常见期权类型 Stock option股票期权,Index option指数期权,Futues option期货期权,Foreign Currency option外汇期权,Interest Rate option利率期权 期权组合 以下讨论都建立在St近似等于当前市价的情况,且两个月后的市价St是随机变量,其它量为常量。 1.Protective put保护性看跌期权 保护性看跌期权是一种对冲风险的手法,可...
This paper derives pricing models of interest rate options and interest rate futures options. The models utilize the arbitrage-free interest rate movements model of Ho and Lee. In their model, they take the initial term structure as given, and for the subsequent periods, they only require that...
很容易太长，读起来费事。如果要分清楚是利差还是期差还是价差，英文要加修饰词，利差是“interest-rate...
32. Determination of Forward and Futures Prices-5 - 利率平價定理 (recorded on 20190129 33. Determination of Forward and Futures Prices-6 - 持有成本與便利殖利率 (recorded on 2019 34. Determination of Forward and Futures Prices-7 - 正常逆價差與正價差 (recorded on 20190 35. Interest Rate Future...
Modern Pricing of Interest-Rate Der... Frequently Asked Questions in Qu...8.9 Monte Carlo Methods in Finance 荷小苑2010-03-02 13:01:17人民邮电出版社2009版 三个翻译版本 《期权、期货及其他衍生产品》这本书进入中国,最早是在1999年由华夏出版社翻译出版的原书第3版。这个版本的翻译、排版甚至印刷都...
Chapter 2. Mechanics of Futures Markets Chapter 3. Hedging Strategies Using Futures Chapter 4. Interest Rates Chapter 5. Determination of Forward and Futures Prices Chapter 6. Interest Rate Futures ··· (更多) 论坛· ··· 在这本书的论坛里发言...
To complicate matters, options are bought and sold on futures. But that allows for an illustration of the differences between options and futures. In this example, one options contract for gold on theChicago Mercantile Exchange(CME) has as its underlying asset one COMEX gold futures contract.6 ...
Path integrals and Hamiltonians for options and interest rates. Reprint of the 2004 hardback ed Foreword Preface Acknowledgements 1. Synopsis Part I. Fundamental Concepts of Finance: 2. Introduction to finance 3. Derivative securities Part II. Systems with Finite Number of Degrees of Freedom: 4. ...
An options contract gives an investor the right, but not the obligation, to buy (or sell) shares at a specified price at any time before the contract's expiration. By contrast, a futures contract requires a buyer to purchase the underlying security or commodity—and a seller to sell it—...
Convexity, Timing and Quanto Adjustments 30. Interest Rate Derivatives: Models of the Short Rate 31. Interest Rate Derivatives: HJM and LMM 32. Swaps Revisited 33. Real Options 34. Derivatives Mishaps and What We Can Learn from Them 展开 关键词: Futures ...