内容介绍

本书适用于商学和经济学研究生和高年级本科生选修课。对那些想获得如何分析衍生证券实际知识的实际工作者来说，本书也适合。 ……

作品目录

Brief Contents1 INTRODUCTlON2 FUTURES MARKETS AND THE USE OF FUTURESFOR HEDGlNG3 FORWARD AND FUTURES PRlCES4 INTEREST RATE FUTURES5 SWAPS6 OPTlONS MARKETS7 PROPERTlES OF STOCK OPTlON PRlCES8 TRADlNG STRATEGlES INVOLVlNG OPTlONS9 INTRODUCTlON TO BlNOMlAL TREES10 MODEL OF THE BEHAVlOR OF STOCK PRlCES11 THE BLACK-SCHOLES ANALYSlS12 OPTlONS ON STOCK INDlCES, CURRENClESAND FUTURES CONTRACTS13 GENERAL APPROACH TO PRlClNG DERlVATlVES14 THE MANAGEMENT OF MARKET RlSK15 NUMERlCAL PROCEDURES16 INTEREST RATE DERlVATlVES AND THE USEOF BLACK'S MODEL17 INTEREST RATE DERlVATlVES AND MODELSOF THE YlELD CURVE18 EXOTlC OPTlONS19 ALTERNATlVES TO BLACK-SCHOLESFOR OPTlON PRlClNG20 CREDlT RlSK AND REGULATORY CAPYTA21 REVlEW OF KEY CONCEPTSContentsPREFACE1 INTRODUCTlON1.1 Forward Contracts1.2 Futures Contracts1.3 Options1.4 Other Derivatives1.5 Types of Traders1.6 SummaryQuestions and Problems2 FUTURES MARKETS AND THE USE OF FUTURESFOR HEDGlNG2.1 Trading Futures Contracts2.2 Specification of the Futures Contract2.3 Operation of Margins2.4 Newspaper Quotes2.5 Convergence of Futures Price to Spot Price2.6 Settlement2.7 Regulation2.8 Hedging Using Futures2.9 Optimal Hedge Ratio2.10 Rolling the Hedge Forward2. 11 Accounting and Tax2.12 SummarySuggestions for Further ReadingQuestions and Problems3 FORWARD AND FUTURES PRlCES3.1 Some Preliminaries3.2 Forward Contracts on a Security That ProvidesNo Income3.3 Forward Contracts on a Security That Providesa Known Cash Income3.4 Forward Contracts on a Security That Providesa Known Dividend Yield3.5 General Result3.6 Forward Prices versus Futures Prices3.7 Stock Index Futures3.8 Forward and Futures Contracts on Currencies3.9 Futures on Commodities3.10 The Cost of Carry3.11 Delivery Choices3.12 Futures Prices and the Expected Future Spot Price3.13 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 3A Proof That Forward and Futures Prices AreEqual When Interest Rates Are Constant4 INTEREST RATE FUTURES4.I Some Preliminaries4.2 Forward Rate Agreements4.3 Treasury Bond and Treasury Note Futures4.4 Treasury Bill Futures4.5 Eurodollar Futures4.6 Duration4.7 Duration-Based Hedging Strategies4.8 Limitations of Duration4.9 SummarySuggestions for Further ReadingQuestions and Problems5 SWAPS5.1 Mechanics of Interest Rate Swaps5.2 The Comparative Advantage Argument5.3 Valuation of Interest Rate Swaps5.4 Currency Swaps5.5 Valuation of Currency Swaps5.6 Other Swaps5.7 Credit Risk5.8 SummarySuggestions for Further ReadingQuestions and Problems6 OPTlONS MARKETS6. l Exchange-Traded Options6.2 Over-the-Counter Options6.3 Specification of Stock Options6.4 Newspaper Quotes6.5 Trading6.6 Commissions6.7 Margins6.8 The Options Clearing Corporation6.9 Regulation6.10 Taxation6.11 Warrants and Convertibles6.12 SummarySuggestions for Further ReadingQuestions and Problems7 PROPERTlES OF STOCK OPTlON PRlCES7.1 Factors Affecting Option Prices7.2 Assumptions and Notation7.3 Upper and Lower Bounds for Option Prices7.4 Early Exercise: Calls on a Non-Dividend-Paying Stock7.5 Early Exercise: Puts on a Non-Dividend-Paying Stock7.6 Put-Call Parity7.7 Effect of Dividends7.8 Empirical Research7.9 SummarySuggestions for Further ReadingQuestions and Problems8 TRADlNG STRATEGlES INVOLVlNG OPTlONS8.1 Strategies Involving a Single Option and a Stock8.2 Spreads8.3 Combinations8.4 Other Payoffs8.5 SummarySuggestions for Further ReadingQuestions and Problems9 INTRODUCTlON TO BlNOMlAL TREES9.1 One-Step Binomial Model9.2 Risk-Neutral Valuation9.3 Two-Step Binomial Trees9.4 Put Example9.5 American Options9.6 Delta9.7 Using Binomial Trees in Practice9.8 SummarySuggestions for Further ReadingQuesdons and Problems10 MODEL OF THE BEHAVlOR OF STOCK PRlCES10.1 The Markov Property10.2 Wiener Processes10.3 The Process for Stock Prices10.4 Review of the Model10.5 The Parameters10.6 Ito's Lemma10.7 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 10A Derivation of Ito's Lemma11 THE BLACK-SCHOLES ANALYSlS11.1 Lognonnal Property of Stock Prices11.2 The Distribudon of the Rate of Return11.3 Estimating Volatility from Historical Data11.4 Concepts Underiying the Black-Scholes DifferentialEquation11.5 Derivation of the Black-Scholes Differential Equation11.6 Risk-Neutral Valuation11.7 Black-Scholes Pricing Formulas11.8 Cumulative Normal Distribution Function11.9 Warrants Issued by a Company on Its Own Stock11.10 Implied Voladlities11.11 The Causes of Volatility11.12 Dividends11.13 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 11A Exact Procedure for Calculating Valuesof American Calls on Dividend-PayingStocksAppendix llB Calculation ofCumulative Probabilityin Bivariate Normal Distribution12 OPTlONS ON STOCK INDlCES, CURRENClESAND FUTURES CONTRACTS12.1 Extending Black-Scholes12.2 Pricing Fonnulas12.3 Options on Stock Indices12.4 Currency Options12.5 Futures Opdons12.6 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 12A Derivation of Differential Equation Satisfiedby a Derivative Dependent on a Stock Payinga Continuous Dividend Yield 284Appendix 12B Derivation of Differential Equation Satisfiedby a Derivative Dependent on a FuturesPrice13 GENERAL APPROACH TO PRlClNG DERlVATlVES13.1 Single Underlying Variable13.2 Interest Rate Risk13.3 Securities Dependent on Several State Variables13.4 Is It Necessary to Estimate the Market Priceof Risk?13.5 Derivatives Dependent on Commodity Prices13.6 Quantos13.7 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 13A Generalization of Ito's LemmaAppendix 13B Derivation of the General Differential EquationSatisfied by Derivatives14 THE MANAGEMENT OF MARKET RlSK14.1 Example14.2 Naked and Covered Positions14.3 A Stop-Loss Strategy14.4 More Sophisticated Hedging Schemes14.5 Delta Hedging14.6 Theta14.7 Gamma14.8 Relationship among Delta, Theta and Gamma14.9 Vega14.10 Rho14.11 Scenario Analysis14.12 Portfolio Insurance14.13 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 14A Taylor Series Expansionsand Hedge Parameters15 NUMERlCAL PROCEDURES15.1 Binomial Trees15.2 Using the Binomial Tree for Options on IndicesCurrencies and Futures Contracts15.3 Binomial Model for a Dividend-Paying Stock15.4 Extensions of the Basic Tree Approach15.5 Altemative Procedures for Construcdng Trees15.6 Monte Carlo Simulation15.7 Variance Reduction Procedures15.8 Finite Difference Methods15.9 Analytic Approximations in Option Pricing15.10 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 15A Analytic Approximation to American OptionPrices of Macmillan and Barone-Adesiand Whaley16 DSTTEREST RATE DERlVATlVES AND THE USEOF BLACK'S MODEL16.1 Exchange-Traded interest Rate Options16.2 Embedded Bond Options16.3 Mortgage-Backed Securities16.4 Option-Adjusted Spread16.5 Black's Model16.6 European Bond Options16.7 Interest Rate Caps16.8 European Swap Options16.9 Accrual Swaps16.10 Spread Options16.11 Convexity Adjustments16.11 Summary 411Suggestions for Further ReadingQuestions and ProblemsAppendix 16A Proof of the Convexity Adjustment Formula17 INTEREST RATE DERlVATlVES AND MODELSOF THE YlELD CURVE17.1 Introduction to Equilibrium Models17.2 One-Factor Models17.3 The Rendleman and Bartter Model17.4 The Vasicek Model17.5 The Cox, Ingersoll and Ross Model17.6 Two-Factor Models17.7 Introduction to No-Arbitrage Models17.8 Modeling Forward Rates17.9 Developing Markov Models17.10 Ho and Lee Model17.11 Hull and White Model17.12 Interest Rate Trees17.13 A General Tree-Building Procedure17.14 Nonstationary Models17.15 Forward Rates and Futures Rates17.16 SummarySuggestions for Further ReadingQuestions and Problems18 EXOTlC OPTlONS18.1 Types of Exotic Options18.2 Basic Numerical Procedures18.3 Path-Dependent Derivatives18.4 Lookback Options18.5 Barrier Options18.6 Options on Two Correlated Assets18.7 Hedging issues18.8 Static Options Replication18.9 SummarySuggestions for Further ReadingQuestions and Problems19 ALTERNATlVES TO BLACK-SCHOLESFOR OPTlON PRlClNG19.1 Known Changes in the Interest Rateand Volatility19.2 Merton's Stochastic interest Rate Model19.3 Pricing Biases19.4 Altemative Models19.5 Overview of Pricing Biases19.6 Stochastic Volatility19.7 How Black-Scholes Is Used in Practice19.8 Implied Trees19.9 Empirical Research19.10 SummarySuggestions for Further ReadingQuestions and ProblemsAppendix 19A Pricing Formulas for Altemative Models20 CREDlT RlSK AND REGULATORY CAPlTAL20.1 Background20.2 Adjusting the Prices of Options for Credil Risk20.3 Contracts That Can Be Assets or Liabilities20.4 Historical Default Experience20.5 Valuation of Convertible Bonds20.6 The BlS Capital Requirements20.7 Reducing Exposure to Credit Risk20.8 SummarySuggestions for Further ReadingQuestions and Problems21 REVIEW OF KEY CONCEPTS21.1 Riskless Hedges21.2 Traded Securities versus Other Underlying Variables21.3 Risk-Neutral Valuation21.4 Those Big Losses21.5 A Final WordMAJOR EXCHANGESGLOSSARY OF NOTATlONTABLE FOR N(x) WHEN x 0TABLE FOR N(x) WHEN x 0AUTHOR INDEXSUBJECT INDEX

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目录

INTRODUCTION FUTURES MARKETS AND THE USE OF FUTURES FOR HEDGING FORWARD AND FUTURES PRICES INTEREST RATE FUTURES SWAPS OPTIONS MARKETS PROPERTIES OF STOCK OPTION PRICES INTRODUCTION TO BINOMIAL TREES MODEL OF THE BEHAVIOR OF STOCK PRICES THE BLACK-SCHOLES ANALYSIS OPTIONS ON STOCK INDICES,CURRENCIES,AND FUTURES CONTRACTS GENERAL APPROACH TO PRICING DERIVATIVES THE MANAGEMENT OF MARKET RISK NUMERICAL PROCEDURES INTEREST RATE DERIVATIVES AND THE USE OF BLACK'S MODEL INTEREST RATE DERIVATIVES AND MODELS OF THE YIELD CURVE EXOTIC OPTIONS ALTERNATIVES TO BLACK-SCHOLES FOR OPTION PRICING CREDIT RISK AND REGULATORY CAPITAL REVIEW OF KEY CONCEPTS

作者简介

作者：(美国)约翰·赫尔