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 Browse related items Request

    Details

    Subject(s)
    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.
    Other title(s)
    Derivatives
    ISBN
    • 1899332456
    • 9781899332458
    OCLC
    36259585
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