Hull-White on Derivatives

Hull-White on Derivatives

by John Hull, Alan White

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Overview

Hull and White's classic analysis of the impact of stochastic volatility on the pricing and hedging of options. Examines the valuation of interest-rate options and the problem of how to build a no-arbitrage model of the term structure of interest rates.

Product Details

ISBN-13: 9781899332458
Publisher: Risk Books
Publication date: 01/08/1999
Pages: 356
Product dimensions: 6.10(w) x 9.25(h) x (d)

Table of Contents

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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