Introduction
Chapter 1
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
1.1
The Nature of Derivatives
A derivative is an instrument whose value
depends on the values of other more
basic underlying variables
Fundamenta
Binomial Trees in
Practice
Chapter 16
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
16.1
Binomial Trees
Binomial trees are frequently used to
approximate the movements in the price of
a stock or other asset
In eac
The Greek Letters
Chapter 15
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
15.1
Example (Page 317)
A bank has sold for $300,000 a European call
option on 100,000 shares of a nondividend
paying stock
S = 49,
K = 50
Futures Options
Chapter 14
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
14.1
Mechanics of Call Futures Options
When a call futures option is exercised
the holder acquires
1. A long position in the futures
2. A cas
Options on Stock Indices
and Currencies
Chapter 13
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
13.1
European Options on Stocks
Paying Dividend Yields
We get the same probability
distribution for the stock price a
Valuing Stock Options:The
Black-Scholes Model
Chapter 12
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
12.1
The Black-Scholes Random Walk
Assumption
Consider
a stock whose price is S
In a short period of time of
Introduction to Binomial
Trees
Chapter 11
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
11.1
A Simple Binomial Model
A
stock price is currently $20
In three months it will be either $22 or $18
Stock Price = $22
St
Swaps
Chapter 7
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
7.1
Nature of Swaps
A swap is an agreement to
exchange cash flows at specified
future times according to certain
specified rules
Fundamentals of Futures
Interest Rate Futures
Chapter 6
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
6.1
Day Count Conventions
in the U.S. (Page 127)
Treasury Bonds: Actual/Actual (in period)
Corporate Bonds: 30/360
Money Market Instrume
Determination of Forward
and Futures Prices
Chapter 5
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
5.1
Consumption vs Investment
Assets
Investment
assets are assets held by
significant numbers of people purely fo
Interest Rates
Chapter 4
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
4.1
Types of Rates
Treasury
rates
LIBOR rates
Repo rates
Fundamentals of Futures and Options Markets, 5th Edition,
4.2
Measuring Interest Ra
Hedging Strategies Using
Futures
Chapter 3
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
3.1
Long & Short Hedges
A
long futures hedge is appropriate when
you know you will purchase an asset in
the future and want t
Mechanics of Futures
Markets
Chapter 2
Fundamentals of Futures and Options Markets , 5th Edition, Copyright John C. Hull
2004
2.1
Futures Contracts
Available
on a wide range of underlyings
Exchange traded
Specifications need to be defined:
What can be
CHAPTER 15
Options on Stock Indices and Currencies
Practice Questions
Problem 15.8.
Show that the formula in equation (15.9) for a put option to sell one unit of currency A for
currency B at strike price K gives the same value as equation (15.8) for a cal