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Hull-White on derivatives : a compilation of articles / by John Hull and Alan White.
Author
Hull, John, 1946-
[Browse]
Format
Book
Language
English
Published/Created
London : Risk Publications, ©1996.
Description
356 pages : illustrations ; 24 cm
Availability
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Firestone Library - Stacks
HG6024.A3 H844 1996
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Details
Subject(s)
Derivative securities
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Financial futures
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Related name
White, Alan
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Summary note
This text provides an in-depth look at the impact of stochastic volatility on the pricing and hedging of options. It also examines how trees and lattices provide an alternative to the more complicated implicit finite difference method when valuing derivative instruments.
Bibliographic references
Includes bibliographical references and index.
Contents
Part I. Stochastic Volatility. 1. Introduction
2. The Pricing of Options on Assets with Stochastic Volatitlities
3. An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility
4. Hedging the Risks from Writing Foreign Currency Options --- Part II. Numerical Procedures. 5. Introduction
6. Valuing Derivative Securities Using the Explicit Finite Difference Method
7. The Use of the Control Variate Technique in Option Pricing
8. Efficient Procedures for Valuing European and American Path-dependent Options --- Part III. Credit Risk. 9. Introduction
10. Assessing Credit Risk in a Financial Institution's Off-balance Sheet Commitments
11. The Impact of Default Risk on the Valuation of Options and Other Derivative Securities --- Part IV. Term Structure Models: Theory. 12. Introduction
13. Pricing Interest Rate Derivative Securities
14. Bond Option Pricing Based on a Model for the Evolution of Bond Prices
15. The Pricing of Options on Interest Rate Caps and Floors Using the Hull-White Model --- Part V. Term Structure Models: Implementation. 16. Introduction
17. Single-factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities
18. Numerical procedures for Implementing Term Structure Models
Single-Factor Models
19. Numerical Procedures for Implementing Term Structure Models
Two-Factor Models
20. Using Hull-White Interest Rate Trees.
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Other title(s)
Derivatives
ISBN
1899332456
9781899332458
OCLC
36259585
Statement on language in description
Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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Hull-White on derivatives : a compilation of articles / by John Hull and Alan White.
id
SCSB-8681379