Fundamentals of futures and options markets
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| 245 | 1 | 0 | |a Fundamentals of futures and options markets |c John C. Hull |
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| adam_text | IMAGE 1
S E V E N TH E D I T I ON
FUNDAMENTALS OF
FUTURES AND OPTIONS MARKETS GLOBAL EDITION
JOHN C. HULL /
MAPLE FINANCIAL GROUP PROFESSOR OF DERIVATIVES AND RISK MANAGEMENT
JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT UNIVERSITY OF TORONTO
BOSTON COLUMBUS INDIANAPOLIS NEW YORK SAN FRANCISCO UPPER SADDLE RIVER
AMSTERDAM CAPE TOWN DUBAI LONDON MADRID MILAN MUNICH PARIS MONTREAL
TORONTO DELHI MEXICO CITY SAO PAULO SYDNEY HONG KONG SEOUL SINGAPORE
TAIPEI TOKYO
IMAGE 2
CONTENTS IN BRIEF
BUSINESS SNAPSHOTS XV
PREFACE XVII
1. INTRODUCTION 1
2. MECHANICS OF FUTURES MARKETS 21
3. HEDGING STRATEGIES USING FUTURES /. 47
4. INTEREST RATES 79
5. DETERMINATION OF FORWARD AND FUTURES PRICES 103
6. INTEREST RATE FUTURES 131
7. SWAPS 157
8. SECURITIZATION AND THE CREDIT CRISIS OF 2007 189
9. MECHANICS OF OPTIONS MARKETS 205
10. PROPERTIES OF STOCK OPTIONS . 227
11. TRADING STRATEGIES INVOLVING OPTIONS 249
12. INTRODUCTION TO BINOMIAL TREES 267
13. VALUING STOCK OPTIONS: THE BLACK-SCHOLES-MERTON MODEL 289
14. DERIVATIVES MARKETS IN DEVELOPING COUNTRIES 317
15. OPTIONS ON STOCK INDICES AND CURRENCIES 323
16. FUTURES OPTIONS 339
17. THE GREEK LETTERS 355
18. BINOMIAL TREES IN PRACTICE 387
19. VOLATILITY SMILES ( 409
20. VALUE AT RISK 425
21. INTEREST RATE OPTIONS 457
22. EXOTIC OPTIONS AND OTHER NONSTANDARD PRODUCTS 477
23. CREDIT DERIVATIVES 497
24. WEATHER, ENERGY, AND INSURANCE DERIVATIVES 517
25. DERIVATIVES MISHAPS AND WHAT WE CAN LEARN FROM THEM 525
ANSWERS TO QUIZ QUESTIONS 537
GLOSSARY OF TERMS 561
DERIVAGEM SOFTWARE 579
MAJOR EXCHANGES TRADING FUTURES AND OPTIONS 585
TABLES FOR N(X) 586
INDEX 589
IMAGE 3
CONTENTS
BUSINESS SNAPSHOTS XV
PREFACE XVII
CHAPTER 1: INTRODUCTION 1
1.1 FUTURES CONTRACTS 1
1.2 HISTORY OF FUTURES MARKETS 2
1.3 THE OVER-THE-COUNTER MARKET 4
1.4 FORWARD CONTRACTS 5
1.5 OPTIONS 6
1.6 HISTORY OF OPTIONS MARKETS 8
1.7 TYPES OF TRADERS ! . 9
1.8 HEDGERS 9
1.9 SPECULATORS 12
1.10 ARBITRAGEURS 15
1.11 DANGERS 16
SUMMARY 16
FURTHER READING 18
QUIZ 18
PRACTICE QUESTIONS 18
FURTHER QUESTIONS 19
CHAPTER 2: MECHANICS OF FUTURES MARKETS 21
2.1 OPENING AND CLOSING FUTURES POSITIONS 21
2.2 SPECIFICATION OF A FUTURES CONTRACT 22
2.3 CONVERGENCE OF FUTURES PRICE TO SPOT PRICE 25
2.4 THE OPERATION OF MARGINS 26
2.5 OTC MARKETS 29
2.6 NEWSPAPER QUOTES 31
2.7 DELIVERY 34
2.8 TYPES OF TRADER AND TYPES OF ORDER 35
2.9 REGULATION 36
2.10 ACCOUNTING AND TAX 38
2.11 FORWARD VS. FUTURES CONTRACTS 40
SUMMARY 42
FURTHER READING 43
QUIZ 43
PRACTICE QUESTIONS 43
FURTHER QUESTIONS 44
VII
IMAGE 4
VLLL CONTENTS
CHAPTER 3: HEDGING STRATEGIES USING FUTURES 47
3.1 BASIC PRINCIPLES 47
3.2 ARGUMENTS FOR AND AGAINST HEDGING 50
3.3 BASIS RISK 53
3.4 CROSS HEDGING 57
3.5 STOCK INDEX FUTURES 61
3.6 ROLLING THE HEDGE FORWARD 67
SUMMARY 68
FURTHER READING .^ 69
QUIZ . ....:. .: 70
PRACTICE QUESTIONS 71
FURTHER QUESTIONS 72
APPENDIX: REVIEW OF KEY CONCEPTS IN STATISTICS AND THE CAPM 74
CHAPTER 4: INTEREST RATES 79
4.1 TYPES OF RATES 79
4.2 MEASURING INTEREST RATES 81
4.3 ZERO RATES 83
4.4 BOND PRICING 84
4.5 DETERMINING TREASURY ZERO RATES 86
4.6 FORWARD RATES 88
4.7 FORWARD RATE AGREEMENTS 90
4.8 THEORIES OF THE TERM STRUCTURE OF INTEREST RATES . 93
SUMMARY 95
FURTHER READING 96
QUIZ 96
PRACTICE QUESTIONS 97
FURTHER QUESTIONS 98
APPENDIX: EXPONENTIAL AND LOGARITHMIC FUNCTIONS 100
CHAPTER 5: DETERMINATION OF FORWARD AND FUTURES PRICES 103
5.1 INVESTMENT ASSETS VS. CONSUMPTION ASSETS 103
5.2 SHORT SELLING 104
5.3 ASSUMPTIONS AND NOTATION 105
5.4 FORWARD PRICE FOR AN INVESTMENT ASSET 106
5.5 KNOWN INCOME 109
5.6 KNOWN YIELD I LL
5.7 VALUING FORWARD CONTRACTS I LL
5.8 ARE FORWARD PRICES AND FUTURES PRICES EQUAL? 114
5.9 FUTURES PRICES OF STOCK INDICES 114
5.10 FORWARD AND FUTURES CONTRACTS ON CURRENCIES 116
5.11 FUTURES ON COMMODITIES 120
5.12 THE COST OF CARRY ^.. 123
5.13 DELIVERY OPTIONS 123
5.14 FUTURES PRICES AND THE EXPECTED SPOT PRICES 124
SUMMARY 126
FURTHER READING 127
QUIZ 128
IMAGE 5
CONTENTS IX
PRACTICE QUESTIONS 128
FURTHER QUESTIONS 130
CHAPTER 6: INTEREST RATE FUTURES 131
6.1 DAY COUNT AND QUOTATION CONVENTIONS 131
6.3 TREASURY BOND FUTURES 134
6.4 EURODOLLAR FUTURES 139
6.5 DURATION 142
6.6 DURATION-BASED HEDGING STRATEGIES USING FUTURES 147
SUMMARY 151
FURTHER READING 152
QUIZ 152
PRACTICE QUESTIONS 153
FURTHER QUESTIONS 154
CHAPTER 7: SWAPS 157
7.1 MECHANICS OF INTEREST RATE SWAPS 157
7.2 DAY COUNT ISSUES 164
7.3 CONFIRMATIONS . 164
7.4 THE COMPARATIVE-ADVANTAGE ARGUMENT .7. 165
7.5 THE NATURE OF SWAP RATES . 168
7.6 DETERMINING LIBOR/SWAP ZERO RATES ..169
7.7 VALUATION OF INTEREST RATE SWAPS 170
7.8 CURRENCY SWAPS 175
7.9 VALUATION OF CURRENCY SWAPS 178
7.10 CREDIT RISK 180
7.11 OTHER TYPES OF SWAP 182
SUMMARY 184
FURTHER READING 185
QUIZ 185
PRACTICE QUESTIONS 186
FURTHER QUESTIONS 188
CHAPTER 8: SECURITIZATION AND THE CREDIT CRISIS OF 2007 189
8.1 SECURITIZATION 189
8.2 THE U.S. HOUSING MARKET 193
8.3 WHAT WENT WRONG? 197
8.4 AVOIDING FUTURE CRISES 198
SUMMARY 201
FURTHER READING 202
QUIZ 202
PRACTICE QUESTIONS 203 _
FURTHER QUESTIONS 203
CHAPTER 9: MECHANICS OF OPTIONS MARKETS 205
9.1 TYPES OF OPTION 205
9.2 OPTION POSITIONS 208
9.3 UNDERLYING ASSETS 210
9.4 SPECIFICATION OF STOCK OPTIONS 211
9.5 TRADING 215
9.6 COMMISSIONS 216
IMAGE 6
X CONTENTS
9.7 MARGINS 217
9.8 THE OPTIONS CLEARING CORPORATION 218
9.9 REGULATION 219
9.10 TAXATION 219
9.11 WARRANTS, EMPLOYEE STOCK OPTIONS, AND CONVERTIBLES 221
9.12 OVER-THE-COUNTER MARKETS 222
SUMMARY 222
FURTHER READING 223
QUIZ ; 223
PRACTICE QUESTIONS !...:. R..~. 224
FURTHER QUESTIONS 225
CHAPTER 10: PROPERTIES OF STOCK OPTIONS 227
10.1 FACTORS AFFECTING OPTION PRICES 227
10.2 ASSUMPTIONS AND NOTATION : 231
10.3 UPPER AND LOWER BOUNDS FOR OPTION PRICES 231
10.4 PUT-CALL PARITY 235
10.5 CALLS ON A NON-DIVIDEND-PAYING STOCK 239
10.6 PUTS ON A NON-DIVIDEND-PAYING STOCK 240
10.7 EFFECT OF DIVIDENDS : 243
SUMMARY 244
FURTHER READING 245
QUIZ 245
PRACTICE QUESTIONS 246
FURTHER QUESTIONS 247
CHAPTER 11: TRADING STRATEGIES INVOLVING OPTIONS 249
11.1 STRATEGIES INVOLVING A SINGLE OPTION AND A STOCK 249
11.2 SPREADS 251
11.3 COMBINATIONS 260
11.4 OTHER PAYOFFS 263
SUMMARY 263
FURTHER READING 264
QUIZ 264
PRACTICE QUESTIONS 264
FURTHER QUESTIONS 265
CHAPTER 12: INTRODUCTION TO BINOMIAL TREES 267
12.1 A ONE-STEP BINOMIAL MODEL AND A NO-ARBITRAGE ARGUMENT 267
12.2 RISK-NEUTRAL VALUATION.... 271
12.3 TWO-STEP BINOMIAL TREES 273
12.4 A PUT EXAMPLE 276
12.5 AMERICAN OPTIONS 277
12.6 DELTA 278
12.7 DETERMINING U AND D 279
12.8 INCREASING THE NUMBER OF TIME STEPS 280
12.9 OPTIONS ON OTHER ASSETS 281
SUMMARY 286
FURTHER READING 286
QUIZ 286
IMAGE 7
CONTENTS XI
PRACTICE QUESTIONS 287
FURTHER QUESTIONS 288
CHAPTER 13: VALUING STOCK OPTIONS: THE BLACK-SCHOLES-MERTON MODEL 289
13.1 ASSUMPTIONS ABOUT HOW STOCK PRICES EVOLVE 290
13.2 EXPECTED RETURN 293
13.3 VOLATILITY 293
13.4 ESTIMATING VOLATILITY FROM HISTORICAL DATA 295
13.5 ASSUMPTIONS UNDERLYING BLACK-SCHOLES-MERTON 298
13.6 THE KEY NO-ARBITRAGE ARGUMENT 298
13.7 THE BLACK-SCHOLES-MERTON PRICING FORMULAS 299
13.8 RISK-NEUTRAL VALUATION 302
13.9 IMPLIED VOLATILITIES 7 303
13.10 DIVIDENDS 304
13.11 VALUING EMPLOYEE STOCK OPTIONS 306
SUMMARY 310
FURTHER READING 311
QUIZ 311
PRACTICE QUESTIONS 312
FURTHER QUESTIONS . 313
APPENDIX: THE EARLY EXERCISE OF AMERICAN CALL OPTIONS ON DIVIDEND-PAYING
STOCKS 315
CHAPTER 14: DERIVATIVES MARKETS IN DEVELOPING COUNTRIES 317
14.1 CHINA S MARKETS 317
14.2 INDIA S MARKETS 319
14.3 OTHER DEVELOPING COUNTRIES 320
SUMMARY 320
FURTHER READING 321
CHAPTER 15: OPTIONS ON STOCK INDICES AND CURRENCIES 323
15.1 OPTIONS ON STOCK INDICES 323
15.2 CURRENCY OPTIONS 326
15.3 OPTIONS ON STOCKS PAYING KNOWN DIVIDEND YIELDS 328
15.4 VALUATION OF EUROPEAN STOCK INDEX OPTIONS 330
15.5 VALUATION OF EUROPEAN CURRENCY OPTIONS 332
15.6 AMERICAN OPTIONS 334
SUMMARY 335
FURTHER READING 335
QUIZ...: 336
PRACTICE QUESTIONS 336
FURTHER QUESTIONS 338
CHAPTER 16: FUTURES OPTIONS 339
16.1 NATURE OF FUTURES OPTIONS 339
16.2 REASONS FOR THE POPULARITY OF FUTURES OPTIONS 341
16.3 EUROPEAN SPOT AND FUTURES OPTIONS 342
16.4 PUT-CALL PARITY 342
16.5 BOUNDS FOR FUTURES OPTIONS 344
16.6 VALUATION OF FUTURES OPTIONS USING BINOMIAL TREES 344
16.7 A FUTURES PRICE AS AN ASSET PROVIDING A YIELD 347
IMAGE 8
XII CONTENTS
16.8 BLACK S MODEL FOR VALUING FUTURES OPTIONS 347
16.9 USING BLACK S MODEL INSTEAD OF BLACK-SCHOLES-MERTON 347
16.10 AMERICAN FUTURES OPTIONS VS. AMERICAN SPOT OPTIONS 349
16.11 FUTURES-STYLE OPTIONS 349
SUMMARY 350
FURTHER READING 351
QUIZ 351
PRACTICE QUESTIONS 351
FURTHER QUESTIONS.... 353
CHAPTER 17: THE GREEK LETTERS....!.....:... 355
17.1 ILLUSTRATION 355
17.2 NAKED AND COVERED POSITIONS 356
17.3 A STOP-LOSS STRATEGY 356
17.4 DELTA HEDGING -. 358
17.5 THETA 365
17.6 GAMMA 367
17.7 RELATIONSHIP BETWEEN DELTA, THETA, AND GAMMA 370
17.8 VEGA 371
17.9 RHO 7. 373
17.10 THE REALITIES OF HEDGING 374
17.11 SCENARIO ANALYSIS 374
17.12 EXTENSIONS OF FORMULAS 376
17.13 CREATING OPTIONS SYNTHETICALLY FOR PORTFOLIO INSURANCE 378
17.14 STOCK MARKET VOLATILITY 380
SUMMARY 381
FURTHER READING 382
QUIZ 382
PRACTICE QUESTIONS 383
FURTHER QUESTIONS 385
CHAPTER 18: BINOMIAL TREES IN PRACTICE 387
18.1 THE BINOMIAL MODEL FOR A NON-DIVIDEND-PAYING STOCK 387
18.2 USING THE BINOMIAL TREE FOR OPTIONS ON INDICES, CURRENCIES, AND
FUTURES CONTRACTS 394
18.3 THE BINOMIAL MODEL FOR A DIVIDEND-PAYING STOCK 397
18.4 EXTENSIONS OF THE BASIC TREE APPROACH 399
18.5 ALTERNATIVE PROCEDURE FOR CONSTRUCTING TREES 401
18.6 MONTE CARLO SIMULATION ... 404
SUMMARY : 405
FURTHER READING 406
QUIZ 406
PRACTICE QUESTIONS 406
FURTHER QUESTIONS 407
CHAPTER 19: VOLATILITY SMILES 409
19.1 FOREIGN CURRENCY OPTIONS 409
19.2 EQUITY OPTIONS 412
19.3 THE VOLATILITY TERM STRUCTURE AND VOLATILITY SURFACES 414
19.4 WHEN A SINGLE LARGE JUMP IS ANTICIPATED 416
IMAGE 9
CONTENTS XIII
SUMMARY 417
FURTHER READING 418
QUIZ 419
PRACTICE QUESTIONS 419
FURTHER QUESTIONS 420
APPENDIX: WHY THE PUT VOLATILITY SMILE IS THE SAME AS THE CALL
VOLATILITY SMILE 422
CHAPTER 20: VALUE AT RISK 425
20.1 THE VAR MEASURE 425
20.2 HISTORICAL SIMULATION ...:..;.. ....428
20.3 MODEL-BUILDING APPROACH 432
20.4 GENERALIZATION OF LINEAR MODEL 435
20.5 QUADRATIC MODEL 439
20.6 ESTIMATING VOLATILITIES AND CORRELATIONS 442
20.7 COMPARISON OF APPROACHES 448
20.8 STRESS TESTING AND BACK TESTING : 449
SUMMARY 449
FURTHER READING 450
QUIZ : 451
PRACTICE QUESTIONS 452
FURTHER QUESTIONS 453
APPENDIX: CASH-FLOW MAPPING 455
CHAPTER 21: INTEREST RATE OPTIONS 457
21.-1 EXCHANGE-TRADED INTEREST RATE OPTIONS 457
21.2 EMBEDDED BOND OPTIONS 459
21.3 BLACK S MODEL 459
21.4 EUROPEAN BOND OPTIONS 461
21.5 INTEREST RATE CAPS 463
21.6 EUROPEAN SWAP OPTIONS 469
21.7 TERM STRUCTURE MODELS 472
SUMMARY 473
FURTHER READING 474
QUIZ 1 474
PRACTICE QUESTIONS 475
FURTHER QUESTIONS 476
CHAPTER 22: EXOTIC OPTIONS AND OTHER NONSTANDARD PRODUCTS 477
22.1 EXOTIC OPTIONS .477
22.2 AGENCY MORTGAGE-BACKED SECURITIES 483
22.3 NONSTANDARD SWAPS 485
SUMMARY 492
FURTHER READING 492
QUIZ 493
PRACTICE QUESTIONS 493
FURTHER QUESTIONS 494
CHAPTER 23: CREDIT DERIVATIVES 497
23.1 CREDIT DEFAULT SWAPS 497
23.2 DETERMINING CDS SPREADS 502
IMAGE 10
XIV CONTENTS
23.3 TOTAL RETURN SWAPS 507
23.4 CDS FORWARDS AND OPTIONS 509
23.5 COLLATERALIZED DEBT OBLIGATIONS 509
SUMMARY 513
FURTHER READING 513
QUIZ 514
PRACTICE QUESTIONS 514
FURTHER QUESTIONS 515
CHAPTER 24: WEATHER, ENERGY, AND INSURANCE DERIVATIVES 517
24.1 WEATHER DERIVATIVES.. ;......;.. 517
24.2 ENERGY DERIVATIVES 518
24.3 INSURANCE DERIVATIVES : 521
SUMMARY 522
FURTHER READING 523
QUIZ : 523
PRACTICE QUESTIONS 524
FURTHER QUESTION 524
CHAPTER 25: DERIVATIVES MISHAPS AND WHAT WE CAN LEARN FROM THEM 525 25.1
LESSONS FOR ALL USERS OF DERIVATIVES 525
25.2 LESSONS FOR FINANCIAL INSTITUTIONS 529
25.3 LESSONS FOR NONFINANCIAL CORPORATIONS 534
SUMMARY 535
FURTHER READING 536
ANSWERS TO QUIZ QUESTIONS 537
GLOSSARY OF TERMS 561
DERIVAGEM SOFTWARE 579
THE OPTIONS CALCULATOR 580
THE APPLICATIONS BUILDER 583
MAJOR EXCHANGES TRADING FUTURES AND OPTIONS 585
TABLE FOR N(X) WHEN X 0 586
TABLE FOR N(X) WHEN X 0 587
INDEX 589
|
| any_adam_object | 1 |
| author | Hull, John 1946- |
| author_GND | (DE-588)109733290 |
| author_facet | Hull, John 1946- |
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| author_variant | j h jh |
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| classification_rvk | QK 660 |
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| ctrlnum | (OCoLC)699550185 (DE-599)GBV625299647 |
| dewey-full | 332.64/52 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/52 |
| dewey-search | 332.64/52 |
| dewey-sort | 3332.64 252 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 7. ed., global ed. |
| format | Book |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV036794963 |
| illustrated | Illustrated |
| indexdate | 2025-02-03T17:28:01Z |
| institution | BVB |
| isbn | 0135095174 9780135095171 9780273756095 0273756095 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020711296 |
| oclc_num | 699550185 |
| open_access_boolean | |
| owner | DE-92 DE-521 DE-2070s DE-19 DE-BY-UBM DE-1049 DE-11 DE-634 DE-703 DE-473 DE-BY-UBG DE-91 DE-BY-TUM |
| owner_facet | DE-92 DE-521 DE-2070s DE-19 DE-BY-UBM DE-1049 DE-11 DE-634 DE-703 DE-473 DE-BY-UBG DE-91 DE-BY-TUM |
| physical | XIX, 602 S. graph. Darst., Kt. 1 CD-ROM (12 cm) |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Pearson Education |
| record_format | marc |
| spellingShingle | Hull, John 1946- Fundamentals of futures and options markets Futures market Options (Finance) Futures market Problems, exercises, etc Options (Finance) Problems, exercises, etc Optionshandel (DE-588)4126185-9 gnd Optionsgeschäft (DE-588)4043670-6 gnd Terminmarkt (DE-588)4184759-3 gnd Termingeschäft (DE-588)4117190-1 gnd Financial Futures (DE-588)4128564-5 gnd Option (DE-588)4115452-6 gnd Optionsmarkt (DE-588)4381644-7 gnd |
| subject_GND | (DE-588)4126185-9 (DE-588)4043670-6 (DE-588)4184759-3 (DE-588)4117190-1 (DE-588)4128564-5 (DE-588)4115452-6 (DE-588)4381644-7 (DE-588)4123623-3 |
| title | Fundamentals of futures and options markets |
| title_auth | Fundamentals of futures and options markets |
| title_exact_search | Fundamentals of futures and options markets |
| title_full | Fundamentals of futures and options markets John C. Hull |
| title_fullStr | Fundamentals of futures and options markets John C. Hull |
| title_full_unstemmed | Fundamentals of futures and options markets John C. Hull |
| title_short | Fundamentals of futures and options markets |
| title_sort | fundamentals of futures and options markets |
| topic | Futures market Options (Finance) Futures market Problems, exercises, etc Options (Finance) Problems, exercises, etc Optionshandel (DE-588)4126185-9 gnd Optionsgeschäft (DE-588)4043670-6 gnd Terminmarkt (DE-588)4184759-3 gnd Termingeschäft (DE-588)4117190-1 gnd Financial Futures (DE-588)4128564-5 gnd Option (DE-588)4115452-6 gnd Optionsmarkt (DE-588)4381644-7 gnd |
| topic_facet | Futures market Options (Finance) Futures market Problems, exercises, etc Options (Finance) Problems, exercises, etc Optionshandel Optionsgeschäft Terminmarkt Termingeschäft Financial Futures Option Optionsmarkt Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020711296&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hulljohn fundamentalsoffuturesandoptionsmarkets |