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Catalogue of options, futures and other derivatives
Recommended sequence 1

Recommended sequence 2

Translator's order

Brief introduction of the author

Brief introduction of translator

order

Introduction to Chapter 1

1. 1 trading market

1.2 OTC market

1.3 forward contract

1.4 futures contract

1.5 option contract

1.6 trader type

1.7 Hedger

1.8 speculators

1.9 arbitrator

1. 10 danger

summary

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Chapter II Operation Mechanism of Futures Market

2. 1 background knowledge

2.2 the terms of the futures contract

2.3 characteristics of convergence of futures prices to spot prices

2.4 Daily settlement and deposit operations

2.5 newspaper quotes

2.6 delivery

2.7 Types of Dealers and Trading Orders

2.8 system

2.9 Accounting and taxation

2. 10 comparison of forward and futures contracts

summary

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Chapter III Futures Hedging Strategy

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 Rolling forward to hedge

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Appendix 3A Proof of Minimum Variance Hedging Ratio Formula

Chapter IV Interest Rate

4. 1 interest rate type

4.2 Measurement of interest rate

4.3 Zero interest rate

4.4 Bond price

4.5 Determination of zero interest rate of national debt

4.6 Forward interest rate

4.7 Forward interest rate contract

4.8 Duration

4.9 curvature

4. 10 term structure theory of interest rate

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Chapter V Determination of Forward and Futures Prices

5. 1 investment assets and consumption assets

5.2 Short selling

5.3 Assumptions and symbols

5.4 Forward price of investment assets

5.5 Assets with known intermediate income

5.6 The rate of return is known

5.7 Pricing of Forward Contracts

5.8 Are the forward and futures prices equal?

5.9 Stock index futures price

5. 10 currency forward and futures contracts

5. 1 1 commodity futures

5. 12 holding cost

5. 13 delivery options

5. 14 futures price and expected spot price

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Appendix 5A proves that the forward price is equal to the futures price when the interest rate remains unchanged.

Chapter VI Interest Rate Futures

6. 1 day calculation convention

6.2 US Treasury futures

6.3 Eurodollar Futures

6.4 Use futures for hedging based on term.

6.5 Hedging of Asset and Liability Portfolio

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Chapter VII Exchange

7. 1 swap contract mechanism

7.2-day measurement practice

7.3 Confirmation Letter

7.4 View of Comparative Advantage

7.5 Nature of swap interest rate

7.6 Determine zero interest rate of LIBOR/ swap

7.7 Pricing of Interest Rate Swaps

7.8 Currency swap

7.9 Pricing of Currency Swaps

7. 10 credit risk

7. 1 1 Other types of interchanges

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Chapter VIII Operation Process of Option Market

8. 1 option type

8.2 option location

8.3 Basic assets

8.4 Characteristics of stock options

8.5 transaction

8.6 Commission

8.7 security deposit

8.8 Options Clearing Company

8.9 Regulatory Rules

8. 10 tax

8. 1 1 warrants, employee stock options and convertible securities

8. 12 OTC market

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Chapter IX Nature of Stock Options

9. 1 Factors affecting the option price

9.2 Assumptions and Labeling

9.3 Upper and lower limits of option price

9.4 bearish bullish parity relationship

9.5 Early exercise options: call options for non-dividend stocks.

9.6 Early exercise option: put option for non-dividend stocks.

9.7 Impact of dividends on options

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Chapter 65438 +00 Option Trading Strategy

10. 1 strategy including single option and stock.

10.2 price difference

10.3 combination strategy

10.4 combination with other income forms

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Chapter 1 1 Introduction of Binary Tree

1 1. 1 one-step binary tree model and arbitrage-free method

1 1.2 risk-neutral pricing

1 1.3 two-step binary tree

1 1.4 Example of Put Option

1 1.5 American option

1 1.6δ

1 1.7 Select the binary tree whose U and D match the volatility.

1 1.8 Increase the time step of the binary tree.

1 1.9 Other basic asset options

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Chapter 12 Wiener Process and Ito Lemma

Markov properties of 12. 1

12.2 continuous-time random variable

12.3 describes the process of stock price

12.4 parameter

12.5 Ito Lemma

Properties of Lognormal Distribution of 12.6

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Appendix 12A Derivation of Ito Lemma

Chapter 13 Black Scholes Merton Model

13. 1 Lognormal Distribution of Stock Price

13.2 yield distribution

13.3 expected rate of return

13.4 volatility

13.5 concept of black scholes Merton differential equation

13.6 Derivation of Black Scholes Merton Differential Equation

13.7 risk-neutral pricing

13.8 Blake Scholes pricing formula

13.9 cumulative normal distribution function

13. 10 warrants and employee stock options

13. 1 1 implied volatility

13. 12 dividend

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Appendix 13A Proof of Blake Scholes Merton Formula

Chapter 14 employee stock options

14. 1 contract design

Will the 14.2 option promote the interests of shareholders and managers?

14.3 accounting issues

14.4 pricing

14.5 dating scandal

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Chapter 15 Stock index options and currency options

15. 1 stock index options

15.2 currency option

15.3 Stock options with continuous dividends

15.4 pricing of European stock index options

15.5 pricing of currency options

15.6 American option

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Chapter 16 Futures Options

16. 1 characteristics of futures options

16.2 the reason why futures options are widely used.

16.3 European spot options and European futures options

16.4 put option parity relation

16.5 lower limit of futures options

16.6 binary tree pricing futures options

16.7 the drift rate of futures prices in a risk-neutral world.

16.8 black model of futures option pricing

16.9 American futures options and American spot options

16. 10 futures options

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Chapter 17 Greek values

17. 1 sample solution

17.2 open position and insurance position

17.3 stop-loss trading strategy

17.4Delta hedging

17.5 Taita

17.6 gamma

17.7 increment, the incremental relationship between θ and γ

17.8 Vega

17.9ρ

17. 10 the reality of hedging

17. 1 1

Generalization of formula 17. 12

17. 13 portfolio insurance

17. 14 stock market fluctuation

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Appendix 17A Taylor series expansion and hedging parameters

sequence

Chapter 18 Fluctuating smile

18. 1 Why are the volatility smiles of call options and put options the same?

18.2 currency option

18.3 stock options

18.4 describe other methods of fluctuating smile.

18.5 volatility term structure and volatility surface

18.6 Greek value

18.7 when a single big jump is expected,

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Appendix 18A determines the neutral distribution of implied risk through volatility smile.

19 Chapter Basic Numerical Methods

19. 1 binary tree

19.2 using binary tree to price stock index, currency and futures options.

19.3 Binary Tree Model of Dividend Stock

19.4 Other methods of constructing trees.

19.5 time-related parameters

19.6 Monte Carlo simulation method

19.7 variance reduction process

19.8 finite difference method

summary

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Chapter 20 Value at Risk

20. 1VaR measurement

20.2 historical simulation method

20.3 Model construction method

20.4 linear model

20.5 quadratic model

Monte Carlo simulation

20.7 Comparison of different methods

20.8 pressure test and recheck test

20.9 principal component analysis method

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Appendix 20A Cash Flow Mapping

Chapter 2 1 estimating volatility and correlation coefficient

2 1. 1 estimated volatility

2 1.2 exponential weighted moving average model

2 1.3GARCH( 1, 1) model

2 1.4 model selection

2 1.5 maximum likelihood estimation method

2 1.6 GARCH( 1, 1) model is used to predict volatility.

The correlation coefficient is 2 1.7.

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Chapter 22 Credit Risk

22. 1 credit rating

22.2 Historical Default Probability

22.3 recovery rate

22.4 The probability of default is estimated by the bond price.

22.5 Comparison of Default Probability

22.6 Use the stock price to estimate the default probability

22.7 Credit Risk in Derivatives Trading

22.8 Mitigation of Credit Risk

22.9 Correlation of Default

22. 10 credit risk value

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Chapter 23 Credit Derivatives

23. 1 credit default swap

23.2 Pricing of Credit Default Swaps

23.3 Credit Index

23.4 Credit default swap forward contracts and options

23.5 A basket of credit default swaps

23.6 Total income swap

23.7 Asset-backed bonds

23.8 Debt-backed bonds

23.9 the role of correlation coefficient in a basket of credit default swaps and CDOs

23. Pricing of10 synthetic CDO

23. 1 1 other models

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Chapter 24 Special Choice

24. 1 portfolio options

24.2 Non-standard American options

24.3 Forward Start Option

24.4 compound options

24.5 selector options

24.6 Obstacle options

24.7 two-point option

24.8 look back option

24.9 Shout options

24. 10 Asian option

24. 1 1 asset exchange option

24. 12 options involving multiple assets

24. 13 volatility and variance swap

24. 14 static option copy

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Appendix 24A calculation formula of the time needed to calculate the price of basket and Asian option.

Chapter 25 Climate, Energy and Insurance Derivatives

25. 1 Overview of pricing issues

25.2 Climate derivative products

25.3 Energy derivatives

25.4 Insurance derivatives

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Chapter 26 Re-discussion on Models and Numerical Algorithms

26. Alternative model of1Blackscholes

26.2 random fluctuation model

26.3IVF model

26.4 Convertible securities

26.5 correlation path derivative

26.6 Obstacle options

26.7 Options related to two related assets

26.8 Monte Carlo Simulation and American Options

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Chapter 27 Martingale sum measure

27. 1 risk market price

27.2 Multi-state variables

27.3 martingale

27.4 Other options for pricing units

27.5 Multiple independent factors

27.6 improved black model

27.7 Asset replacement options

27.8 valuation unit conversion

27.9 Promotion of traditional pricing methods

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Appendix 27A deals with a variety of uncertainties.

Chapter 28 Interest Rate Derivatives: Standard Market Model

28. 1 bond option

28.2 interest rate ceiling and floor

28.3 European interest rate swap options

28.4 Promotion

28.5 Hedging of interest rate derivatives

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Chapter 29 Curvature, Time and Quanto Adjustment

29. 1 Curvature adjustment

29.2 time adjustment

29.3 quantum

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Proof of Curvature Adjustment Formula in Appendix 29A

Chapter 30 Interest Rate Derivatives: Short-term Interest Rate Model

30. 1 background

30.2 equilibrium model

30.3 no arbitrage model

30.4 bond options

30.5 volatility structure

30.6 interest rate tree

30.7 General process of building a tree.

30.8 amendment

30.9 Use the single-factor model for hedging.

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Chapter 365438 +0 interest rate derivatives: HJM and LMM models

3 1. 1 Heath, Jaro Ff and Morton models

3 1.2LIBOR market model

3 1.3 Federal Agency Mortgage Securities

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Chapter 32 Talk about exchange again

32. 1 changes in standard transactions

32.2 composite interchange

32.3 Currency swap

32.4 More complicated interchanges

32.5 Equity swap

32.6 Interchange of embedded options

32.7 Other Swaps

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Chapter 33 Real Options

33. 1 capital investment evaluation

33.2 Promote risk-neutral pricing

33.3 Estimate the risk market price

33.4 Business evaluation

33.5 commodity prices

33.6 Option Pricing in Investment Opportunities

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Chapter 34 Significant Financial Losses and Their Reference Significance

34. 1 defines the risk limit.

34.2 Lessons from financial institutions

34.3 Experiences and lessons of non-financial institutions

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term

Appendix ADerivaGem software description

Appendix b major options futures exchanges in the world

The value of N(x) when appendix Cx≤0.

The value of N(x) when appendix Dx≥0.

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