Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings
Insurance and Weather Derivatives: From Exotic Options to Exotic Underlyings
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保险和天气衍生品：从奇异期权到奇异底层证券
DOI：
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发表时间：
1999
期刊：
影响因子：
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通讯作者：
H. Geman
中科院分区：
文献类型：
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作者：
H. Geman
赫尔-怀特论衍生品 文章汇编 约翰·赫尔和艾伦·怀特 -------------------------------------------------------------------------------- 目录 前言 随机波动性 简介 具有随机波动性的资产期权定价 分析随机波动性引起的期权定价偏差 套期保值外币期权的风险 数值程序 简介 使用显式有限差分法对衍生证券进行估值 用途期权定价中控制变量技术的研究 欧美路径依赖期权估值的高效程序 信用风险简介 评估金融机构表外承诺的信用风险 违约风险对期权和其他衍生证券估值的影响 期限结构模型：理论介绍 定价 利率衍生证券 基于债券价格演化模型的债券期权定价 利率下的期权定价使用赫尔-怀特模型的上限和下限 期限结构模型：实施 简介 单因素利率模型和利率衍生证券的估值 实施期限结构模型的数值程序 单因素模型 实施期限结构模型的数值程序 使用赫尔-怀特利率树指数的双因素模型
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