CH10期权期货与衍生证券第五版

1、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,24.1,Interest Rate Derivatives: More Advanced ModelsChapter 24,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,24.2,The Two-Factor Hull-White Model (Equation 24.1, page 571),Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,24.3,Analytic Results,Bond prices and European options on zero-coupon bonds can be calculated analytically when f(r) = r,Opt。

2、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,16.1,Value at Risk Chapter 16,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,16.2,The Question Being Asked in VaR,“What loss level is such that we are X% confident it will not be exceeded in N business days?”,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,16.3,VaR and Regulatory Capital,Regulators base the capital they require banks to keep on。

3、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,21.1,Martingales and Measures Chapter 21,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,21.2,Derivatives Dependent on a Single Underlying Variable,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,21.3,Forming a Riskless Portfolio,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,21.4,Market Price of Risk (Page 485)。

4、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,20.1,More on Models and Numerical ProceduresChapter 20,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,20.2,Models to be Considered,Constant elasticity of variance (CEV)Jump diffusionStochastic volatilityImplied volatility function (IVF),Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,20.3,CEV Model (p456),When a = 1 we have the Black-Scholes 。

5、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,13.1,Options onStock Indices, Currencies, and FuturesChapter 13,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,13.2,European Options on StocksProviding a Dividend Yield,We get the same probability distribution for the stock price at time T in each of the following cases:1.The stock starts at price S0 and provides a dividend yield = q2.The stock starts at price S0eq T 。

6、1,The Black-ScholesModelChapter 12,2,The Stock Price Assumption,Consider a stock whose price is SIn a short period of time of length dt, the return on the stock is normally distributed:where m is expected return and s is volatility,3,The Lognormal Property(Equations 12.2 and 12.3, page 235),It follows from this assumption that Since the logarithm of ST is normal, ST is lognormally distributed,The Lognormal Distribution,5,Continuously Compounded Return, h (Equations 12.6 and 1。

7、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,22.1,Interest Rate Derivatives: The Standard Market ModelsChapter 22,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,22.2,Why Interest Rate Derivatives are Much More Difficult to Value Than Stock Options,We are dealing with the whole term structure of interest rates; not a single variableThe probabilistic behavior of an individual interest rate is more complicated than that 。

8、Options, Futures, and Other Drerivatives, 5th edition 2002 by John C. Hull,4.1,Hedging Strategies Using Futures,Chapter 4,Options, Futures, and Other Drerivatives, 5th edition 2002 by John C. Hull,4.2,Long & Short Hedges,A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the priceA short futures hedge is appropriate when you know you will sell an asset in the future & want to lock in the price,Options, Futures, 。

9、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,19.1,Exotic OptionsChapter 19,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,19.2,Types of Exotics,PackageNonstandard American optionsForward start optionsCompound optionsChooser optionsBarrier options,Binary optionsLookback optionsShout optionsAsian optionsOptions to exchange one asset for anotherOptions involving several assets,Options, Futures, and Other Derivatives。

10、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,14.1,The Greek LettersChapter 14,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,14.2,Example,A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stockS0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13%The Black-Scholes value of the option is $240,000How does the bank hedge its risk to lock in a $60,000 profit?,Options,。

11、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,6.1,SwapsChapter 6,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,6.2,Nature of Swaps,A swap is an agreement to exchange cash flows at specified future times according to certain specified rules,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,6.3,An Example of a “Plain Vanilla” Interest Rate Swap,An agreement by Microsoft to receive 6-month LIBO。

12、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,3.1,Determination of Forward and Futures PricesChapter 3,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,3.2,Consumption vs Investment Assets,Investment assets are assets held by significant numbers of people purely for investment purposes (Examples: gold, silver)Consumption assets are assets held primarily for consumption (Examples: copper, oil),Options, Futures, and Other De。

13、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,30.1,Derivatives Mishaps and What We Can Learn from Them,Chapter 30,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,30.2,Big Losses by Financial Institutions,Allied Irish Bank ($700 million)Barings ($1 billion)Chemical Bank ($33 million)Daiwa ($1 billion)Kidder Peabody ($350 million)LTCM ($4 billion)Midland Bank ($500 million)National Bank ($130 million)Sumitomo ($2 billion。

14、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,15.1,Volatility Smiles Chapter 15,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,15.2,Put-Call Parity Arguments,Put-call parity p +S0e-qT = c +X er T holds regardless of the assumptions made about the stock price distributionIt follows thatpmkt-pbs=cmkt-cbs,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,15.3,Implied Volatilities,The implie。

15、Model of the Behaviorof Stock PricesChapter 11,Categorization of Stochastic Processes,Discrete time; discrete variableDiscrete time; continuous variableContinuous time; discrete variableContinuous time; continuous variable,Modeling Stock Prices,We can use any of the four types of stochastic processes to model stock pricesThe continuous time, continuous variable process proves to be the most useful for the purposes of valuing derivatives,Markov Processes (See pages 216-7),In a Markov proce。

16、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,1.1,IntroductionChapter 1,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,1.2,The Nature of Derivatives,A derivative is an instrument whose value depends on the values of other more basic underlying variables,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,1.3,Examples of Derivatives,Forward ContractsFutures Contracts SwapsOptions,Option。

17、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,5.1,Interest Rate MarketsChapter 5,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,5.2,Types of Rates,Treasury ratesLIBOR ratesRepo rates,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,5.3,Zero Rates,A zero rate (or spot rate), for maturity T is the rate of interest earned on an investment that provides a payoff only at time T,Options, Future。

18、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,28.1,Chapter 28Real Options,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,28.2,An Alternative to the NPV Rule for Capital Investments,Define stochastic processes for the key underlying variables and use risk-neutral valuationThis approach (known as the real options approach) is likely to do a better job at valuing growth options, abandonment options, etc than NPV,Options, Futu。

19、Numerical ProceduresChapter 18,Binomial Trees,Binomial trees are frequently used to approximate the movements in the price of a stock or other assetIn each small interval of time the stock price is assumed to move up by a proportional amount u or to move down by a proportional amount d,Movements in Time dt(Figure 18.1),Su,Sd,S,p,1 p,1. Tree Parameters for aNondividend Paying Stock,We choose the tree parameters p, u, and d so that the tree gives correct values for the mean & standar。

20、Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,10.1,Introduction toBinomial TreesChapter 10,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,10.2,A Simple Binomial Model,A stock price is currently $20In three months it will be either $22 or $18,Stock Price = $22,Stock Price = $18,Stock price = $20,Options, Futures, and Other Derivatives, 5th edition 2002 by John C. Hull,10.3,Stock Price = $22Option Price = $1,St。