Hull-White on derivatives : a compilation of articles
著者
書誌事項
Hull-White on derivatives : a compilation of articles
Risk Publications, c1996
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
This text provides an in-depth look at the impact of stochastic volatility on the pricing and hedging of options. It also examines how trees and lattices provide an alternative to the more complicated implicit finite difference method when valuing derivative instruments.
目次
Hull-White on Derivatives A Compilation of Articles John Hull and Alan White -------------------------------------------------------------------------------- CONTENTS Preface Stochastic Volatility Introduction The Pricing of Options on Assets with Stochastic Volatitlities An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility Hedging the Risks from Writing Foreign Currency Options Numerical Procedures Introduction Valuing Derivative Securities Using the Explicit Finite Difference Method The Use of the Control Variate Technique in Option Pricing Efficient Procedures for Valuing European and American Path-dependent Options Credit Risk Introduction Assessing Credit Risk in a Financial Institution's Off-balance Sheet Commitments The Impact of Default Risk on the Valuation of Options and Other Derivative Securities Term Structure Models: Theory Introduction Pricing Interest Rate Derivative Securities Bond Option Pricing Based on a Model for the Evolution of Bond Prices The Pricing of Options on Interest Rate Caps and Floors Using the Hull-White Model Term Structure Models: Implementation Introduction Single-factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities Numerical procedures for Implementing Term Structure Models Single-Factor Models Numerical Procedures for Implementing Term Structure Models Two-Factor Models Using Hull-White Interest Rate Trees Index
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