期权期货和衍生证券

书籍目录

Brief Contents

1 INTRODUCTlON

2 FUTURES MARKETS AND THE USE OF FUTURES

FOR HEDGlNG

3 FORWARD AND FUTURES PRlCES

4 INTEREST RATE FUTURES

5 SWAPS

6 OPTlONS MARKETS

7 PROPERTlES OF STOCK OPTlON PRlCES

8 TRADlNG STRATEGlES INVOLVlNG OPTlONS

9 INTRODUCTlON TO BlNOMlAL TREES

10 MODEL OF THE BEHAVlOR OF STOCK PRlCES

11 THE BLACK-SCHOLES ANALYSlS

12 OPTlONS ON STOCK INDlCES, CURRENClES

AND FUTURES CONTRACTS

13 GENERAL APPROACH TO PRlClNG DERlVATlVES

14 THE MANAGEMENT OF MARKET RlSK

15 NUMERlCAL PROCEDURES

16 INTEREST RATE DERlVATlVES AND THE USE

OF BLACK'S MODEL

17 INTEREST RATE DERlVATlVES AND MODELS

OF THE YlELD CURVE

18 EXOTlC OPTlONS

19 ALTERNATlVES TO BLACK-SCHOLES

FOR OPTlON PRlClNG

20 CREDlT RlSK AND REGULATORY CAPYTA

21 REVlEW OF KEY CONCEPTS

Contents

PREFACE

1 INTRODUCTlON

1.1 Forward Contracts

1.2 Futures Contracts

1.3 Options

1.4 Other Derivatives

1.5 Types of Traders

1.6 Summary

Questions and Problems

2 FUTURES MARKETS AND THE USE OF FUTURES

FOR HEDGlNG

2.1 Trading Futures Contracts

2.2 Specification of the Futures Contract

2.3 Operation of Margins

2.4 Newspaper Quotes

2.5 Convergence of Futures Price to Spot Price

2.6 Settlement

2.7 Regulation

2.8 Hedging Using Futures

2.9 Optimal Hedge Ratio

2.10 Rolling the Hedge Forward

2. 11 Accounting and Tax

2.12 Summary

Suggestions for Further Reading

Questions and Problems

3 FORWARD AND FUTURES PRlCES

3.1 Some Preliminaries

3.2 Forward Contracts on a Security That Provides

No Income

3.3 Forward Contracts on a Security That Provides

a Known Cash Income

3.4 Forward Contracts on a Security That Provides

a Known Dividend Yield

3.5 General Result

3.6 Forward Prices versus Futures Prices

3.7 Stock Index Futures

3.8 Forward and Futures Contracts on Currencies

3.9 Futures on Commodities

3.10 The Cost of Carry

3.11 Delivery Choices

3.12 Futures Prices and the Expected Future Spot Price

3.13 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 3A Proof That Forward and Futures Prices Are

Equal When Interest Rates Are Constant

4 INTEREST RATE FUTURES

4.I Some Preliminaries

4.2 Forward Rate Agreements

4.3 Treasury Bond and Treasury Note Futures

4.4 Treasury Bill Futures

4.5 Eurodollar Futures

4.6 Duration

4.7 Duration-Based Hedging Strategies

4.8 Limitations of Duration

4.9 Summary

Suggestions for Further Reading

Questions and Problems

5 SWAPS

5.1 Mechanics of Interest Rate Swaps

5.2 The Comparative Advantage Argument

5.3 Valuation of Interest Rate Swaps

5.4 Currency Swaps

5.5 Valuation of Currency Swaps

5.6 Other Swaps

5.7 Credit Risk

5.8 Summary

Suggestions for Further Reading

Questions and Problems

6 OPTlONS MARKETS

6. l Exchange-Traded Options

6.2 Over-the-Counter Options

6.3 Specification of Stock Options

6.4 Newspaper Quotes

6.5 Trading

6.6 Commissions

6.7 Margins

6.8 The Options Clearing Corporation

6.9 Regulation

6.10 Taxation

6.11 Warrants and Convertibles

6.12 Summary

Suggestions for Further Reading

Questions and Problems

7 PROPERTlES OF STOCK OPTlON PRlCES

7.1 Factors Affecting Option Prices

7.2 Assumptions and Notation

7.3 Upper and Lower Bounds for Option Prices

7.4 Early Exercise: Calls on a Non-Dividend-Paying Stock

7.5 Early Exercise: Puts on a Non-Dividend-Paying Stock

7.6 Put-Call Parity

7.7 Effect of Dividends

7.8 Empirical Research

7.9 Summary

Suggestions for Further Reading

Questions and Problems

8 TRADlNG STRATEGlES INVOLVlNG OPTlONS

8.1 Strategies Involving a Single Option and a Stock

8.2 Spreads

8.3 Combinations

8.4 Other Payoffs

8.5 Summary

Suggestions for Further Reading

Questions and Problems

9 INTRODUCTlON TO BlNOMlAL TREES

9.1 One-Step Binomial Model

9.2 Risk-Neutral Valuation

9.3 Two-Step Binomial Trees

9.4 Put Example

9.5 American Options

9.6 Delta

9.7 Using Binomial Trees in Practice

9.8 Summary

Suggestions for Further Reading

Quesdons and Problems

10 MODEL OF THE BEHAVlOR OF STOCK PRlCES

10.1 The Markov Property

10.2 Wiener Processes

10.3 The Process for Stock Prices

10.4 Review of the Model

10.5 The Parameters

10.6 Ito's Lemma

10.7 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 10A Derivation of Ito's Lemma

11 THE BLACK-SCHOLES ANALYSlS

11.1 Lognonnal Property of Stock Prices

11.2 The Distribudon of the Rate of Return

11.3 Estimating Volatility from Historical Data

11.4 Concepts Underiying the Black-Scholes Differential

Equation

11.5 Derivation of the Black-Scholes Differential Equation

11.6 Risk-Neutral Valuation

11.7 Black-Scholes Pricing Formulas

11.8 Cumulative Normal Distribution Function

11.9 Warrants Issued by a Company on Its Own Stock

11.10 Implied Voladlities

11.11 The Causes of Volatility

11.12 Dividends

11.13 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 11A Exact Procedure for Calculating Values

of American Calls on Dividend-Paying

Stocks

Appendix llB Calculation ofCumulative Probability

in Bivariate Normal Distribution

12 OPTlONS ON STOCK INDlCES, CURRENClES

AND FUTURES CONTRACTS

12.1 Extending Black-Scholes

12.2 Pricing Fonnulas

12.3 Options on Stock Indices

12.4 Currency Options

12.5 Futures Opdons

12.6 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 12A Derivation of Differential Equation Satisfied

by a Derivative Dependent on a Stock Paying

a Continuous Dividend Yield 284

Appendix 12B Derivation of Differential Equation Satisfied

by a Derivative Dependent on a Futures

Price

13 GENERAL APPROACH TO PRlClNG DERlVATlVES

13.1 Single Underlying Variable

13.2 Interest Rate Risk

13.3 Securities Dependent on Several State Variables

13.4 Is It Necessary to Estimate the Market Price

of Risk?

13.5 Derivatives Dependent on Commodity Prices

13.6 Quantos

13.7 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 13A Generalization of Ito's Lemma

Appendix 13B Derivation of the General Differential Equation

Satisfied by Derivatives

14 THE MANAGEMENT OF MARKET RlSK

14.1 Example

14.2 Naked and Covered Positions

14.3 A Stop-Loss Strategy

14.4 More Sophisticated Hedging Schemes

14.5 Delta Hedging

14.6 Theta

14.7 Gamma

14.8 Relationship among Delta, Theta and Gamma

14.9 Vega

14.10 Rho

14.11 Scenario Analysis

14.12 Portfolio Insurance

14.13 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 14A Taylor Series Expansions

and Hedge Parameters

15 NUMERlCAL PROCEDURES

15.1 Binomial Trees

15.2 Using the Binomial Tree for Options on Indices

Currencies and Futures Contracts

15.3 Binomial Model for a Dividend-Paying Stock

15.4 Extensions of the Basic Tree Approach

15.5 Altemative Procedures for Construcdng Trees

15.6 Monte Carlo Simulation

15.7 Variance Reduction Procedures

15.8 Finite Difference Methods

15.9 Analytic Approximations in Option Pricing

15.10 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 15A Analytic Approximation to American Option

Prices of Macmillan and Barone-Adesi

and Whaley

16 DSTTEREST RATE DERlVATlVES AND THE USE

OF BLACK'S MODEL

16.1 Exchange-Traded interest Rate Options

16.2 Embedded Bond Options

16.3 Mortgage-Backed Securities

16.4 Option-Adjusted Spread

16.5 Black's Model

16.6 European Bond Options

16.7 Interest Rate Caps

16.8 European Swap Options

16.9 Accrual Swaps

16.10 Spread Options

16.11 Convexity Adjustments

16.11 Summary 411

Suggestions for Further Reading

Questions and Problems

Appendix 16A Proof of the Convexity Adjustment Formula

17 INTEREST RATE DERlVATlVES AND MODELS

OF THE YlELD CURVE

17.1 Introduction to Equilibrium Models

17.2 One-Factor Models

17.3 The Rendleman and Bartter Model

17.4 The Vasicek Model

17.5 The Cox, Ingersoll and Ross Model

17.6 Two-Factor Models

17.7 Introduction to No-Arbitrage Models

17.8 Modeling Forward Rates

17.9 Developing Markov Models

17.10 Ho and Lee Model

17.11 Hull and White Model

17.12 Interest Rate Trees

17.13 A General Tree-Building Procedure

17.14 Nonstationary Models

17.15 Forward Rates and Futures Rates

17.16 Summary

Suggestions for Further Reading

Questions and Problems

18 EXOTlC OPTlONS

18.1 Types of Exotic Options

18.2 Basic Numerical Procedures

18.3 Path-Dependent Derivatives

18.4 Lookback Options

18.5 Barrier Options

18.6 Options on Two Correlated Assets

18.7 Hedging issues

18.8 Static Options Replication

18.9 Summary

Suggestions for Further Reading

Questions and Problems

19 ALTERNATlVES TO BLACK-SCHOLES

FOR OPTlON PRlClNG

19.1 Known Changes in the Interest Rate

and Volatility

19.2 Merton's Stochastic interest Rate Model

19.3 Pricing Biases

19.4 Altemative Models

19.5 Overview of Pricing Biases

19.6 Stochastic Volatility

19.7 How Black-Scholes Is Used in Practice

19.8 Implied Trees

19.9 Empirical Research

19.10 Summary

Suggestions for Further Reading

Questions and Problems

Appendix 19A Pricing Formulas for Altemative Models

20 CREDlT RlSK AND REGULATORY CAPlTAL

20.1 Background

20.2 Adjusting the Prices of Options for Credil Risk

20.3 Contracts That Can Be Assets or Liabilities

20.4 Historical Default Experience

20.5 Valuation of Convertible Bonds

20.6 The BlS Capital Requirements

20.7 Reducing Exposure to Credit Risk

20.8 Summary

Suggestions for Further Reading

Questions and Problems

21 REVIEW OF KEY CONCEPTS

21.1 Riskless Hedges

21.2 Traded Securities versus Other Underlying Variables

21.3 Risk-Neutral Valuation

21.4 Those Big Losses

21.5 A Final Word

MAJOR EXCHANGES

GLOSSARY OF NOTATlON

TABLE FOR N(x) WHEN x 0

TABLE FOR N(x) WHEN x 0

AUTHOR INDEX

SUBJECT INDEX

作者简介

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。 ……

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