Verfügbarkeit: Options, futures, and other derivatives

Options, futures, and other derivatives:

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Bibliographische Detailangaben
Beteilige Person:	Hull, John 1946- (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Boston [u.a.] Pearson 2012
Ausgabe:	8. ed., global ed.
Schlagwörter:	Futures Stock options Derivative securities Optionspreistheorie Termingeschäft Optionsmarkt Option Diskette Stochastik Finanzmathematik Derivat > Wertpapier Optionshandel Financial Futures Optionsgeschäft Aufgabensammlung
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021159550&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Beschreibung:	CD-ROM u.d.T.: DerivaGem Software Includes bibliographical references and index
Umfang:	XXI, 847 S. Ill., graph. Darst. 1 CD-ROM (12 cm)
ISBN:	9780273759072 0273759078 9780132165112

Internformat

MARC


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adam_text	Contents List of Business Snapshots ..............................................................................xvii List of Technical Notes .................................................................................xviii Preface .......................................................................................................xix Chapter 1. Introduction ....................................................................................................1 1.1 Exchange-traded markets ........................................................................2 1.2 Over-the-counter markets ........................................................................3 1.3 Forward contracts ..................................................................................5 1.4 Futures contracts ...................................................................................7 1.5 Options ................................................................................................7 1.6 Types of traders .....................................................................................9 1.7 Hedgers .............................................................................................. 10 1.8 Speculators ......................................................................................... 13 1.9 Arbitrageurs ........................................................................................ 15 1.10 Dangers ............................................................................................. 16 Summary ............................................................................................ 16 Further reading ................................................................................... 18 Practice questions ................................................................................. 18 Further questions .................................................................................20 Chapter 2. Mechanics of futures markets ...........................................................................22 2.1 Background ........................................................................................22 2.2 Specification of a futures contract ...........................................................24 2.3 Convergence of futures price to spot price ...............................................26 2.4 The operation of margins ......................................................................27 2.5 OTC markets ......................................................................................30 2.6 Market quotes .....................................................................................33 2.7 Delivery ............................................................................................. 36 2.8 Types of traders and types of orders .......................................................37 2.9 Regulation ..........................................................................................38 2.10 Accounting and tax ..............................................................................39 2.11 Forward vs. futures contracts .................................................................41 Summary ............................................................................................42 Further reading ...................................................................................43 Practice questions .................................................................................43 Further questions .................................................................................45 Chapter 3. Hedging strategies using futures ........................................................................47 3.1 Basic principles ....................................................................................47 3.2 Arguments for and against hedging ........................................................49 3.3 Basis risk ............................................................................................52 3.4 Cross hedging ..................................................................................... 56 vii viii Contents 3 .5 Stock index futures ...............................................................................60 3.6 Stack and roll ......................................................................................65 Summary ............................................................................................67 Further reading ....................................................................................68 Practice questions .................................................................................69 Further questions .................................................................................71 Appendix: Capital asset pricing model ....................................................73 Chapter 4. Interest rates .................................................................................................75 4.1 Types of rates ......................................................................................75 4.2 Measuring interest rates ........................................................................77 4.3 Zero rates ...........................................................................................80 4.4 Bond pricing .......................................................................................80 4.5 Determining Treasury zero rates .............................................................82 4.6 Forward rates ......................................................................................84 4.7 Forward rate agreements .......................................................................86 4.8 Duration .............................................................................................89 4.9 Convexity ............................................................................................92 4.10 Theories of the term structure of interest rates ..........................................93 Summary ............................................................................................96 Further reading ....................................................................................97 Practice questions .................................................................................97 Further questions .................................................................................99 Chapter 5. Determination of forward and futures prices ...................................................... 101 5.1 Investment assets vs. consumption assets ............................................... 101 5.2 Short selling ...................................................................................... 102 5.3 Assumptions and notation ................................................................... 103 5.4 Forward price for an investment asset ................................................... 104 5.5 Known income .................................................................................. 107 5.6 Known yield ...................................................................................... 109 5.7 Valuing forward contracts ................................................................... 109 5.8 Are forward prices and futures prices equal? .......................................... Ill 5.9 Futures prices of stock indices .............................................................. 112 5.10 Forward and futures contracts on currencies .......................................... 114 5.11 Futures on commodities ...................................................................... 117 5.12 The cost of carry ................................................................................ 120 5.13 Delivery options ................................................................................. 121 5.14 Futures prices and the expected future spot price .................................... 121 Summary .......................................................................................... 123 Further reading .................................................................................. 125 Practice questions ............................................................................... 125 Further questions ............................................................................... 127 Chapter 6. Interest rate futures ...................................................................................... 129 6.1 Day count and quotation conventions ................................................... 129 6.2 Treasury bond futures ......................................................................... 132 6.3 Eurodollar futures .............................................................................. 137 6.4 Duration-based hedging strategies using futures ...................................... 142 6.5 Hedging portfolios of assets and liabilities ............................................. 143 Summary .......................................................................................... 144 Further reading .................................................................................. 145 Practice questions ............................................................................... 145 Further questions ............................................................................... 147 Contents ix Chapter 7. Swaps .........................................................................................................148 7.1 Mechanics of interest rate swaps ...........................................................148 7.2 Day count issues .................................................................................154 7.3 Confirmations ....................................................................................155 7.4 The comparative-advantage argument ....................................................156 7.5 The nature of swap rates ......................................................................158 7.6 Determining the LIBOR/swap zero rates ................................................159 7.7 Valuation of interest rate swaps .............................................................160 7.8 Overnight indexed swaps ......................................................................164 7.9 Currency swaps ..................................................................................165 7.10 Valuation of currency swaps .................................................................168 7.11 Credit risk .........................................................................................171 7.12 Other types of swaps ...........................................................................173 Summary ...........................................................................................175 Further reading ..................................................................................176 Practice questions ................................................................................176 Further questions ................................................................................178 Chapter 8. Securitization and the Credit Crisis of 2007.......................................................180 8.1 Securitization .....................................................................................180 8.2 The US housing market .......................................................................184 8.3 What went wrong? ..............................................................................188 8.4 The aftermath ....................................................................................190 Summary ...........................................................................................191 Further reading ..................................................................................192 Practice questions ................................................................................193 Further questions ................................................................................193 Chapter 9. Mechanics of options markets .........................................................................194 9.1 Types of options .................................................................................194 9.2 Option positions .................................................................................196 9.3 Underlying assets ................................................................................198 9.4 Specification of stock options ...............................................................199 9.5 Trading .............................................................................................203 9.6 Commissions ......................................................................................204 9.7 Margins ............................................................................................205 9.8 The options clearing corporation ...........................................................206 9.9 Regulation .........................................................................................207 9.10 Taxation ............................................................................................207 9.11 Warrants, employee stock options, and convertibles .................................209 9.12 Over-the-counter markets .....................................................................210 Summary ...........................................................................................210 Further reading ..................................................................................211 Practice questions ................................................................................211 Further questions ................................................................................213 Chapter 10. Properties of stock options .............................................................................214 10.1 Factors affecting option prices ..............................................................214 10.2 Assumptions and notation ...................................................................218 10.3 Upper and lower bounds for option prices ..............................................218 10.4 Put-call parity ...................................................................................221 10.5 Calls on a non-dividend-paying stock ....................................................225 10.6 Puts on a non-dividend-paying stock .....................................................226 10.7 Effect of dividends ..............................................................................229 χ Contents Summary ..........................................................................................230 Further reading ..................................................................................231 Practice questions ...............................................................................231 Further questions ...............................................................................233 Chapter 11. Trading strategies involving options ..................................................................234 11.1 Principal-protected notes .....................................................................234 11.2 Trading an option and the underlying asset ...........................................236 11.3 Spreads .............................................................................................238 11.4 Combinations ....................................................................................246 11.5 Other payoffs .....................................................................................249 Summary ..........................................................................................249 Further reading ..................................................................................250 Practice questions ...............................................................................250 Further questions ...............................................................................252 Chapter 12. Binomial trees .............................................................................................253 12.1 A one-step binomial model and a no-arbitrage argument .........................253 12.2 Risk-neutral valuation .........................................................................257 12.3 Two-step binomial trees ......................................................................259 12.4 A put example ...................................................................................262 12.5 American options ...............................................................................263 12.6 Delta ................................................................................................264 12.7 Matching volatility with и and d ..........................................................265 12.8 The binomial tree formulas ..................................................................267 12.9 Increasing the number of steps .............................................................268 12.10 Using DerivaGem ..............................................................................269 12.11 Options on other assets .......................................................................269 Summary .......................................................................................... 272 Further reading .................................................................................. 273 Practice questions ...............................................................................274 Further questions ...............................................................................275 Appendix: Derivation of the Black-Scholes-Merton option-pricing formula from a binomial tree ................................................276 Chapter 13. Wiener processes and Itô s lemma ...................................................................280 13.1 The Markov property .........................................................................280 13.2 Continuous-time stochastic processes .....................................................281 13.3 The process for a stock price ...............................................................286 13.4 The parameters ..................................................................................289 13.5 Correlated processes ...........................................................................290 13.6 Itô s lemma .......................................................................................291 13.7 The lognormal property ......................................................................292 Summary ..........................................................................................293 Further reading ..................................................................................294 Practice questions ...............................................................................294 Further questions ...............................................................................295 Appendix: Derivation of Itô s lemma ....................................................297 Chapter 14. The Black-Scholes-Merton model ..................................................................299 14.1 Lognormal property of stock prices ......................................................300 14.2 The distribution of the rate of return .................................................... 301 14.3 The expected return ............................................................................ 302 14.4 Volatility ........................................................................................... 303 14.5 The idea underlying the Black-Scholes-Merton differential equation .........307 Contents xi 14.6 Derivation of the Black-Scholes-Merton differential equation ..................309 14.7 Risk-neutral valuation .........................................................................311 14.8 Black-Scholes-Merton pricing formulas ................................................313 14.9 Cumulative normal distribution function ................................................315 14.10 Warrants and employee stock options ....................................................316 14.11 Implied volatilities ...............................................................................318 14.12 Dividends ..........................................................................................320 Summary ...........................................................................................323 Further reading ..................................................................................324 Practice questions ................................................................................325 Further questions ................................................................................328 Appendix: Proof of Black-Scholes-Merton formula using risk-neutral valuation ............................................................................329 Chapter 15. Employee stock options ..................................................................................332 15.1 Contractual arrangements .....................................................................332 15.2 Do options align the interests of shareholders and managers? ....................334 15.3 Accounting issues ...............................................................................335 15.4 Valuation ...........................................................................................336 15.5 Backdating scandals ............................................................................341 Summary ...........................................................................................342 Further reading ..................................................................................343 Practice questions ................................................................................343 Further questions ................................................................................344 Chapter 16. Options on stock indices and currencies ............................................................345 16.1 Options on stock indices ......................................................................345 16.2 Currency options ................................................................................347 16.3 Options on stocks paying known dividend yields .....................................350 16.4 Valuation of European stock index options .............................................352 16.5 Valuation of European currency options .................................................355 16.6 American options ...............................................................................356 Summary ...........................................................................................357 Further reading ..................................................................................357 Practice questions ................................................................................358 Further questions ................................................................................360 Chapter 17. Futures options .............................................................................................361 17.1 Nature of futures options .....................................................................361 17.2 Reasons for the popularity of futures options .........................................364 17.3 European spot and futures options ........................................................364 17.4 Put-call parity ...................................................................................365 17.5 Bounds for futures options ...................................................................366 17.6 Valuation of futures options using binomial trees ....................................367 17.7 Drift of a futures prices in a risk-neutral world .......................................369 17.8 Black s model for valuing futures options ...............................................370 17.9 American futures options vs. American spot options ................................372 17.10 Futures-style options ...........................................................................372 Summary ...........................................................................................373 Further reading ..................................................................................374 Practice questions ................................................................................374 Further questions ................................................................................376 Chapter 18. The Greek letters ..........................................................................................377 18.1 Illustration .........................................................................................377 xii Contents 18.2 Naked and covered positions ...............................................................378 18.3 A stop-loss strategy ............................................................................378 18.4 Delta hedging .................................................................................... 380 18.5 Theta ...............................................................................................387 18.6 Gamma ............................................................................................ 389 18.7 Relationship between delta, theta, and gamma ........................................392 18.8 Vega................................................................................................ 393 18.9 Rho .................................................................................................395 18.10 The realities of hedging ....................................................................... 396 18.11 Scenario analysis ................................................................................397 18.12 Extension of formulas ......................................................................... 397 18.13 Portfolio insurance .............................................................................400 18.14 Stock market volatility ........................................................................402 Summary ..........................................................................................402 Further reading ..................................................................................404 Practice questions ...............................................................................404 Further questions ...............................................................................406 Appendix: Taylor series expansions and hedge parameters ........................408 Chapter 19. Volatility smiles ...........................................................................................409 19.1 Why the volatility smile is the same for calls and puts .............................409 19.2 Foreign currency options .....................................................................411 19.3 Equity options ...................................................................................414 19.4 Alternative ways of characterizing the volatility smile ...............................415 19.5 The volatility term structure and volatility surfaces ..................................416 19.6 Greek letters ......................................................................................417 19.7 The role of the model .........................................................................418 19.8 When a single large jump is anticipated .................................................419 Summary ..........................................................................................420 Further reading ..................................................................................421 Practice questions ...............................................................................421 Further questions ...............................................................................423 Appendix: Determining implied risk-neutral distributions from volatility smiles ...................................................................424 Chapter 20. Basic numerical procedures ............................................................................427 20.1 Binomial trees ....................................................................................427 20.2 Using the binomial tree for options on indices, currencies, and futures contracts ...........................................................................................435 20.3 Binomial model for a dividend-paying stock ...........................................437 20.4 Alternative procedures for constructing trees ..........................................442 20.5 Time-dependent parameters .................................................................445 20.6 Monte Carlo simulation ......................................................................446 20.7 Variance reduction procedures ..............................................................452 20.8 Finite difference methods .....................................................................455 Summary ..........................................................................................466 Further reading ..................................................................................466 Practice questions ...............................................................................467 Further questions ...............................................................................469 Chapter 21. Value at risk ...............................................................................................471 21.1 The VaR measure ..............................................................................471 21.2 Historical simulation ...........................................................................474 21.3 Model-building approach ....................................................................478 Contents xiii 21.4 Linear model..................................................................................... 481 21.5 Quadratic model .................................................................................486 21.6 Monte Carlo simulation .......................................................................488 21.7 Comparison of approaches ...................................................................489 21.8 Stress testing and back testing ...............................................................490 21.9 Principal components analysis ...............................................................490 Summary ...........................................................................................494 Further reading ..................................................................................494 Practice questions ................................................................................495 Further questions ................................................................................497 Chapter 22. Estimating volatilities and correlations ..............................................................498 22.1 Estimating volatility ............................................................................498 22.2 The exponentially weighted moving average model ...................................500 22.3 The GARCH (1,1) model ....................................................................502 22.4 Choosing between the models ...............................................................503 22.5 Maximum likelihood methods ...............................................................504 22.6 Using GARCH (1,1) to forecast future volatility .....................................509 22.7 Correlations .......................................................................................512 22.8 Application of EWMA to four-index example .........................................515 Summary ...........................................................................................517 Further reading ..................................................................................517 Practice questions ................................................................................518 Further questions ................................................................................519 Chapter 23. Credit risk ...................................................................................................521 23.1 Credit ratings .....................................................................................521 23.2 Historical default probabilities ..............................................................522 23.3 Recovery rates ....................................................................................523 23.4 Estimating default probabilities from bond prices ....................................524 23.5 Comparison of default probability estimates ............................................526 23.6 Using equity prices to estimate default probabilities .................................530 23.7 Credit risk in derivatives transactions .....................................................531 23.8 Credit risk mitigation ..........................................................................534 23.9 Default correlation ..............................................................................536 23.10 Credit VaR ........................................................................................540 Summary ...........................................................................................542 Further reading ..................................................................................543 Practice questions ................................................................................543 Further questions ................................................................................545 Chapter 24. Credit derivatives ..........................................................................................547 24.1 Credit default swaps ............................................................................548 24.2 Valuation of credit default swaps ..........................................................551 24.3 Credit indices .....................................................................................555 24.4 The use of fixed coupons .....................................................................556 24.5 CDS forwards and options ...................................................................557 24.6 Basket credit default swaps ...................................................................558 24.7 Total return swaps ..............................................................................558 24.8 Collateralized debt obligations ..............................................................559 24.9 Role of correlation in a basket CDS and CDO .......................................561 24.10 Valuation of a synthetic CDO ...............................................................562 24.11 Alternatives to the standard market model ..............................................569 Summary ...........................................................................................570 xiv Contents Further reading .................................................................................. 571 Practice questions ...............................................................................571 Further questions ............................................................................... 573 Chapter 25. Exotic options .............................................................................................574 25.1 Packages ...........................................................................................574 25.2 Nonstandard American options ............................................................575 25.3 Gap options ...................................................................................... 575 25.4 Forward start options ......................................................................... 576 25.5 Cliquet options .................................................................................. 577 25.6 Compound options ............................................................................. 577 25.7 Chooser options ................................................................................. 578 25.8 Barrier options .................................................................................. 579 25.9 Binary options ...................................................................................581 25.10 Lookback options ..............................................................................582 25.11 Shout options .................................................................................... 584 25.12 Asian options .................................................................................... 584 25.13 Options to exchange one asset for another ............................................. 586 25.14 Options involving several assets ............................................................587 25.15 Volatility and variance swaps ............................................................... 588 25.16 Static options replication ..................................................................... 591 Summary ..........................................................................................593 Further reading ..................................................................................594 Practice questions ............................................................................... 594 Further questions ............................................................................... 596 Chapter 26. More on models and numerical procedures ........................................................599 26.1 Alternatives to Black-Scholes-Merton .................................................. 600 26.2 Stochastic volatility models .................................................................. 605 26.3 The IVF model .................................................................................. 607 26.4 Convertible bonds ..............................................................................608 26.5 Path-dependent derivatives ................................................................... 611 26.6 Barrier options ..................................................................................615 26.7 Options on two correlated assets ..........................................................618 26.8 Monte Carlo simulation and American options ...................................... 621 Summary ..........................................................................................625 Further reading .................................................................................. 626 Practice questions ............................................................................... 627 Further questions ............................................................................... 628 Chapter 27. Martingales and measures ..............................................................................630 27.1 The market price of risk ......................................................................631 27.2 Several state variables ......................................................................... 634 27.3 Martingales .......................................................................................635 27.4 Alternative choices for the numeraire .................................................... 636 27.5 Extension to several factors .................................................................640 27.6 Black s model revisited ........................................................................641 27.7 Option to exchange one asset for another ..............................................642 27.8 Change of numeraire ..........................................................................643 Summary ..........................................................................................644 Further reading .................................................................................. 645 Practice questions ...............................................................................645 Further questions ............................................................................... 647 Contents xv Chapter 28. Interest rate derivatives: The standard market models ..........................................648 28.1 Bond options .....................................................................................648 28.2 Interest rate caps and floors ..................................................................653 28.3 European swap options ........................................................................659 28.4 Generalizations ...................................................................................663 28.5 Hedging interest rate derivatives ............................................................663 Summary ...........................................................................................664 Further reading ..................................................................................665 Practice questions ................................................................................665 Further questions ................................................................................666 Chapter 29. Convexity, timing, and quanto adjustments ........................................................668 29.1 Convexity adjustments .........................................................................668 29.2 Timing adjustments .............................................................................672 29.3 Quantos ............................................................................................674 Summary ...........................................................................................677 Further reading ..................................................................................677 Practice questions ................................................................................678 Further questions ................................................................................679 Appendix: Proof of the convexity adjustment formula ..............................681 Chapter 30. Interest rate derivatives: models of the short rate ................................................682 30.1 Background .......................................................................................682 30.2 Equilibrium models .............................................................................683 30.3 No-arbitrage models ............................................................................689 30.4 Options on bonds ...............................................................................694 30.5 Volatility structures .............................................................................695 30.6 Interest rate trees ................................................................................696 30.7 A general tree-building procedure ..........................................................698 30.8 Calibration .........................................................................................707 30.9 Hedging using a one-factor model .........................................................709 Summary ...........................................................................................710 Further reading ..................................................................................710 Practice questions ................................................................................711 Further questions ................................................................................713 Chapter 31. Interest rate derivatives: HJM and LMM .........................................................715 31.1 The Heath, Jarrow, and Morton model ..................................................715 31.2 The LIBOR market model ...................................................................718 31.3 Agency mortgage-backed securities ........................................................728 Summary ...........................................................................................730 Further reading ..................................................................................731 Practice questions ................................................................................731 Further questions ................................................................................732 Chapter 32. Swaps Revisited ............................................................................................733 32.1 Variations on the vanilla deal ...............................................................733 32.2 Compounding swaps ...........................................................................735 32.3 Currency swaps ..................................................................................736 32.4 More complex swaps ...........................................................................737 32.5 Equity swaps ......................................................................................740 32.6 Swaps with embedded options ..............................................................742 32.7 Other swaps .......................................................................................744 Summary ...........................................................................................745 Further reading ..................................................................................746 xvi Contents Practice questions ............................................................................... 746 Further questions ............................................................................... 747 Chapter 33. Energy and commodity derivatives ...................................................................748 33.1 Agricultural commodities ....................................................................748 33.2 Metals ..............................................................................................749 33.3 Energy products .................................................................................750 33.4 Modeling commodity prices .................................................................752 33.5 Weather derivatives .............................................................................758 33.6 Insurance derivatives ........................................................................... 759 33.7 Pricing weather and insurance derivatives ...............................................760 33.8 How an energy producer can hedge risks ............................................... 761 Summary .......................................................................................... 762 Further reading .................................................................................. 762 Practice questions ...............................................................................763 Further question ................................................................................ 764 Chapter 34. Real options ................................................................................................765 34.1 Capital investment appraisal ................................................................765 34.2 Extension of the risk-neutral valuation framework ..................................766 34.3 Estimating the market price of risk .......................................................768 34.4 Application to the valuation of a business ............................................. 769 34.5 Evaluating options in an investment opportunity .................................... 769 Summary .......................................................................................... 776 Further reading .................................................................................. 776 Practice questions ............................................................................... 777 Further questions ............................................................................... 777 Chapter 35. Derivatives mishaps and what we can learn from them ........................................779 35.1 Lessons for all users of derivatives ........................................................779 35.2 Lessons for financial institutions ...........................................................783 35.3 Lessons for nonfmancial corporations ................................................... 788 Summary ..........................................................................................790 Further reading .................................................................................. 790 Chapter 36. Derivatives markets in developing countries .......................................................791 36.1 China s markets ................................................................................. 791 36.2 India s markets .................................................................................. 793 36.3 Other developing countries .................................................................. 794 Summary ..........................................................................................794 Further reading ..................................................................................795 Glossary of terms .........................................................................................797 DerivaGem software .....................................................................................818 Major exchanges trading futures and options .....................................................823 Table for N(x) when χ ζ 0.............................................................................824 Table for N{x) when χ > 0.............................................................................825 Author index ...............................................................................................826 Subject index ...............................................................................................830 BUSINESS SNAPSHOTS 1.1 The Lehman Bankruptcy ...............................................................................3 1.2 Hedge Funds ............................................................................................. 11 1.2 SocGen s Big Loss in 2008........................................................................... 17 2.1 The Unanticipated Delivery of a Futures Contract ...........................................23 2.2 Long-Term Capital Management s Big Loss ................................................... 31 2.3 Systemic Risk ............................................................................................ 33 3.1 Hedging By Gold Mining Companies ............................................................ 52 3.2 Metallgesellschaft: Hedging Gone Awry .........................................................67 4.1 What is the Risk-Free Rate? ......................................................................... 77 4.2 Orange County s Yield Curve Plays ............................................................... 87 4.3 Liquidity and the 2007-2009 Financial Crisis .................................................96 5.1 Kidder Peabody s Embarrassing Mistake .......................................................106 5.2 A Systems Error? ....................................................................................... Ill 5.3 The СМЕ Nikkei 225 Futures Contract ........................................................113 5.4 Index Arbitrage in October 1987..................................................................114 6.1 Day Counts Can Be Deceptive ....................................................................130 6.2 The Wild Card Play ...................................................................................135 6.3 Asset-Liability Management by Banks .........................................................144 7.1 Extract from Hypothetical Swap Confirmation ...............................................155 7.2 The Hammersmith and Fulham Story ..........................................................173 8.1 Basel I, Basel II, and Basel III ....................................................................191 9.1 Gucci Group s Large Dividend ....................................................................202 9.2 Tax Planning Using Options .......................................................................209 10.1 Put-Call Parity and Capital Structure ..........................................................224 11.1 Losing Money with Box Spreads .................................................................244 11.2 How to Make Money from Trading Straddles ................................................248 14.1 Mutual Fund Returns Can be Misleading .....................................................304 14.2 What Causes Volatility? ..............................................................................307 14.3 Warrants, Employee Stock Options, and Dilution ..........................................317 16.1 Can We Guarantee that Stocks Will Beat Bonds in the Long Run? ...................354 18.1 Dynamic Hedging in Practice ......................................................................396 18.2 Was Portfolio Insurance to Blame for the Crash of 1987?................................403 19.1 Making Money from Foreign Currency Options .............................................413 19.2 Crashophobia ...........................................................................................416 20.1 Calculating Pi with Monte Carlo Simulation .................................................446 20.2 Checking Black-Scholes-Merton in Excel ....................................................449 21.1 How Bank Regulators Use VaR ..................................................................472 23.1 Downgrade Triggers and Enron s Bankruptcy ................................................537 24.1 Who Bears the Credit Risk? ........................................................................548 24.2 The CDS Market ......................................................................................550 24.3 Is the CDS Market a Fair Game? ................................................................556 25.1 Is Delta Hedging Easier or More Difficult for Exotics? ...................................592 28.1 Put-Call Parity for Caps and Floors ............................................................655 28.2 Swaptions and Bond Options ......................................................................660 29.1 Siegel s Paradox ........................................................................................676 31.1 IOs and POs .............................................................................................730 32.1 Hypothetical Confirmation for Nonstandard Swap .........................................734 32.2 Hypothetical Confirmation for Compounding Swap ........................................735 32.3 Hypothetical Confirmation for Equity Swap ..................................................741 32.4 Procter and Gamble s Bizarre Deal ..............................................................745 34.1 Valuing Amazon.com .................................................................................770 35.1 Big Losses by Financial Institutions .............................................................780 35.2 Big Losses by Nonfinancial Organizations .....................................................781
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discipline	Mathematik Wirtschaftswissenschaften
edition	8. ed., global ed.
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isbn	9780273759072 0273759078 9780132165112
language	English
lccn	2010047005
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-021159550
oclc_num	711832667
open_access_boolean
owner	DE-11 DE-473 DE-BY-UBG DE-1049 DE-703 DE-Aug4 DE-92 DE-355 DE-BY-UBR DE-20 DE-19 DE-BY-UBM DE-945 DE-91G DE-BY-TUM DE-573 DE-91 DE-BY-TUM DE-526 DE-188 DE-634 DE-858
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physical	XXI, 847 S. Ill., graph. Darst. 1 CD-ROM (12 cm)
publishDate	2012
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publisher	Pearson
record_format	marc
spellingShingle	Hull, John 1946- Options, futures, and other derivatives Futures Stock options Derivative securities Optionspreistheorie (DE-588)4135346-8 gnd Termingeschäft (DE-588)4117190-1 gnd Optionsmarkt (DE-588)4381644-7 gnd Option (DE-588)4115452-6 gnd Diskette (DE-588)4122115-1 gnd Stochastik (DE-588)4121729-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionshandel (DE-588)4126185-9 gnd Financial Futures (DE-588)4128564-5 gnd Optionsgeschäft (DE-588)4043670-6 gnd
subject_GND	(DE-588)4135346-8 (DE-588)4117190-1 (DE-588)4381644-7 (DE-588)4115452-6 (DE-588)4122115-1 (DE-588)4121729-9 (DE-588)4017195-4 (DE-588)4381572-8 (DE-588)4126185-9 (DE-588)4128564-5 (DE-588)4043670-6 (DE-588)4143389-0
title	Options, futures, and other derivatives
title_alt	DerivaGem Software
title_auth	Options, futures, and other derivatives
title_exact_search	Options, futures, and other derivatives
title_full	Options, futures, and other derivatives John C. Hull
title_fullStr	Options, futures, and other derivatives John C. Hull
title_full_unstemmed	Options, futures, and other derivatives John C. Hull
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 Termingeschäft (DE-588)4117190-1 gnd Optionsmarkt (DE-588)4381644-7 gnd Option (DE-588)4115452-6 gnd Diskette (DE-588)4122115-1 gnd Stochastik (DE-588)4121729-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionshandel (DE-588)4126185-9 gnd Financial Futures (DE-588)4128564-5 gnd Optionsgeschäft (DE-588)4043670-6 gnd
topic_facet	Futures Stock options Derivative securities Optionspreistheorie Termingeschäft Optionsmarkt Option Diskette Stochastik Finanzmathematik Derivat Wertpapier Optionshandel Financial Futures Optionsgeschäft Aufgabensammlung
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021159550&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT hulljohn optionsfuturesandotherderivatives AT hulljohn derivagemsoftware

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Bestandsangaben von Teilbibliothek Chemie, Lehrbuchsammlung
Signatur:	0303 WIR 175f 2005 L 572(8) Lageplan
Exemplar 1	Ausleihbar Am Standort
Exemplar 2	Ausleihbar Am Standort
Exemplar 3	Ausleihbar Am Standort
Exemplar 4	Ausleihbar Am Standort
Exemplar 5	Ausleihbar Am Standort