Options, Futures, and
Other Derivatives, 11th Edition
Technical Notes
The following Technical Notes accompany Options,
Futures, and Other Derivatives
1.
Convexity Adjustments to Eurodollar Futures
2.
Properties of the Lognormal Distribution
3.
Warrant Valuation When Value of Equity plus Warrants
Is Lognormal
4.
Exact Procedure for Valuing American Calls on Stocks
Paying a Single Dividend
5.
Calculation of the Cumulative Probability in a
Bivariate Normal Distribution
6.
Differential Equation for Price of a Derivative on a
Stock Paying a Known Dividend Yield
7.
Differential Equation for Price of a Derivative on a
Futures Price
8.
Analytic Approximation for Valuing American Options
9.
Generalized Tree Building Procedure
10. The
Cornish-Fisher Expansion to Estimate VaR
11. Manipulation
of Credit Transition Matrices
12. Calculation
of Cumulative Non-Central Chi Square Distribution
13. Efficient
Procedure for Valuing American-Style Lookback Options
14. The
Hull-White Two-Factor Model
15. Valuing
Options on Coupon-Bearing Bonds in a One-Factor Interest Rate Model
16. Construction
of an Interest Rate Tree with Nonconstant Time Steps and Nonconstant Parameters
17. The
Process for the Short Rate in an HJM Term Structure Model
18. Valuation
of a Compounding Swap
19. Valuation
of an Equity Swap
20. Changing
the Market Price of Risk for Variables That Are Not the Prices of Traded
Securities
21. Hermite Polynomials and Their Use for Integration
22. Valuation
of a Variance Swap
23. The
Black, Derman, Toy Model
24. Proof
that Forward and Futures Prices Are Equal When Interest Rates Are Constant
25. A
Cash Flow Mapping Procedure
26. A
Binomial Measure of Credit Correlation
27. Calculation
of Moments for Valuing Asian Options
28. Calculation
of Moments for Valuing Basket Options
29. Proof
of Extensions to Ito's Lemma
30. The
Return for a Security Dependent on Multiple Sources of Uncertainty
31.
Properties of Ho-Lee and Hull-White Interest Rate
Models