Options, Futures, and
Other Derivatives, Eighth Edition

Technical Notes

The following Technical Notes accompany Options, Futures, and Other Derivatives, 8e.

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