Hull, J. C. (1997). Options, Futures, and Other Derivative, third edn, Prentice Hall.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....amounts of nancial data are recorded daily. These data are used in the nancial industry for statistical studies and for benchmarking. In particular, they can be used to measure the performance of a nancial instrument. Traditionally this has been done by studying the distribution of returns [1 3] calculated over a xed time period t. Such distributions measure how much an initial investment, made at time t, has gained or lost by the time t t. Numerous empirical studies have demonstrated that for not too large t s, say from a few seconds to weeksi, the corresponding distributions are ....

.... changes are much larger then what is to be expected from Gaussian statistics, Email : mhjensen nbi.dk Email : jan.anders.johansen risoe.dk Email : ingves nordita.dk Preprint submitted to Elsevier Science 24 October 2002 an assumption typically made in theoretical and mathematical nance [1 3]. However, as t is increased even further, the distribution of returns gradually converge to the Gaussian distribution. In the context of economics, it was recently suggested [5] partly inspired by earlier work in turbulence [6] to alternatively study the distribution of waiting times needed ....

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J. Hull, Options, Futures, and other Derivatives, 4th ed. (Prentice-Hall, London, 2000).

....and networks. 3.1 Pricing of Financial Derivatives The pricing of derivate and interest rate dependent products is an important field in finance. A derivative (or derivative security) is a financial instrument whose value depends on other, so called underlying securities (e.g. stock options) [27]. We concentrate on the pricing of interest rate dependent products, whose payments depend on actual or past interest rates 0.00 0.02 0.04 0.06 0.08 0.10 0.12 r a t e 0 1 2 3 4 5 pmid =0.67 pdown =0.16 pup =0.16 . ....

.... of a stochastic process that describes the dynamics of interest rates over time [28] The Hull and White tree describes the future development of the short term interest rate, which is a state variable used to calculate the interest rates for different maturities for a specific state of the system [27]. Each state is represented by a node in a directed graph and has three successor nodes, representing increasing, constant, and decreasing interest rates. Nodes are described by (time, interest rate) pairs. Arcs are labeled with the transition probabilities p up ; p mid ; p down . A state can be ....

J. C. Hull. Options, Futures, and Other Derivatives. Prentice Hall, April 1997.

....the underlying network structure makes capacity prices correlated, and hence the need to also handle correlated lognormal variables. The high dimensionality (due to the number of network routers) makes standard methods from mathematical nance fail. For instance, the standard binomial tree method [3] requires exponentially more memory as the number of assets grow. Therefore we will have to rely on the Monte Carlo method to evaluate the CDF within a probabilistically bounded error. Other applications which involve the evaluation the expected value of a discontinuous function of the future ....

John C. Hull. Options, Futures, and Other Derivatives. Prentice-Hall, 3rd edition, 1997.

.... To name a few areas where a volume weightening scheme like the one we present might be applied: Exponentially weighted moving averages (EWMA) and the (generalized) autoregressive conditional heteroscedasticity (ARCH, GARCH) model are used to estimate model volatilities (see, e.g. 1, 3] or [4], Ch. 15) e.g. in J.P. Morgans RiskMetrics VAR Methodology where an EWMA approach is used. In portfolio theory, asset al..location models like e.g. the Black Literman model try to find a weighting scheme which maximize the expected excess return over the risk free rate while ensuring that ....

....to August 1, 2001) price is closing price. 11 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.0011.0012.00 1.01 2.01 3.01 4.01 5. 01 Time 20 40 60 80 Value 10.00 11.00 Time 45 47.5 50 52.5 55 57.5 10.00 11.00 AOL: America Online December 1st, 1999 May 1st, 2001 [1] 2] 3] [4] MA(30) EWMA(0.95) EVWMA 2002 Christian Fries Figure 2: Stock price, eVWMA (red) MA(30) green) and EWMA (blue) and . 4.3 Defining Bands via Standard Deviation In the above we used the consideration of the mean of the approximated distribution of share prices to introduce an ....

HULL, JOHN: Options, futures, and other derivatives. 4th Edition. PrenticeHall, Inc. (2000). ISBN 0-13-022444-8.

....This is what we develop in this section, where the low (high) probability of opposite (equal) overnight signs (see Table 1) is used to build automatic investor pro#les. Each pro#le corresponds to a precise investment strategy, ful#lling certain rules compatible with the future market ones [13 15]. At the #rst investment day, a margin account is created and #lled with an initial margin for any contract opened [13] In our case, on the #rst day, before the closing time, two BTP future contracts, a short and a long position, are opened. Thus, at the beginning of each trading day, either ....

....1) is used to build automatic investor pro#les. Each pro#le corresponds to a precise investment strategy, ful#lling certain rules compatible with the future market ones [13 15] At the #rst investment day, a margin account is created and #lled with an initial margin for any contract opened [13]. In our case, on the #rst day, before the closing time, two BTP future contracts, a short and a long position, are opened. Thus, at the beginning of each trading day, either the short or the long position is closed, depending on the chosen strategy. Before the closing time of the same day, the ....

J.C. Hull, Options, Futures, and Other Derivatives, third ed., Prentice-Hall, Englewood Cli#s, NJ, 1996.

....is computed at the beginning of a hedge horizon in order to avoid the computing time required to reconstruct a volatility surface at each rebalancing time for each simulation; this surface is then used for the entire hedge period. We perform dynamic hedge simulation similar to that described in [9] to illustrate the hedge e#ectiveness. From the di#usion equation (3) paths of the underlying price movement are simulated using the Euler approximation. To compare hedge e#ectiveness, hedge error of an option needs to be quantified. Let t i n i=0 , t i 1 = t i #t, denote the discrete ....

....measured. Although these options are American, the spline inverse optimization formulation (2) remains a reasonable way to estimate the local volatility function from a given set of option prices; the American option values are computed using a partial di#erential equation approach as described in [9]. We consider the market futures option price data from May 1997 to March 1998. There are three index futures in this data set: the first index future matures on September 18, 1997, the second on December 18 1997, and the third on March 19 1998. The futures and options mature on the same day. ....

J. Hull. Options, Futures, and Other Derivatives. Prentice Hull, 1997.

....paper, we first review the basic Black Scholes model, and then examine the three cited methods. Special emphasis is placed on the difficulties in these new methods, and it is argued that a new paradigm truly superior to the basic Black Scholes model has yet to emerge. 1 Introduction Derivatives[4], which include options, futures, and swaps, are financial contracts which derive their value from that of an underlying asset, or simply, the underlying. For instance, a stock option, whose value depends on the price of a specific stock, is probably the most familiar form of a derivative ....

....gains in one asset is offset exactly by losses on the other, and vice versa. The result is a riskless portfolio. For this example, we put together a portfolio by buying a single call option and short selling ffi shares of the underlying stocks. Short selling has the exact opposite effect as buying [4]. The current value of our portfolio, Pi, is Pi = C Gamma ffi Delta S; 1) 4 where the minus sign reflects our short position on the stock. To make this portfolio riskless, ffi is chosen so that its value at expiration, Pi, is independent of the direction of stock price movements. This ....

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J. C. Hull. Options, Futures, and Other Derivatives. Prentice Hall, Third edition, 1997.

....in these cases. Similar to [11] we construct an option contract that gives the user the right to buy bandwidth share at a prescribed strike price (denote it by ) anytime during the length of a connection. As in [11] we interpret this option as a series of European call options (cf. [12]) integrated over time. Due to the fact that bandwidth is a perishable commodity, there seems to be no possibility of developing a value of this option based on arbitrage arguments. We thus take a direct approach. Using (15) and writing ) we have ....

J. C. Hull, Options, Futures, and other Derivatives, Prentice-Hall, 1997.

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Hull, J. C. (1997). Options, Futures, and Other Derivative, third edn, Prentice Hall.

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Hull, J. C. (1997). Options, Futures, and Other Derivatives, third edn, Prentice Hall.

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C.H.John, Options, Futures, and other Derivatives. 4th edition, Prentice-Hall,Inc, 1999.

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J. Hull. Options, Futures, and Other Derivatives, Fourth Edition. Prentice Hall, 2000.

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J. C. Hull, Options, futures, and other derivatives, Prentice-Hall, 3 ed., 1997.

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J. C. Hull, Options, Futures, and other Derivatives, Prentice-Hall, 1997.

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J.C. Hull. Options, Futures, and Other Derivatives. Prentice Hall, July 2002.

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John C. Hull. Options, Futures, and Other Derivatives. Prentice-Hall, 3rd edition, 1997.

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J. C. Hull. Options, Futures, and Other Derivatives. Prentice Hall, April 1997.

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J. C. Hull. Options, Futures, and Other Derivatives. Prentice Hall, third edition, 1997.

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J.C. Hull, Options, Futures, and Other Derivatives, 3rd Ed. (Prentice--Hall, Inc., Englewood Cliffs, NJ, 1996).

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Hull, J. (1996). Options, Futures, and other Derivatives. Prentice Hall, Englewood Cli#s, NJ.

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J. C. Hull. Options, futures, and other derivatives. Prentice Hall, fourth edition, 2000. 1, 11

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J. C. Hull, Options, Futures, and other Derivatives, Prentice-Hall, 1997.

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Hull, J.C. (2002) Options, Futures, and Other Derivatives, 5th Edition. Prentice Hall. 17

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J.C. Hull. Options, Futures, and Other Derivatives. Prentice Hall, July 2002.

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Hull, J., 1997, Options, Futures, and Other Derivatives, Prentice Hall.

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