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
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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
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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
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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.
……