Options, futures & other derivatives

By John C. Hull. 2003

415 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8620335e5d40fd131c02abc89198f2b3826ff991

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

A numerical PDE approach for pricing callable bonds (2001, methodology): “Interested readers are referred to sources such as Hughston (1996) or Hull (2000) for further information and references.”
An Equation and its Worlds (2003, background): “Open any textbook of modern mathematical finance (for example, Hull, 2000), and one finds multiple uses of these ideas.”
Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions (2005, methodology): “However, as shown in Chapter 19 and 20 of Hull (2000), using the equivalent martingale measure in the world which is forward risk-neutral with respect to a zero-coupon bond maturing at time T, the two approximations have precisely offsetting effects when Black’s model is applied to value bond…”
Bricolage, Exemplars, Disunity and Performativity in Financial Economics (2003, background): “Open any textbook of modern mathematical finance (for example, Hull, 2000), and one finds multiple uses of these ideas.”
ANOVA for diffusions and Itô processes (2006, methodology): “Undercontinuousobservation,therefore,one solvestheproblem (1.3)by using the and Z de ned above.”
Is Economics Performative? Option Theory and the Construction of Derivatives Markets (2006, background): “Indeed, the pricing of options and of related “derivative” securities has become the central topic of modern quantitative finance (see, e.g., Hull 2000), 5 The key difficulty in regard to American options is that early exercise of an American put can be optimal, causing its price to diverge from…”
The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004, background): “9 F0 = S0e (r–q)T where F0 is the theoretical value of the future, S0 the current index level, r the (continuously-compounded) riskless rate of interest, q the annualized dividend yield, and T the time remaining until the future’s expiry (Hull 2000: 64).”