赫尔期权期货及其他衍生产品 英文版第10版

CONTENTS IN BRIEF
List of Business Snapshots ...........................................................................xviii
List of Technical Notes................................................................................. xix
Preface ........................................................................................................xx
1. Introduction...................................................................................................1
2. Futures markets and central counterparties....................................................... 24
3. Hedging strategies using futures ...................................................................... 49
4. Interest rates ................................................................................................ 77
5. Determination of forward and futures prices................................................... 107
6. Interest rate futures ..................................................................................... 135
7. Swaps ....................................................................................................... 155
8. Securitization and the credit crisis of 2007 ...................................................... 184
9. XVAs........................................................................................................ 199
10. Mechanics of options markets ...................................................................... 209
11. Properties of stock options ........................................................................... 231
12. Trading strategies involving options ............................................................... 252
13. Binomial trees ............................................................................................ 272
14. Wiener processes and Itoˆ ’s lemma ................................................................. 300
15. The Black–Scholes–Merton model................................................................ 319
16. Employee stock options ............................................................................... 352
17. Options on stock indices and currencies ......................................................... 365
18. Futures options and Black’s model................................................................ 381
19. The Greek letters ........................................................................................ 397
20. Volatility smiles .......................................................................................... 430
21. Basic numerical procedures .......................................................................... 449
22. Value at risk and expected shortfall ............................................................... 493
23. Estimating volatilities and correlations ........................................................... 520
24. Credit risk ................................................................................................. 543
25. Credit derivatives ........................................................................................ 569
26. Exotic options ............................................................................................ 596
27. More on models and numerical procedures..................................................... 622
28. Martingales and measures ............................................................................ 652
29. Interest rate derivatives: The standard market models....................................... 670
30. Convexity, timing, and quanto adjustments..................................................... 689
31. Equilibrium models of the short rate ............................................................. 702
32. No-arbitrage models of the short rate ............................................................ 715
33. HJM, LMM, and multiple zero curves........................................................... 738
34. Swaps Revisited .......................................................................................... 757
35. Energy and commodity derivatives ................................................................ 772
36. Real options .............................................................................................. 789
37. Derivatives mishaps and what we can learn from them..................................... 803
Glossary of terms ....................................................................................... 815
DerivaGem software.................................................................................... 838
Major exchanges trading futures and options .................................................. 843
Tables for NexT........................................................................................... 844
Credits ...................................................................................................... 846
Author index.............................................................................................. 847
Subject index.............................................................................................. 851
TECHNICAL NOTES
Available on the Author’s Website
www-2.rotman.utoronto.ca/hull/technicalnotes
1. Convexity Adjustments to Eurodollar Futures
2. Properties of the Lognormal Distribution
3. Warrant Valuation When Value of Equity plus Warrants Is Lognormal
4. Exact Procedure for Valuing American Calls on Stocks Paying a Single Dividend
5. Calculation of the Cumulative Probability in a Bivariate Normal Distribution
6. Differential Equation for Price of a Derivative on a Stock Paying a Known Dividend
Yield
7. Differential Equation for Price of a Derivative on a Futures Price
8. Analytic Approximation for Valuing American Options
9. Generalized Tree-Building Procedure
10. The Cornish–Fisher Expansion to Estimate VaR
11. Manipulation of Credit Transition Matrices
12. Calculation of Cumulative Noncentral Chi-Square Distribution
13. Efficient Procedure for Valuing American-Style Lookback Options
14. The Hull–White Two-Factor Model
15. Valuing Options on Coupon-Bearing Bonds in a One-Factor Interest Rate Model
16. Construction of an Interest Rate Tree with Nonconstant Time Steps and Nonconstant
Parameters
17. The Process for the Short Rate in an HJM Term Structure Model
18. Valuation of a Compounding Swap
19. Valuation of an Equity Swap
20. Changing the Market Price of Risk for Variables That Are Not the Prices of Traded
Securities
21. Hermite Polynomials and Their Use for Integration
22. Valuation of a Variance Swap
23. The Black, Derman, Toy Model
24. Proof that Forward and Futures Prices are Equal When Interest Rates Are Constant
25. A Cash-Flow Mapping Procedure
26. A Binomial Measure of Credit Correlation
27. Calculation of Moments for Valuing Asian Options
28. Calculation of Moments for Valuing Basket Options
29. Proof of Extensions to Itoˆ ’s Lemma
30. The Return of a Security Dependent on Multiple Sources of Uncertainty
31. Properties of Ho–Lee and Hull–White Interest Rate Models

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