期货与期权市场基本原理:英文版
正版保障 假一赔十 可开发票
￥ 41.95 4.9折 ￥ 85 全新
库存158件
广东广州
认证卖家担保交易快速发货售后保障
作者(加)约翰·赫尔(John C. Hull)著
出版社清华大学出版社
ISBN9787302571988
出版时间2021-02
装帧平装
开本16开
定价85元
货号10996766
上书时间2024-12-29
商品详情
- 品相描述：全新
- 商品描述
-
作者简介
[加]约翰·赫尔,约翰·赫尔(John Hull)衍生产品及风险管理教授，约翰·赫尔教授在衍生产品以及风险管理领域享有盛名，他的研究领域包括信用风险、经理股票期权、波动率曲面、市场风险以及利率衍生产品。他和艾伦·怀特教授研发出HullWhite利率模型荣NikkoLOR大奖。他曾为北美、日本以及欧洲多家金融机构提供金融咨询。
目录
Contents
Preface xiii
Chapter 1: Introduction 1
Futures Contracts 1
History of Futures Markets 2
The Over-the-Counter Market. 4
Forward Contracts 6
Options 7
History of Options Markets 10
Types of Trader 11
Hedgers 11
Speculators 14
Arbitrageurs 17
Dangers 18
Summary 18
Further Reading 20
Quiz 20
Practice Questions 20
Further Questions 22
Chapter 2: Futures Markets and Central Counterparties 24
Opening and Closing Futures Positions 24
Speci?cation of a Futures Contract. 25
Convergence of Futures Price to Spot Price 28
The Operation of Margin Accounts 29
OTC Markets 32
Market Quotes 35
Delivery 37
Types of Trader and Types of Order 38
Regulation 39
Accounting and Tax 40
Forward vs. Futures Contracts 42
Summary 44
Further Reading 45
Quiz 45
Practice Questions 46
Further Questions 47
v
_x00C_vi Contents
Chapter 3: Hedging Strategies Using Futures 49
Basic Principles 49
Arguments for and Against Hedging 52
Basis Risk 55
Cross Hedging 59
Stock Index Futures 63
Stack and Roll 69
Summary 70
Further Reading 72
Quiz 72
Practice Questions 73
Further Questions 74
Appendix: Review of Key Concepts in Statistics and the CAPM 76
Chapter 4: Interest Rates 81
Types of Rates 81
Swap Rates 83
The Risk-Free Rate 84
Measuring Interest Rates 85
Zero Rates 87
Bond Pricing 88
Determining Zero Rates 89
Forward Rates 93
Forward Rate Agreements 95
Theories of the Term Structure of Interest Rates 97
Summary 100
Further Reading 101
Quiz 101
Practice Questions 102
Further Questions 103
Appendix: Exponential and Logarithmic Functions 105
Chapter 5: Determination of Forward and Futures Prices 107
Investment Assets vs. Consumption Assets 107
Short Selling 108
Assumptions and Notation 109
Forward Price for an Investment Asset 110
Known Income 113
Known Yield 115
Valuing Forward Contracts 115
Are Forward Prices and Futures Prices Equal? 118
Futures Prices of Stock Indices 118
Forward and Futures Contracts on Currencies 121
Futures on Commodities 124
The Cost of Carry 127
Delivery Options 127
Futures Prices and Expected Spot Prices 128
Summary 130
Further Reading 131
_x00C_Contents vii
Quiz 132
Practice Questions 132
Further Questions 134
Chapter 6: Interest Rate Futures. 136
Day Count and Quotation Conventions 136
Treasury Bond Futures 139
Eurodollar Futures. 143
Duration 148
Duration-Based Hedging Strategies Using Futures 152
Summary 156
Further Reading 157
Quiz 157
Practice Questions 158
Further Questions 159
Chapter 7: Swaps 161
Mechanics of Interest Rate Swaps 162
Day Count Issues 167
Con?rmations 167
The Comparative-Advantage Argument 168
Valuation of Interest Rate Swaps 171
How the Value Changes through Time 174
Fixed-for-Fixed Currency Swaps 175
Valuation of Fixed-for-Fixed Currency Swaps 178
Other Currency Swaps 180
Credit Risk 181
Credit Default Swaps 182
Other Types of Swaps 183
Summary 184
Further Reading 185
Quiz 185
Practice Questions 186
Further Questions 188
Chapter 8: Securitization and the Credit Crisis of 2007 190
Securitization 190
The U.S. Housing Market 194
What Went Wrong? 198
The Aftermath 200
Summary 202
Further Reading 202
Quiz 203
Practice Questions 203
Further Questions 204
Chapter 9: Mechanics of Options Markets 205
Types of Option 205
Option Positions 208
Underlying Assets 210
Speci?cation of Stock Options 211
_x00C_viii Contents
Trading 215
Commissions. 216
Margin Requirements 217
The Options Clearing Corporation 219
Regulation 220
Taxation 220
Warrants, Employee Stock Options, and Convertibles 221
Over-the-Counter Options Markets 222
Summary 223
Further Reading 223
Quiz 224
Practice Questions 224
Further Questions 225
Chapter 10: Properties of Stock Options 227
Factors A?ecting Option Prices 227
Assumptions and Notation 231
Upper and Lower Bounds for Option Prices 232
Put–Call Parity 235
Calls on a Non-Dividend-Paying Stock 239
Puts on a Non-Dividend-Paying Stock 241
E?ect of Dividends 243
Summary 244
Further Reading 245
Quiz 245
Practice Questions 246
Further Questions 247
Chapter 11: Trading Strategies Involving Options 249
Principal-Protected Notes 249
Strategies Involving a Single Option and a Stock 251
Spreads 253
Combinations 261
Other Payo?s 264
Summary 264
Further Reading 265
Quiz 265
Practice Questions 266
Further Questions 266
Chapter 12: Introduction to Binomial Trees 268
A One-Step Binomial Model and a No-Arbitrage Argument 268
Risk-Neutral Valuation 272
Two-Step Binomial Trees 274
A Put Example 277
American Options 278
Delta 279
Determining u and d 280
Increasing the Number of Time Steps 281
Using DerivaGem 282
_x00C_Contents ix
Options on Other Assets 282
Summary 287
Further Reading 287
Quiz 287
Practice Questions 288
Further Questions 289
Appendix: Derivation of the Black–Scholes–Merton Option Pricing
Formula from Binomial Tree 291
Chapter 13: Valuing Stock Options: The Black–Scholes–Merton Model 293
Assumptions about How Stock Prices Evolve 294
Expected Return 297
Volatility 298
Estimating Volatility from Historical Data 299
Assumptions Underlying Black–Scholes–Merton 301
The Key No-Arbitrage Argument 302
The Black–Scholes–Merton Pricing Formulas 304
Risk-Neutral Valuation 306
Implied Volatilities 307
Dividends 309
Summary 311
Further Reading 312
Quiz 313
Practice Questions 313
Further Questions 315
Appendix: The Early Exercise of American Call Options on
Dividend-Paying Stocks 316
Chapter 14: Employee Stock Options 318
Contractual Arrangements 318
Do Options Align the Interests of Shareholders and Managers? 320
Accounting Issues 321
Valuation 323
Backdating Scandals 324
Summary 325
Further Reading 326
Quiz 326
Practice Questions 327
Further Questions 327
Chapter 15: Options on Stock Indices and Currencies 328
Options on Stock Indices 328
Currency Options 331
Options on Stocks Paying Known Dividend Yields 333
Valuation of European Stock Index Options 335
Valuation of European Currency Options 338
American Options 339
Summary 340
Further Reading 341
Quiz 341
_x00C_x Contents
Practice Questions 341
Further Questions 343
Chapter 16: Futures Options and Blacks Model 344
Nature of Futures Options 344
Reasons for the Popularity of Futures Options 346
European Spot and Futures Options 347
Put–Call Parity 347
Bounds for Futures Options 349
A Futures Price as an Asset Providing a Yield. 349
Blacks Model for Valuing Futures Options 350
Using Blacks Model Instead of Black–Scholes–Merton 350
Valuation of Futures Options Using Binomial Trees 351
American Futures Options vs. American Spot Options 354
Futures-Style Options 354
Summary 355
Further Reading 356
Quiz 356
Practice Questions 356
Further Questions 357
Chapter 17: The Greek Letters 359
Illustration 359
Naked and Covered Positions 360
Greek Letter Calculation 362
Delta 363
Theta 369
Gamma 371
Relationship Between Delta, Theta, and Gamma 374
Vega 378
17.9 Rho 377
The Realities of Hedging 379
Scenario Analysis 379
Extension of Formulas 380
Creating Options Synthetically for Portfolio Insurance 382
Stock Market Volatility 385
Summary 385
Further Reading 387
Quiz 387
Practice Questions 388
Further Questions 389
Chapter 18: Binomial Trees in Practice 391
The Binomial Model for a Non-Dividend-Paying Stock 391
Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts 398
The Binomial Model for a Dividend-Paying Stock 401
Extensions of the Basic Tree Approach 405
Alternative Procedure for Constructing Trees 407
Monte Carlo Simulation 407
_x00C_Contents xi
Summary 409
Further Reading 410
Quiz 410
Practice Questions 411
Further Questions 412
Chapter 19: Volatility Smiles 413
Foreign Currency Options 413
Equity Options 416
The Volatility Term Structure and Volatility Surfaces 418
When a Single Large Jump Is Anticipated 420
Summary 421
Further Reading 422
Quiz 423
Practice Questions 423
Further Questions 424
Appendix: Why the Put Volatility Smile is the Same as the Call
Volatility Smile 426
Chapter 20: Value at Risk and Expected Shortfall 428
The VaR and ES Measures 428
Historical Simulation 431
Model-Building Approach 436
Generalization of Linear Model 439
Quadratic Model 444
Estimating Volatilities and Correlations 446
Comparison of Approaches 451
Back Testing 452
Summary 452
Further Reading 453
Quiz 453
Practice Questions 454
Further Questions 455
Chapter 21: Interest Rate Options 458
Exchange-Traded Interest Rate Options 458
Embedded Bond Options 460
Blacks Model 460
European Bond Options 462
Interest Rate Caps 464
European Swap Options 469
Term Structure Models 472
Summary 473
Further Reading 473
Quiz 474
Practice Questions 474
Further Questions 475
Chapter 22: Exotic Opt
相关推荐
— 没有更多了 —
以下为对购买帮助不大的评价