Scaling concepts in polymer physics / Pierre-Gilles de Gennes

• Record Nr.: UNICAMPANIASUN0042147
• Autore: Gennes, Pierre Gilles de
• Pubbl/distr/stampa: Ithaca [N.Y.] ; London : Cornell University, 1979
• ISBN: 08-01-41203-X
• Descrizione fisica: 324 p. : ill. ; 24 cm.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia

Options, futures and other derivatives / / John C. Hull

• Record Nr.: UNINA9910151651103321
• Autore: Hull John <1946->
• Pubbl/distr/stampa: Boston : , : Pearson, , [2012]; ©2012
• ISBN: 1-4479-3041-X; 9780273759072 (pbk.)
• Edizione: [8th edition; global edition.]
• Descrizione fisica: 1 online resource (871 pages) : illustrations
• Disciplina: 332.645
• Soggetti: Futures; Stock options; Derivative securities
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Bibliographic Level Mode of Issuance: Monograph
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Cover -- Contents -- List of Business Snapshots -- List of Technical Notes -- Preface -- 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 Dangers -- ; Summary -- Further reading -- Practice questions -- Further questions -- Chapter 2. Mechanics of futures markets -- 2.1 Background -- 2.2 Specification of a futures contract -- 2.3 Convergence of futures price to spot price -- 2.4 The operation of margins -- 2.5 OTC markets -- 2.6 Market 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 Measuring interest rates -- 4.3 Zero rates -- 4.4 Bond pricing -- 4.5 Determining Treasury zero rates -- 4.6 Forward rates -- 4.7 Forward rate agreements -- 4.8 Duration -- 4.9 Convexity -- 4.10 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 the expected future spot price -- 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 The nature of swap rates -- 7.6 Determining the LIBOR/swap zero rates -- 7.7 Valuation of interest rate swaps -- 7.8 Overnight indexed swaps -- 7.9 Currency swaps -- 7.10 Valuation of currency swaps -- 7.11 Credit risk -- 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 US housing market -- 8.3 What went wrong? -- 8.4 The aftermath -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 9. Mechanics of options markets -- 9.1 Types of options -- 9.2 Option positions -- 9.3 Underlying assets -- 9.4 Specification of stock options -- 9.5 Trading -- 9.6 Commissions -- 9.7 Margins -- 9.8 The options clearing corporation -- 9.9 Regulation -- 9.10 Taxation -- 9.11 Warrants, employee stock options, and convertibles -- 9.12 Over-the-counter markets -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 10. Properties of stock options -- 10.1 Factors affecting option prices -- 10.2 Assumptions and notation.; 10.3 Upper and lower bounds for option prices -- 10.4 Put-call parity -- 10.5 Calls on a non-dividend-paying stock -- 10.6 Puts on a non-dividend-paying stock -- 10.7 Effect of dividends -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 11. Trading strategies involving options -- 11.1 Principal-protected notes -- 11.2 Trading an option and the underlying asset -- 11.3 Spreads -- 11.4 Combinations -- 11.5 Other payoffs -- Summary -- ; Further reading -- Practice questions -- Further questions -- Chapter 12. Binomial trees -- 12.1 A one-step binomial model and a no-arbitrage argument -- 12.2 Risk-neutral valuation -- 12.3 Two-step binomial trees -- 12.4 A put example -- 12.5 American options -- 12.6 Delta -- 12.7 Matching volatility with u and d -- 12.8 The binomial tree formulas -- 12.9 Increasing the number of steps -- 12.10 Using DerivaGem -- 12.11 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 13. Wiener processes and Itô's lemma -- 13.1 The Markov property -- 13.2 Continuous-time stochastic processes -- 13.3 The process for a stock price -- 13.4 The parameters -- 13.5 Correlated processes -- 13.6 Itô's lemma -- 13.7 The lognormal property -- Summary -- Further reading -- Practice questions -- Further questions -- Appendix: Derivation of Itô's lemma -- Chapter 14. The Black-Scholes-Merton model -- 14.1 Lognormal property of stock prices -- 14.2 The distribution of the rate of return -- 14.3 The expected return -- 14.4 Volatility -- 14.5 The idea underlying the Black-Scholes-Merton differential equation -- 14.6 Derivation of the Black-Scholes-Merton differential equation -- 14.7 Risk-neutral valuation -- 14.8 Black-Scholes-Merton pricing formulas.; 14.9 Cumulative normal distribution function -- 14.10 Warrants and employee stock options -- 14.11 Implied volatilities -- 14.12 Dividends -- Summary -- Further reading -- Practice questions -- Further questions -- Appendix: Proof of Black-Scholes-Merton formula using risk-neutral valuation -- Chapter 15. Employee stock options -- 15.1 Contractual arrangements -- 15.2 Do options align the interests of shareholders and managers? -- 15.3 Accounting issues -- 15.4 Valuation -- 15.5 Backdating scandals -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 16. Options on stock indices and currencies -- 16.1 Options on stock indices -- 16.2 Currency options -- 16.3 Options on stocks paying known dividend yields -- 16.4 Valuation of European stock index options -- 16.5 Valuation of European currency options -- 16.6 American options -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 17. Futures options -- 17.1 Nature of futures options -- 17.2 Reasons for the popularity of futures options -- 17.3 European spot and futures options -- 17.4 Put-call parity -- 17.5 Bounds for futures options -- 17.6 Valuation of futures options using binomial trees -- 17.7 Drift of a futures prices in a risk-neutral world -- 17.8 Black's model for valuing futures options -- 17.9 American futures options vs. American spot options -- 17.10 Futures-style options -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 18. The Greek letters -- 18.1 Illustration -- 18.2 Naked and covered positions -- 18.3 A stop-loss strategy -- 18.4 Delta hedging -- 18.5 Theta -- 18.6 Gamma -- 18.7 Relationship between delta, theta, and gamma -- 18.8 Vega -- 18.9 Rho -- 18.10 The realities of hedging -- 18.11 Scenario analysis -- 18.12 Extension of formulas -- 18.13 Portfolio insurance.; 18.14 Stock market volatility -- Summary -- Further reading -- Practice questions -- Further questions -- Appendix: Taylor series expansions and hedge parameters -- Chapter 19. Volatility smiles -- 19.1 Why the volatility smile is the same for calls and puts -- 19.2 Foreign currency options -- 19.3 Equity options -- 19.4 Alternative ways of characterizing the volatility smile -- 19.5 The volatility term structure and volatility surfaces -- 19.6 Greek letters -- 19.7 The role of the model -- 19.8 When a single large jump is anticipated -- Summary -- Further reading -- Practice questions -- Further questions ; -- Appendix: Determining implied risk-neutral distributions from volatility smiles -- Chapter 20. Basic numerical procedures -- 20.1 Binomial trees -- 20.2 Using the binomial tree for options on indices, currencies, and futures contracts -- 20.3 Binomial model for a dividend-paying stock -- 20.4 Alternative procedures for constructing trees -- 20.5 Time-dependent parameters -- 20.6 Monte Carlo simulation -- 20.7 Variance reduction procedures -- 20.8 Finite difference methods -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 21. Value at risk -- 21.1 The VaR measure -- 21.2 Historical simulation -- 21.3 Model-building approach -- 21.4 Linear model -- 21.5 Quadratic model -- 21.6 Monte Carlo simulation -- 21.7 Comparison of approaches -- 21.8 Stress testing and back testing -- 21.9 Principal components analysis -- Summary -- Further reading -- Practice questions -- Further questions -- Chapter 22. Estimating volatilities and correlations -- 22.1 Estimating volatility -- 22.2 The exponentially weighted moving average model -- 22.3 The GARCH (1,1) model -- 22.4 Choosing between the models -- 22.5 Maximum likelihood methods -- 22.6 Using GARCH (1,1) to forecast future volatility -- 22.7 Correlations.; 22.8 Application of EWMA to four-index example.
• Sommario/riassunto: For undergraduate and graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.Bridge the gap between theory and practice. This title is a Pearson Global Edition. The Editorial team at Pearson has worked closely with educators around the world to include content which is especially relevant to students outside the United States.Designed to bridge the gap between theory and practice, this introductory text on the futures and options markets is ideal for those with a limited background in mathematics.The eighth edition has been updated and improved—featuring a new chapter on securitization and the credit crisis, and increased discussion on the way commodity prices are modeled and commodity derivatives valued. &nbsp.