Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch24
{"title":"Analysis of Black–Scholes","authors":"","doi":"10.1002/9781119595663.ch24","DOIUrl":"https://doi.org/10.1002/9781119595663.ch24","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"305 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86446130","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch40
{"title":"Pricing Fixed Income Options","authors":"","doi":"10.1002/9781119595663.ch40","DOIUrl":"https://doi.org/10.1002/9781119595663.ch40","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"5 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77967675","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch33
R. Jarrow, Arkadev Chatterjea
The following sections are included:IntroductionA Brief HistoryThe Introduction of Swap ContractsFrom a Brokerage to a Dealership MarketISDA and Standardization of ContractsInstitutional FeaturesEntering a Swap ContractDocumentationClosing a Swap PositionValuationVariations of Interest Rate SwapsSwaps and FRAsSynthesizing Swaps with Eurodollars and FRAsThe Yield and Swap CurveEXTENSION 22.1: Computing Forward Rates from Swap RatesSummaryCasesQuestions and Problems
{"title":"Interest Rate Swaps","authors":"R. Jarrow, Arkadev Chatterjea","doi":"10.1002/9781119595663.ch33","DOIUrl":"https://doi.org/10.1002/9781119595663.ch33","url":null,"abstract":"The following sections are included:IntroductionA Brief HistoryThe Introduction of Swap ContractsFrom a Brokerage to a Dealership MarketISDA and Standardization of ContractsInstitutional FeaturesEntering a Swap ContractDocumentationClosing a Swap PositionValuationVariations of Interest Rate SwapsSwaps and FRAsSynthesizing Swaps with Eurodollars and FRAsThe Yield and Swap CurveEXTENSION 22.1: Computing Forward Rates from Swap RatesSummaryCasesQuestions and Problems","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"22 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77589613","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch41
{"title":"Pricing Fixed Income Derivatives","authors":"","doi":"10.1002/9781119595663.ch41","DOIUrl":"https://doi.org/10.1002/9781119595663.ch41","url":null,"abstract":"","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"495 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86803961","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch48
The question is can we derive an equation for v(t, x)? The answer is yes, and the equation is a Partial Differential Equation (PDE): an equation connecting the partial derivatives of v in t and x, hence the name. This equation is of interest because if we can solve it, then to decide Vt we only need to plug in St for x. Of course we can decide Vt by taking Expectation via the Independence Lemma, which leads to the Black-Scholes formula. Numerically, this would lead to the pricing by simulation method: we simulate the paths of St and summing over the paths as way to approximate the expectation. The pricing of Vt by by figuring out v(t, x) would like to the numerical solution of PDE approach. This provides us with an alternative (and sometimes possibly more powerful) approach to the simulation method described above.
{"title":"Black–Scholes\u0000 PDE","authors":"","doi":"10.1002/9781119595663.ch48","DOIUrl":"https://doi.org/10.1002/9781119595663.ch48","url":null,"abstract":"The question is can we derive an equation for v(t, x)? The answer is yes, and the equation is a Partial Differential Equation (PDE): an equation connecting the partial derivatives of v in t and x, hence the name. This equation is of interest because if we can solve it, then to decide Vt we only need to plug in St for x. Of course we can decide Vt by taking Expectation via the Independence Lemma, which leads to the Black-Scholes formula. Numerically, this would lead to the pricing by simulation method: we simulate the paths of St and summing over the paths as way to approximate the expectation. The pricing of Vt by by figuring out v(t, x) would like to the numerical solution of PDE approach. This provides us with an alternative (and sometimes possibly more powerful) approach to the simulation method described above.","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"19 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89662941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-10-07DOI: 10.1002/9781119595663.ch11
a forward market. Whereas futures contracts are traded on federally designated contract markets, forward contracts are not. Each commodities exchange maintains a clearinghouse that reconciles all trades executed on the floor of the exchange. The clearinghouse interposes itself in the middle of each transaction, becoming the buyer to every seller, and the seller to every buyer. The contractual obligation of each market participant, therefore, is to the clearinghouse, eliminating the need for market participants to concern themselves with the identity or credit standing of the other party to the transaction. Members of the clearinghouse post margins on their contracts, similar to performance bonds, to ensure the financial integrity of the market. Each day the accounts of the clearing members are adjusted as to gain or loss. Losses posted to an account must be eliminated by the deposit of cash prior to the opening of trading the following day. In contrast, forward markets generally do not require margin deposits or daily settlement is the sale of a futures contract today as a temporary substitute for the sale of the actual instrument in the future. By using a short hedge, the loss on the actual instrument would be offset by a gain in the futures market when the holder buys back (offsets his short position) at an anticipated lower price. Financial institutions that own fixedincome securities or create them for sale to investors could use a short hedge to protect themselves against a rise in interest rates. For example, mortgage bankers holding a pool of mortgages for later resale to permanent investors would be vulnerable to losses on their holdings during periods of rising interest rates. By initiating a short hedge, a mortgage banker could protect himself against the price consequences of rising interest rates. The second objective-to lock in the interest cost of debt to be issued at a future time-also would entail the initiation of a short hedge in the futures market. A short hedge thus could be used by a bank in its asset/liability management. Banks especially of accounts. Parties to a forward contract are vulnerable to changes in the level of must, therefore, assess the credit worthiness of the other party to the transaction. For this reason, forward contracts may entail a greater risk of default.
{"title":"Interest Rate Futures","authors":"","doi":"10.1002/9781119595663.ch11","DOIUrl":"https://doi.org/10.1002/9781119595663.ch11","url":null,"abstract":"a forward market. Whereas futures contracts are traded on federally designated contract markets, forward contracts are not. Each commodities exchange maintains a clearinghouse that reconciles all trades executed on the floor of the exchange. The clearinghouse interposes itself in the middle of each transaction, becoming the buyer to every seller, and the seller to every buyer. The contractual obligation of each market participant, therefore, is to the clearinghouse, eliminating the need for market participants to concern themselves with the identity or credit standing of the other party to the transaction. Members of the clearinghouse post margins on their contracts, similar to performance bonds, to ensure the financial integrity of the market. Each day the accounts of the clearing members are adjusted as to gain or loss. Losses posted to an account must be eliminated by the deposit of cash prior to the opening of trading the following day. In contrast, forward markets generally do not require margin deposits or daily settlement is the sale of a futures contract today as a temporary substitute for the sale of the actual instrument in the future. By using a short hedge, the loss on the actual instrument would be offset by a gain in the futures market when the holder buys back (offsets his short position) at an anticipated lower price. Financial institutions that own fixedincome securities or create them for sale to investors could use a short hedge to protect themselves against a rise in interest rates. For example, mortgage bankers holding a pool of mortgages for later resale to permanent investors would be vulnerable to losses on their holdings during periods of rising interest rates. By initiating a short hedge, a mortgage banker could protect himself against the price consequences of rising interest rates. The second objective-to lock in the interest cost of debt to be issued at a future time-also would entail the initiation of a short hedge in the futures market. A short hedge thus could be used by a bank in its asset/liability management. Banks especially of accounts. Parties to a forward contract are vulnerable to changes in the level of must, therefore, assess the credit worthiness of the other party to the transaction. For this reason, forward contracts may entail a greater risk of default.","PeriodicalId":40006,"journal":{"name":"Journal of Derivatives","volume":"39 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2019-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81736645","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：