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American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
Autore Silvestrov Dmitrii S.
Pubbl/distr/stampa Berlin, Germany : , : De Gruyter, , 2015
Descrizione fisica 1 online resource (572 p.)
Disciplina 332.6453
Collana De Gruyter Studies in Mathematics
Soggetto topico Options (Finance) - Mathematical models
Stochastic approximation
Business mathematics
Soggetto genere / forma Electronic books.
ISBN 3-11-038990-8
3-11-032984-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics
Record Nr. UNINA-9910464447303321
Silvestrov Dmitrii S.  
Berlin, Germany : , : De Gruyter, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
Autore Silvestrov Dmitrii S.
Pubbl/distr/stampa Berlin, Germany : , : De Gruyter, , 2015
Descrizione fisica 1 online resource (572 p.)
Disciplina 332.6453
Collana De Gruyter Studies in Mathematics
Soggetto topico Options (Finance) - Mathematical models
Stochastic approximation
Business mathematics
Soggetto non controllato American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm
ISBN 3-11-038990-8
3-11-032984-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics
Record Nr. UNINA-9910788816603321
Silvestrov Dmitrii S.  
Berlin, Germany : , : De Gruyter, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
Autore Silvestrov Dmitrii S.
Pubbl/distr/stampa Berlin, Germany : , : De Gruyter, , 2015
Descrizione fisica 1 online resource (572 p.)
Disciplina 332.6453
Collana De Gruyter Studies in Mathematics
Soggetto topico Options (Finance) - Mathematical models
Stochastic approximation
Business mathematics
Soggetto non controllato American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm
ISBN 3-11-038990-8
3-11-032984-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics
Record Nr. UNINA-9910822000303321
Silvestrov Dmitrii S.  
Berlin, Germany : , : De Gruyter, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Analysis, geometry, and modeling in finance : advanced methods in option pricing / Pierre Henry-Labordère
Analysis, geometry, and modeling in finance : advanced methods in option pricing / Pierre Henry-Labordère
Autore Henry-Labordère, Pierre
Pubbl/distr/stampa Boca Raton : CRC Press, c2009
Descrizione fisica 383 p. : ill. ; 25 cm
Disciplina 332.6453
Collana Chapman & Hall/CRC financial mathematics series
Soggetto topico Opzioni - Modelli matematici
ISBN 9781420086997
1420086995
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNISALENTO-991000812779707536
Henry-Labordère, Pierre  
Boca Raton : CRC Press, c2009
Materiale a stampa
Lo trovi qui: Univ. del Salento
Opac: Controlla la disponibilità qui
The Complete Book of Option Spreads and Combinations [[electronic resource] ] : Strategies for Income Generation, Directional Moves, and Risk Reduction
The Complete Book of Option Spreads and Combinations [[electronic resource] ] : Strategies for Income Generation, Directional Moves, and Risk Reduction
Autore Nations Scott
Pubbl/distr/stampa Hoboken, : Wiley, 2014
Descrizione fisica 1 online resource (267 p.)
Disciplina 332.64
332.6453
Collana Wiley Trading
Soggetto topico Investment analysis
Options (Finance) -- Mathematics
Options (Finance)
Options (Finance) - Mathematics
Finance
Business & Economics
Investment & Speculation
ISBN 1-118-81932-2
1-118-80639-5
Classificazione BUS027000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Complete Book of Option Spreads and Combinations; Contents; Foreword; Preface; The Spreads and Combinations; Chapter 1 Not Just More or Less but Different; The "Flavors": Calls and Puts; The Expiration Date; The Strike Price; An Option Corresponds to 100 Shares of Stock; Defining an Option; Moneyness; What We Mean by Spread and Combination; A Final Thought; Chapter 2 Just a Little Math; The Option Price; Volatility and the Volatility Implied by the Option Price; Option Erosion; Option Price Sensitivities; Sensitivity to the Passage of Time; Sensitivity to the Price of the Underlying Stock
Changes in VolatilityOther Sensitivities; Chapter 3 Vertical Spreads; Buying and Selling Vertical Spreads; Vertical Spread Maximum and Minimum Values; Naming; Moneyness and Vertical Spreads; Bullish and Bearish Vertical Spreads; Selling a Call Vertical Spread; Breakeven Points; The Necessary Price Action; Vertical Spreads and Your Market Outlook; Asymmetry of Risk and Reward for Vertical Spreads; Option Delta and Likelihood; Vertical Spread Value Prior to Expiration; The Other Greeks; The Best Measure of Vertical Spread Cost; In-the-Money Vertical Spreads; Chapter 4 Covered Calls
ProfitabilityCovered Calls and Downside Protection-Not As Much As We'd Like; Using Covered Calls to "Create" Dividends; Having Your Shares Called Away; Don't Fear Assignment; Stock Covered Vertical Call Spread; Chapter 5 Covered Puts; The Regret Point; Market Outlook; Out-of-the-Money Covered Puts; In-the-Money Covered Puts; At-the-Money or Nearly At-the-Money; Covered Put versus Covered Call; Chapter 6 Calendar Spreads; Call Calendar Spreads; Selling Calendar Spreads; Directionality; Catalysts; The Super Calendar; Chapter 7 Straddles; The Short Straddle; Likelihoods
Selling Covered StraddlesChapter 8 Strangles; Selling Strangles; Selling Covered Strangles; Chapter 9 Collars; Wider Collars; In-the-Money Collars; Potential Outcomes; A Zero-Cost Collar; Skew; How a Collar Is Similar to Other Spreads and Combinations; Put Spread Collar; Call Spread Collar; Chapter 10 Risk Reversal; Likelihoods; How Skew Helps a Risk Reversal; Call Spread Risk Reversal; Chapter 11 Butterflies; Buying and Selling Butterflies-The Terminology; Put Butterflies; Butterflies Prior to Expiration; Butterflies and Your Market Expectations; Broken Butterflies
Chapter 12 Condors and Iron CondorsSelling a Condor; The Bid/Ask Spread and Condor Spreads; Iron Condor; Directional Condors; Chapter 13 Conversion/Reversal; Reversal; Dividends; Pin Risk; Chapter 14 Ratio Spreads and Back Spreads; Vertical Spreads, Butterflies, and Ratio Spreads; Call Ratio Spreads; Call Ratio Spreads for Stock Repair; Back Spreads; Super Back Spreads; Chapter 15 Other Spreads and Combinations; Married Put; Diagonal Spread; Iron Butterfly; Christmas Tree; Box Spread; Jelly Roll; Stupid; Guts; Other Potential Spreads and Combinations; About the Website; About the Author
Index
Record Nr. UNINA-9910132154203321
Nations Scott  
Hoboken, : Wiley, 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The Complete Book of Option Spreads and Combinations : Strategies for Income Generation, Directional Moves, and Risk Reduction
The Complete Book of Option Spreads and Combinations : Strategies for Income Generation, Directional Moves, and Risk Reduction
Autore Nations Scott
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, : Wiley, 2014
Descrizione fisica 1 online resource (267 p.)
Disciplina 332.64
332.6453
Collana Wiley Trading
Soggetto topico Investment analysis
Options (Finance) -- Mathematics
Options (Finance)
Options (Finance) - Mathematics
Finance
Business & Economics
Investment & Speculation
ISBN 1-118-81932-2
1-118-80639-5
Classificazione BUS027000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Complete Book of Option Spreads and Combinations; Contents; Foreword; Preface; The Spreads and Combinations; Chapter 1 Not Just More or Less but Different; The "Flavors": Calls and Puts; The Expiration Date; The Strike Price; An Option Corresponds to 100 Shares of Stock; Defining an Option; Moneyness; What We Mean by Spread and Combination; A Final Thought; Chapter 2 Just a Little Math; The Option Price; Volatility and the Volatility Implied by the Option Price; Option Erosion; Option Price Sensitivities; Sensitivity to the Passage of Time; Sensitivity to the Price of the Underlying Stock
Changes in VolatilityOther Sensitivities; Chapter 3 Vertical Spreads; Buying and Selling Vertical Spreads; Vertical Spread Maximum and Minimum Values; Naming; Moneyness and Vertical Spreads; Bullish and Bearish Vertical Spreads; Selling a Call Vertical Spread; Breakeven Points; The Necessary Price Action; Vertical Spreads and Your Market Outlook; Asymmetry of Risk and Reward for Vertical Spreads; Option Delta and Likelihood; Vertical Spread Value Prior to Expiration; The Other Greeks; The Best Measure of Vertical Spread Cost; In-the-Money Vertical Spreads; Chapter 4 Covered Calls
ProfitabilityCovered Calls and Downside Protection-Not As Much As We'd Like; Using Covered Calls to "Create" Dividends; Having Your Shares Called Away; Don't Fear Assignment; Stock Covered Vertical Call Spread; Chapter 5 Covered Puts; The Regret Point; Market Outlook; Out-of-the-Money Covered Puts; In-the-Money Covered Puts; At-the-Money or Nearly At-the-Money; Covered Put versus Covered Call; Chapter 6 Calendar Spreads; Call Calendar Spreads; Selling Calendar Spreads; Directionality; Catalysts; The Super Calendar; Chapter 7 Straddles; The Short Straddle; Likelihoods
Selling Covered StraddlesChapter 8 Strangles; Selling Strangles; Selling Covered Strangles; Chapter 9 Collars; Wider Collars; In-the-Money Collars; Potential Outcomes; A Zero-Cost Collar; Skew; How a Collar Is Similar to Other Spreads and Combinations; Put Spread Collar; Call Spread Collar; Chapter 10 Risk Reversal; Likelihoods; How Skew Helps a Risk Reversal; Call Spread Risk Reversal; Chapter 11 Butterflies; Buying and Selling Butterflies-The Terminology; Put Butterflies; Butterflies Prior to Expiration; Butterflies and Your Market Expectations; Broken Butterflies
Chapter 12 Condors and Iron CondorsSelling a Condor; The Bid/Ask Spread and Condor Spreads; Iron Condor; Directional Condors; Chapter 13 Conversion/Reversal; Reversal; Dividends; Pin Risk; Chapter 14 Ratio Spreads and Back Spreads; Vertical Spreads, Butterflies, and Ratio Spreads; Call Ratio Spreads; Call Ratio Spreads for Stock Repair; Back Spreads; Super Back Spreads; Chapter 15 Other Spreads and Combinations; Married Put; Diagonal Spread; Iron Butterfly; Christmas Tree; Box Spread; Jelly Roll; Stupid; Guts; Other Potential Spreads and Combinations; About the Website; About the Author
Index
Record Nr. UNINA-9910811584403321
Nations Scott  
Hoboken, : Wiley, 2014
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The Complete Options Trader : A Strategic Reference for Derivatives Profits / / by Michael C. Thomsett
The Complete Options Trader : A Strategic Reference for Derivatives Profits / / by Michael C. Thomsett
Autore Thomsett Michael C
Edizione [1st ed. 2018.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2018
Descrizione fisica 1 online resource (ix, 248 pages)
Disciplina 332.6453
Soggetto topico Finance
Investment banking
Securities
Finance, Personal
Pensions
Popular Science in Finance
Investments and Securities
Personal Finance/Wealth Management/Pension Planning
ISBN 3-319-76505-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction -- Section 1 - Market Overview -- Section 2 - Market Risks -- Section 3 - Option Strategies -- Section 4 - Option Glossary -- Section 5 - Elements of Value -- Section 6 - Return Calculations -- Section 7 - Options and Stock Selection -- Section 8 - Option Taxation.
Record Nr. UNINA-9910299655303321
Thomsett Michael C  
Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2018
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Demystifying exotic products [[electronic resource] ] : interest rates, equities and foreign exchange / / Chia Chiang Tan
Demystifying exotic products [[electronic resource] ] : interest rates, equities and foreign exchange / / Chia Chiang Tan
Autore Tan Chia Chiang
Pubbl/distr/stampa Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010
Descrizione fisica 1 online resource (274 p.)
Disciplina 332.45
332.6
332.63228
332.6453
Collana The Wiley Finance Series
Soggetto topico Exotic options (Finance)
Futures
ISBN 1-119-20663-4
0-470-68788-6
1-282-68443-4
9786612684432
0-470-68689-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Demystifying Exotic Products; Contents; Foreword; Preface; Acknowledgements; Notes; 1 Derivatives in their Golden Days (1994 to 2007); 2 Themes in Constructing Exotic Products; 3 Basics of Derivatives; 4 Barriers; 5 Quantoes; 6 Swaps, Constant Maturity Swaps and Spreads; 7 Range Accruals; 8 Early Termination; 9 Pathwise Accumulators; 10 Power Reverse Dual Currencies; 11 Baskets and Hybrids; 12 Some Exotic Equity Products; 13 Volatility and Correlation Products; 14 Fund Derivatives; 15 The Products Post-2008; Some Final Thoughts; Glossary; Appendices; Bibliography; Index
Record Nr. UNINA-9910781083203321
Tan Chia Chiang  
Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The Financial Times guide to options : the plain and simple guide to successful strategies / / Lenny Jordan
The Financial Times guide to options : the plain and simple guide to successful strategies / / Lenny Jordan
Autore Jordan Lenny
Edizione [Second edition.]
Pubbl/distr/stampa Harlow, England : , : Pearson, , 2011
Descrizione fisica 1 online resource (xv, 318 p. ) : ill
Disciplina 332.6453
Altri autori (Persone) JordanLenny
Collana Financial Times guides
Soggetto topico Options (Finance)
ISBN 0-273-77645-2
1-283-05606-2
9786613056061
0-273-73687-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface About the author About this book Introduction Part 1 Options fundamentals 1 Options in Everyday life 2 The basics of calls 3 The basics of puts 4 Pricing and behaviour 5 Volatility and pricing models 6 The Greeks and risk assessment: delta 7 Gamma and theta 8 Vega Part 2 - Options spreads 9 Call spreads and put spreads 10 One by two directional spreads 11 Combos and hybrid spreads for market direction 12 Volatility spreads 13 Iron butterflies and iron condors 14 Butterflies and condors 15 The covered write, the calendar spread and the diagonal spread Part 3 Thinking about options 16 The interaction of the Greeks 17 Options performance based on cost 18 Options talk 1 19 Options talk 2: trouble shooting and common problems 20 Volatility skews Part 4 Basic non-essentials 21 Futures, synthetics and put-call parity 22 Conversions, reversals, boxes and options arbitrage 23 Conclusion Glossary Suggestions for further reading Index of underlying contracts Index
Record Nr. UNINA-9910150237203321
Jordan Lenny  
Harlow, England : , : Pearson, , 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Fundamentals of futures and options market / / John C. Hull
Fundamentals of futures and options market / / John C. Hull
Autore Hull John <1946->
Edizione [Global edition, Eight edition.]
Pubbl/distr/stampa Harlow, England : , : Pearson, , [2016]
Descrizione fisica 1 online resource (623 pages) : illustrations
Disciplina 332.6453
Soggetto topico Options (Finance)
Futures markets
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover -- Title Page -- Copyright Page -- Contents in Brief -- Contents -- Preface -- Chapter 1: Introduction -- 1.1 Futures Contracts -- 1.2 History of Futures Markets -- 1.3 The Over-the-Counter Market -- 1.4 Forward Contracts -- 1.5 Options -- 1.6 History of Options Markets -- 1.7 Types of Trader -- 1.8 Hedgers -- 1.9 Speculators -- 1.10 Arbitrageurs -- 1.11 Dangers -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 2: Mechanics of Futures Markets -- 2.1 Opening and Closing Futures Positions -- 2.2 Speci?cation of a Futures Contract -- 2.3 Convergence of Futures Price to Spot Price -- 2.4 The Operation of Margin Accounts -- 2.5 OTC Markets -- 2.6 Market Quotes -- 2.7 Delivery -- 2.8 Types of Trader and Types of Order -- 2.9 Regulation -- 2.10 Accounting and Tax -- 2.11 Forward vs. Futures Contracts -- Summary -- Further Reading -- Quiz -- 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 -- Quiz -- Practice Questions -- Further Questions -- Appendix: Review of Key Concepts in Statistics and the CAPM -- 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 Theories of the Term Structure of Interest Rates -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: Exponential and Logarithmic Functions -- 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 Spot Prices -- Summary -- Further Reading -- Quiz -- 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 -- 6.5 Duration-Based Hedging Strategies Using Futures -- Summary -- Further Reading -- Quiz -- 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 Overnight Indexed Swaps -- 7.7 Valuation of Interest Rate Swaps -- 7.8 Estimating the Zero Curve for Discounting -- 7.9 Forward Rates -- 7.10 Valuation in Terms of Bonds -- 7.11 Term Structure E?ects -- 7.12 Fixed-for-Fixed Currency Swaps -- 7.13 Valuation of Fixed-for-Fixed Currency Swaps -- 7.14 Other Currency Swaps -- 7.15 Credit Risk -- 7.16 Other Types of Swap -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 8: Securitization and the Credit Crisis of 2007 -- 8.1 Securitization -- 8.2 The U.S. Housing Market -- 8.3 What Went Wrong? -- 8.4 The Aftermath -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 9: Mechanics of Options Markets -- 9.1 Types of Option -- 9.2 Option Positions -- 9.3 Underlying Assets -- 9.4 Speci?cation of Stock Options -- 9.5 Trading -- 9.6 Commissions -- 9.7 Margin Requirements.
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 Options Markets -- Summary -- Further Reading -- Quiz -- 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 -- Quiz -- Practice Questions -- Further Questions -- Chapter 11: Trading Strategies Involving Options -- 11.1 Principal-Protected Notes -- 11.2 Strategies Involving a Single Option and a Stock -- 11.3 Spreads -- 11.4 Combinations -- 11.5 Other Pay o?s -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 12: Introduction to 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 Determining u and d -- 12.8 Increasing the Number of Time Steps -- 12.9 Using DerivaGem -- 12.10 Options on Other Assets -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: Derivation of the Black-Scholes-Merton Option Pricing Formula from Binomial Tree -- Chapter 13: Valuing Stock Options: The Black-Scholes-Merton Model -- 13.1 AssumptionsaboutHowStockPricesEvolve -- 13.2 Expected Return -- 13.3 Volatility -- 13.4 Estimating Volatility from Historical Data -- 13.5 Assumptions Underlying Black-Scholes-Merton -- 13.6 The Key No-Arbitrage Argument -- 13.7 The Black-Scholes-Merton Pricing Formulas -- 13.8 Risk-Neutral Valuation -- 13.9 Implied Volatilities.
13.10 Dividends -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: The Early Exercise of American Call Options on Dividend-Paying Stocks -- Chapter 14: Employee Stock Options -- 14.1 Contractual Arrangements -- 14.2 Do Options Align the Interests of Shareholders and Managers? -- 14.3 AccountingIssues -- 14.4 Valuation -- 14.5 Backdating Scandals -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 15: Options on Stock Indices and Currencies -- 15.1 Options on Stock Indices -- 15.2 Currency Options -- 15.3 Options on Stocks Paying Known Dividend Yields -- 15.4 Valuation of European Stock Index Options -- 15.5 Valuation of European Currency Options -- 15.6 American Options -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 16: Futures Options -- 16.1 Nature of Futures Options -- 16.2 Reasons for the Popularity of Futures Options -- 16.3 European Spot and Futures Options -- 16.4 Put-Call Parity -- 16.5 Bounds for Futures Options -- 16.6 Valuation of Futures Options Using Binomial Trees -- 16.7 A Futures Price as an Asset Providing a Yield -- 16.8 Black's Model for Valuing Futures Options -- 16.9 Using Black's Model Instead of Black-Scholes-Merton -- 16.10 American Futures Options vs. American Spot Options -- 16.11 Futures-Style Options -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 17: The Greek Letters -- 17.1 Illustration -- 17.2 Naked and Covered Positions -- 17.3 A Stop-Loss Strategy -- 17.4 Delta Hedging -- 17.5 Theta -- 17.6 Gamma -- 17.7 Relationship Between Delta, Theta, and Gamma -- 17.8 Vega -- 17.9 Rho -- 17.10 The Realities of Hedging -- 17.11 Scenario Analysis -- 17.12 Extension of Formulas -- 17.13 Creating Options Synthetically for Portfolio Insurance.
17.14 Stock Market Volatility -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 18: Binomial Trees in Practice -- 18.1 The Binomial Model for a Non-Dividend-Paying Stock -- 18.2 Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts -- 18.3 The Binomial Model for a Dividend-Paying Stock -- 18.4 Extensions of the Basic Tree Approach -- 18.5 Alternative Procedure for Constructing Trees -- 18.6 Monte Carlo Simulation -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 19: Volatility Smiles -- 19.1 Foreign Currency Options -- 19.2 Equity Options -- 19.3 The Volatility Term Structure and Volatility Surfaces -- 19.4 When a Single Large Jump Is Anticipated -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: Why the Put Volatility Smile is the Same as the Call Volatility Smile -- Chapter 20: Value at Risk -- 20.1 The VaR Measure -- 20.2 Historical Simulation -- 20.3 Model-Building Approach -- 20.4 Generalization of Linear Model -- 20.5 Quadratic Model -- 20.6 Estimating Volatilities and Correlations -- 20.7 Comparison of Approaches -- 20.8 Stress Testing and Back Testing -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 21: InterestRateOptions -- 21.1 Exchange-Traded Interest Rate Options -- 21.2 Embedded Bond Options -- 21.3 Black's Model -- 21.4 European Bond Options -- 21.5 Interest Rate Caps -- 21.6 European Swap Options -- 21.7 Term Structure Models -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 22: Exotic Options and Other Nonstandard Products -- 22.1 Exotic Options -- 22.2 Agency Mortgage-Backed Securities -- 22.3 Nonstandard Swaps -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions.
Chapter 23: Credit Derivatives.
Record Nr. UNINA-9910154929203321
Hull John <1946->  
Harlow, England : , : Pearson, , [2016]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui