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O'Reilly Platform
book
Derivatives
by
Keith Cuthbertson
,
Dirk Nitzsche
,
Niall O'Sullivan
December 2019
Beginner content level
Beginner
912 pages
28h 36m
English
Wiley
Content preview from
Derivatives
Subject Index
A
Accrued interest (see
Treasury bond futures
)
ABS,
731
,
733
,
735
–738,
741
–2,
748
ABS-CDO,
731
,
735
–738,
742
,
748
losses,
738
–740
American option (see also
options
),
8
,
261
,
273
–5,
342
,
349
,
363
–6,
823
binomial tree,
405
–7,
409
cap,
702
early exercise,
405
–7
finite difference,
829
fixed income,
691
,
699
–700
futures,
410
–12
dividends,
414
MCS,
460
valuation,
401
–7,
412
volatility,
427
–8
Antithetic Variable,
454
,
461
Arbitrage,
17
–18,
33
,
57
,
85
BOPM,
375
–9,
384
–5
393
–5
ARCH/GARCH model (see also
volatility
),
87
,
421
–5
Asian option (see
exotics
)
Ask (offer) price,
44
–5,
57
,
576
At-the-money option,
275
–6,
258
–9,
274
–284,
310
,
325
–7,
426
,
490
Average price options (see
exotics
)
B
Backtesting (see also
Value at Risk
),
763
–5
Backwardation,
48
–50,
67
Bank capital,
752
Bank of England,
742
,
764
–6
Barings bank,
2
,
327
Barrier Options (see
Exotics
)
Basel,
766
Basis risk,
16
,
42
,
51
,
62
–6,
82
–3,
214
,
222
,
357
,
550
Basket credit default swap,
715
,
727
–8
Basket option,
358
Bear spread,
315
,
323
–4,
332
Beta,
52
,
82
–87,
90
–3,
99
–114,
210
,
346
,
769
–72,
780
–2
Bid price,
45
,
257
–9,
727
Bid-Ask (offer) spread,
25
,
105
,
259
,
576
Binomial option pricing model (BOPM),
375
–419,
691
–710
American option price,
405
–7,
410
arbitrage,
377
–9
call premium,
382
–393
currencies,
408
delta-hedging,
375
–7
dividends,
407
European option price,
375
–419
futures option,
410
–11
gamma,
496
–9
one-period tree,
375
–8
multi-period tree,
395
–6
pricing FRN,
705
–8
pricing swaption,
704
–5
pricing bond ...
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Publisher Resources
ISBN: 9781119595595
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