期货期权及其衍生品配套课件（全4章）Ch31.pptVIP

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期货期权及其衍生品配套课件（全4章）Ch31.ppt

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期货期权及其衍生品配套课件（全4章）Ch31

* * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 Interest Rate Derivatives: HJM and LMM Chapter 31 Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * HJM Model: Notation Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * P(t,T ): price at time t of a discount bond with principal of $1 maturing at T Wt : vector of past and present values of interest rates and bond prices at time t that are relevant for determining bond price volatilities at that time v(t,T,Wt ): volatility of P(t,T) Notation continued Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * ?(t,T1,T2): forward rate as seen at t for the period between T1 and T2 F(t,T): instantaneous forward rate as seen at t for a contract maturing at T r(t): short-term risk-free interest rate at t dz(t): Wiener process driving term structure movements Modeling Bond Prices (Equation 31.1, page 704) Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * The process for F(t,T)Equation 31.4 and 31.5, page 705) Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Tree Evolution of Term Structure is Non-Recombining Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Tree for the short rate r is non-Markov (see Figure 31.1, page 714) The LIBOR Market Model The LIBOR market model is a model constructed in terms of the forward rates underlying