX : DERIVATION OF THE BLACK–SCHOLES–MERTON OPTION-PRICING FORMULA FROM A BINOMIAL TREE
Chapter 14 - Wiener Processesand Itoˆ ’s Lemma
14.1 THE MARKOV PROPERTY
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