Hull,经典衍生品教科书第9版,官方ppt,第14章.pptVIP

Chapter 14Wiener Processes and Itô’s Lemma Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 1 Stochastic Processes Describes the way in which a variable such as a stock price, exchange rate or interest rate changes through time Incorporates uncertainties Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 2 Example 1 Each day a stock price increases by $1 with probability 30% stays the same with probability 50% reduces by $1 with probability 20% Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 3 Example 2 Each day a stock price change is drawn from a normal distribution with mean $0.2 and standard deviation $1 Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 4 Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 5 Markov Processes (See pages 302-303) In a Markov process future movements in a variable depend only on where we are, not the history of how we got to where we are Is the process followed by the temperature at a certain place Markov? We assume that stock prices follow Markov processes Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 6 Weak-Form Market Efficiency This asserts that it is impossible to produce consistently superior returns with a trading rule based on the past history of stock prices. In other words technical analysis does not work. A Markov process for stock prices is consistent with weak-form market efficiency Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 7 Example A variable is currently 40 It follows a Markov process Process is stationary (i.e. the parameters of the process do not change as we move through time) At the end of 1 year the variable will have a normal probability distribution with mean 40 and standard deviation 10 Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C