## Options: Recent Advances in Theory and Practice, Volume 2 |

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### Contents

an empirical analysis | 3 |

when is there separation | 13 |

Optimal replication of contingent claims under transactions | 25 |

two key forecasting problems | 42 |

The stochastic behaviour of market variance implied | 69 |

Some developments in measuring and modelling the term | 90 |

Testing for overreaction in Short Sterling options | 104 |

Twofactor models in option pricing Les Clewlow | 133 |

evolutionary valuation and hedging | 147 |

Pricing interestratederivative securities John Hull | 160 |

International option markets M Desmond Fitzgerald | 183 |

Market making in exchangetraded options | 215 |

Clearance payment and settlement systems in the futures | 240 |

Directions for the future Gary L Gastineau | 301 |

### Other editions - View all

Options: Recent Advances in Theory and Practice, Volume 1 Stewart Dimont Hodges Limited preview - 1990 |

### Common terms and phrases

analysis arbitrage assessment powers asset prices Black-Scholes bond options BOTCC and CME calculated call options CBOT changes clearance and settlement clearance systems Clearing Corporation clearing firm clearing fund clearing houses clearing members contingent claim contracts convenience yield crash default delta hedging derivatives discount bonds Dybvig effect equation equity estimate example expiry extended Vasicek model factors Financial Economics financial integrity futures and options futures clearing houses futures contracts futures exchanges futures markets implied volatility implied yield initial margin interest rates interest-rate intra-day investors Journal of Financial liquidity lookback market makers market volatility maturity NSCC option prices options exchanges options markets original-margin overreaction paper parameters payments portfolio position limits problem realised volatility risk Section securities settlement systems standard deviation stochastic volatility stock markets structure of interest term structure tion transactions costs utility function valuation variables variance Vasicek model volatility forecasts WISDs