Options, Futures, and Other Derivatives, Ninth Edition

S

• Savings and Loans, 98

• Scalper, 39, 835

• Scenario analysis, 419, 810, 835

• Seasonality, 776, 782–784

• Securities and Exchange Commission (SEC), 227, 362, 835

• Securitization, 185–189, 835

• Segmentation theory, shape of zero curve, 96

• Settlement price, 37, 835

• Sharpe ratio, 657, 835

• Shell, 808

• Short hedge, 50, 835

• Short position, 6, 11, 835

• Short rate, 706, 835

  • calibration, 732–734

  • equilibrium models, 707–714

  • general tree-building procedure, 723–732

  • hedging using one-factor models, 734–735

  • interest rate trees, 721–732

  • no-arbitrage models, 714–732

  • options on bonds, 719–720

  • volatility structures, 720–721

• Short selling, 105–106, 836

• Shorting, 105–106

• Short-term funding, 814

• Short-term risk-free rate. See Short rate.

• Shout option, 609, 836

• Siegel’s ...