Derivatives Sourcebook: Applications

Instructions: Click on a category below to view references in that category.

GENERAL THEORY (11000000)

Rational Bounds on Derivative Prices (11010000)

Binomial and Multinomial Models (11020000)

Risk-Neutral Pricing (11030000)

State-Price Densities and Equivalent Martingale Measures (11030100)

Implied Binomial Trees (11030200)

Implied Risk Aversion (11030300)

Simulation and Monte Carlo Techniques (11030400)

Dynamic Spanning and Market Completeness (11040000)

Convergence Results (11040100)

Approximation Results (11040200)

Implied Volatility (11050000)

Equilibrium Models (11060000)

Stochastic Volatility Models (11060100)

Jump Processes (11060200)

Other Incomplete-Market Models (11060300)

Discrete-Time Models (11060400)

Term Structure of Interest Rates (11060500)

Option Pricing and Hedging with Transaction Costs (11070000)

Numerical Methods, Solution of PDE's (11080000)

Nonparametric Pricing (11090000)

Mathematics of Derivatives (11100000)

Dynamic Hedging (11110000)

Security Design (11120000)

Optimal Exercise (11130000)

FINANCIAL-MARKET APPLICATIONS (12000000)

Derivatives (12010000)

Compound Derivatives (12010100)

Exotic Derivatives (12010200)

Fixed Income Derivatives (12010300)

Foreign Exchange Derivatives (12010400)

Commodity Derivatives (12010500)

Equity Derivatives (12010600)

Index Derivatives (12010700)

Asset-Backed Securities (12010800)

Mortgages and Mortgage-Backed Securities (12010810)

Other Asset-Backed Securities (12010820)

Swaps and Swaptions (12010900)

Hybrid Securities (12011000)

Credit Derivatives (12011100)

Weather Derivatives (12011200)

Corporate Finance (12020000)

Risk Management (12020100)

Debt, Equity, and Other Corporate Liabilities (12020200)

Debt and Limited Liability (12020210)

Bankruptcy and Default (12020211)

Credit Spreads and Risk (12020212)

Bond Indenture Provisions (12020213)

Warrants (12020220)

Convertible Securities (12020230)

Optimal Capital Structure (12020240)

SEO's, IPO's, underwriting (12020241)

Corporate Control (12020250)

Tender Offers (12020251)

Corporate Restructuring (12020252)

Corporate Diversification (12020253)

Executive Compensation (12020300)

Employee Stock Options (12020310)

Venture Capital (12020400)

Asset Leasing (12020500)

Automobile Leasing (12020510)

Insurance (12030000)

Loan Guarantees (12030100)

Expropriation Risk (12030110)

Third World Loans (12030120)

Non-Life Insurance (12030200)

Home Equity Insurance (12030210)

Inflation Insurance (12030220)

Deposit Insurance (12030230)

Health Insurance (12030240)

College Tuition Insurance (12030250)

Catastrophe Insurance (12030260)

Portfolio Insurance (12030300)

Life Insurance (12030400)

Annuity Insurance (12030410)

Re-insurance (12030500)

Terrorism Insurance (12030600)

Investment Management (12040000)

Performance Analysis and Attribution (12040100)

Asset Allocation and Market Timing (12040110)

Risk Measurement (12040120)

Portfolio Efficiency (12040130)

Hedge Funds Analysis (12040140)

Market Microstructure (12040200)

Limit Orders (12040210)

Bid-ask Spreads (12040220)

Order Placement Strategies (12040230)

Price Discreteness (12040240)

Market Making (12040250)

Derivative Trading Strategies (12040300)

GENERAL ECONOMIC APPLICATIONS (13000000)

Real Options (13010000)

Investment under Uncertainty (13010100)

Capacity Planning (13010110)

Infrastructure Investment (13010120)

Options to Invest (13010200)

Research and Development (13010300)

Product Design (13010310)

Business Incubation (13010320)

Inventories (13010400)

Entry and Exit (13010500)

Exhaustible Resources (13010600)

Oil, Coal, Natural Gas, Mineral Deposits (13010610)

Pollution Rights (13010620)

Abandonment Options (13010700)

Strategic Options (13010800)

Patents (13010900)

Vacant Land Options (13011000)

Real Estate (13011100)

Power Generation (13011200)

Macroeconomics (13020000)

Economic Derivatives (13020100)

Stabilization Policies (13020200)

Political Science (13030000)

Defense (13040000)

Labor Economics (13050000)

Education (13050100)

Academic Tenure (13050200)

Retirement Benefits (13050300)

Agency Theory, Incentives and Contracts (13060000)

Game Theory (13070000)

Development Economics (13080000)

Trade (13090000)

Trade Credit (13090100)

Asset Pricing (13100000)

Financial Innovation (13110000)

Organizational Behavior (13120000)

OTHER APPLICATIONS (14000000)

Legal (14010000)

Tax Delinquency (14010100)

Taxation (14010200)

Quota Licenses (14010300)

Estate Tax (14010400)

Regulation (14010500)

Litigation Participation (14010600)

Transportation (14020000)

Biomedical Research (14030000)

Entertainment (14040000)

Agriculture (14050000)

Farm Price Supports (14050100)

Marketing (14060000)

Environment (14070000)

Social Sciences (14080000)

Psychology (14080100)

Accounting (14090000)

Weather Derivatives (14100000)

EMPIRICAL ANALYSIS (15000000)

Estimation of Stochastic Processes (15010000)

Estimation of Volatility (15010100)

GARCH models (15010110)

Jump Process Estimation (15010200)

Tests of Derivative Pricing Models (15020000)

Term Structure Tests (15020100)

Implied Volatility Tests (15020300)

Implied Risk Aversion Tests (15020400)

Tests of Market Efficiency (15020500)

Arbitrage Relations (15020510)

Tests of Boundary Conditions (15020520)

Nonparametric Tests (15020530)

Option Exercise Tests (15020540)

Forecasting (15060000)

Empirical Studies (15070000)

Event Studies (15070100)

Market Crashes (15070200)

Option Listing (15070300)

Seasonalities (15070400)

Announcement Reactions (15070500)

Informational Transmission and Trading (15070600)

HISTORICAL (16000000)