標題: Titlebook: Derivatives and Internal Models; Hans-Peter Deutsch Book 20094th edition Hans-Peter Deutsch 2009 benchmarking.cash flow.derivatives.financ [打印本頁] 作者: FROM 時間: 2025-3-21 19:27
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作者: 噴出 時間: 2025-3-21 21:35 作者: 絆住 時間: 2025-3-22 02:57 作者: BADGE 時間: 2025-3-22 07:56
Spot Transactions on Interest Rates many details specific to the individual implementation, that it is easy to become distracted from the essential ideas. Therefore such complicated examples are not particularly appropriate for discussion in an introductory text. However, Part II enables the reader to develop pricing techniques for q作者: CHYME 時間: 2025-3-22 11:19 作者: MOT 時間: 2025-3-22 14:32
Factorization into Degree One Factorsagreement at a specified interest rate a year in advance of the actual transaction with the option to forgo the agreement if the anticipated need for money proves to have been unwarranted (this scenario is realized using what Is known as a “payer swaption”) or providing a safeguard against fluctuati作者: MOT 時間: 2025-3-22 18:06 作者: 遍及 時間: 2025-3-22 23:19 作者: obsolete 時間: 2025-3-23 03:15
Fad Diets Beyond the Western World many details specific to the individual implementation, that it is easy to become distracted from the essential ideas. Therefore such complicated examples are not particularly appropriate for discussion in an introductory text. However, Part II enables the reader to develop pricing techniques for q作者: Stagger 時間: 2025-3-23 06:25
Modeling of Fading and Shadowing, time .:.where the definition of the forward rate, Equation 2.3, was used in the last step. It is common practice in the market for forward transactions, the interest rate . is chosen so that the contract is worthless at the time it is concluded. As can be deduced from Equation 16.1, this condition 作者: Allodynia 時間: 2025-3-23 12:11
Numerical Solutions Using Finite Differencesh either European or American payoff modes. In this section, we will provide a very detailed discussion of these important methods in a generality far exceeding that which is usually presented in comparable books.作者: 不朽中國 時間: 2025-3-23 14:39 作者: Inoperable 時間: 2025-3-23 21:10
Faculty Development for Teaching Improvementry exotic options for which other methods are either too complicated or completely unsuitable, the only requirement being the availability of sufficient computation time. Before proceeding with financial . of Monte Carlo techniques, we begin with a presentation of the technique itself.作者: AFFIX 時間: 2025-3-24 01:11
Monte Carlo Simulationsry exotic options for which other methods are either too complicated or completely unsuitable, the only requirement being the availability of sufficient computation time. Before proceeding with financial . of Monte Carlo techniques, we begin with a presentation of the technique itself.作者: Altitude 時間: 2025-3-24 03:08 作者: Corral 時間: 2025-3-24 08:31
Morphology of the Walls of the Cochlear Duct . when working with these assumptions. In the Black-Scholes world, solutions of the Black-Scholes differential equation (i.e., option prices) for some payoff profiles (for example for plain vanilla calls and puts) can be given in closed form. We will now present two elegant methods to derive such closed form solutions.作者: multiply 時間: 2025-3-24 13:05
Financial Instruments: A System of Derivatives and Underlyings having interest rates as their underlying risk factors, are among the most complex financial instruments traded on the market. Instruments on other risk factors such as stocks or foreign exchange rates can be classified analogously and will be discussed in detail in later sections of the book.作者: 同時發(fā)生 時間: 2025-3-24 15:30
Integral Forms and Analytic Solutions in the Black-Scholes World . when working with these assumptions. In the Black-Scholes world, solutions of the Black-Scholes differential equation (i.e., option prices) for some payoff profiles (for example for plain vanilla calls and puts) can be given in closed form. We will now present two elegant methods to derive such closed form solutions.作者: ACME 時間: 2025-3-24 21:30
2946-2010 language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.978-1-349-30766-1978-0-230-23475-8Series ISSN 2946-2010 Series E-ISSN 2946-2029 作者: Glycogen 時間: 2025-3-24 23:35 作者: jaunty 時間: 2025-3-25 05:18 作者: prediabetes 時間: 2025-3-25 09:21
https://doi.org/10.1007/978-94-007-7612-8dition to the fundamental Assumptions 1, 2, 3, 4, and 5 from Chapter 4, continuous trading will also be assumed below, i.e., Assumption 6. We will allow the underlying to perform a general Ito process. of the Form 2.15 and assume that it pays a dividend yield ..作者: 亞當心理陰影 時間: 2025-3-25 15:40 作者: MORPH 時間: 2025-3-25 17:38 作者: 極深 時間: 2025-3-25 22:52
Interest Rates and Term Structure Modelsthe option prices obtained by applying the Black-76 model are surprisingly good. The results of recent research [96][128] have shown that the effects of several “false” assumptions (in particular, the assumed equality of forward and futures prices) tend to cancel out each other.作者: babble 時間: 2025-3-26 03:53 作者: HERTZ 時間: 2025-3-26 07:36 作者: 初學者 時間: 2025-3-26 10:52 作者: Coterminous 時間: 2025-3-26 15:23 作者: Urea508 時間: 2025-3-26 20:15
The Black-Scholes Differential Equationc.), we now demonstrate how such arbitrage arguments, with the help of results from stochastic analysis, namely Ito’s formula 2.18, can be used to derive the famous Black-Scholes equation. Along with the Assumptions 1, 2, 3, 4, and 5 from Chapter 4, the additional assumption that continuous trading 作者: reperfusion 時間: 2025-3-26 21:37
Integral Forms and Analytic Solutions in the Black-Scholes World our model by assuming that the parameters involved (interest rates, dividend yields, volatility) are constant (Assumptions 9,11, and thus 7 from Chapter 4) despite the fact that these assumptions are quite unrealistic. These were the assumptions for which Fischer Black and Myron Scholes irst found 作者: 協(xié)迫 時間: 2025-3-27 03:40 作者: ANTE 時間: 2025-3-27 06:16
Binomial and Trinomial Treesto the fundamental differential equations governing the price of the instrument. These methods provide a useful alternative to those (numerical or analytical) methods presented in the previous sections for solving differential equations. In principle (ignoring for the moment the potential computing-作者: debouch 時間: 2025-3-27 09:38
Monte Carlo Simulationsobability measure), the idea of calculating such expectations by simulating the (stochastic) evolution of the underlyings several times and subsequently averaging the results somehow is not far removed. In fact, this relatively simple idea is widely used and is successful even in the valuation of ve作者: 性冷淡 時間: 2025-3-27 16:19
Hedgingused to . the derivative’s risk resulting from the stochastic movement of its underlying (or conversely a derivative could be used to hedge such a portfolio). This is accomplished by going short in the portfolio and long in the derivative or vice versa. This idea can be extended to hedging against i作者: 傳染 時間: 2025-3-27 18:08
Interest Rates and Term Structure Modelstradicts the very existence of interest rate options. If interest rates were deterministic and hence predictable with certainty for all future times, we would know at time . which options will be in or out of the money upon maturity .. The options which are out of the money at maturity would be wort作者: 剛開始 時間: 2025-3-28 01:31
Spot Transactions on Interest Rateswith the explicit valuation of the most important and common financial instruments. We restrict our considerations to simple (for the most part, plain vanilla) instruments which still represent the largest proportion of all trades in financial markets today. The methods presented in Part II do in fa作者: 哎呦 時間: 2025-3-28 04:55
Forward Transactions on Interest Ratesetween . and .′. An. FRA can be interpreted as an agreement loan to be made in the future with an interest rate already fixed today The party receiving the loan makes the fixed interest payments. In contrast to bonds, we will refer to this party’s position as a . position in the FRA, whereas the cou作者: 休息 時間: 2025-3-28 06:28 作者: 帽子 時間: 2025-3-28 14:13
2946-2010 language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.978-1-349-30766-1978-0-230-23475-8Series ISSN 2946-2010 Series E-ISSN 2946-2029 作者: 假 時間: 2025-3-28 14:57
Derivatives and Internal Models978-0-230-23475-8Series ISSN 2946-2010 Series E-ISSN 2946-2029 作者: Patrimony 時間: 2025-3-28 19:35 作者: 在前面 時間: 2025-3-29 00:48
Finance and Capital Markets Serieshttp://image.papertrans.cn/d/image/268141.jpg作者: 新星 時間: 2025-3-29 04:37
Book 20094th editionThis book provides a thorough introduction to pricing and risk management of modern financial instruments formulated in precise mathematical language, covering all relevant topics with such a depth of detail that readers are enabled to literally develop their own pricing and risk tools. Accompanying website with hundreds of real world examples.作者: febrile 時間: 2025-3-29 08:06 作者: SEMI 時間: 2025-3-29 11:50 作者: gout109 時間: 2025-3-29 16:44 作者: vascular 時間: 2025-3-29 23:38 作者: Endemic 時間: 2025-3-30 03:25 作者: Preamble 時間: 2025-3-30 06:47
Facts as Evidence in Analytic Philosophyels. A complete list of all model assumptions made in this book are summarized here in order to provide an overview of the numerous conditions and assumptions arising in the various methods. For each pricing and risk management method discussed in the following chapters, we will specify which of the作者: Console 時間: 2025-3-30 08:43 作者: 嘴唇可修剪 時間: 2025-3-30 16:20
Morphology of the Walls of the Cochlear Duct our model by assuming that the parameters involved (interest rates, dividend yields, volatility) are constant (Assumptions 9,11, and thus 7 from Chapter 4) despite the fact that these assumptions are quite unrealistic. These were the assumptions for which Fischer Black and Myron Scholes irst found 作者: 開玩笑 時間: 2025-3-30 17:08
https://doi.org/10.1007/978-981-13-7767-9ematical finance. Finite difference methods are very powerful and flexible as well. They can be applied to a wide variety of different derivatives with either European or American payoff modes. In this section, we will provide a very detailed discussion of these important methods in a generality far作者: Occipital-Lobe 時間: 2025-3-30 21:11
https://doi.org/10.1007/978-981-13-7767-9to the fundamental differential equations governing the price of the instrument. These methods provide a useful alternative to those (numerical or analytical) methods presented in the previous sections for solving differential equations. In principle (ignoring for the moment the potential computing-作者: 止痛藥 時間: 2025-3-31 01:09 作者: PAC 時間: 2025-3-31 06:43 作者: 歌曲 時間: 2025-3-31 09:20 作者: 考得 時間: 2025-3-31 15:11 作者: Pelvic-Floor 時間: 2025-3-31 21:30
Modeling of Fading and Shadowing,etween . and .′. An. FRA can be interpreted as an agreement loan to be made in the future with an interest rate already fixed today The party receiving the loan makes the fixed interest payments. In contrast to bonds, we will refer to this party’s position as a . position in the FRA, whereas the cou
