金融工程课堂展示.pptxVIP

OPTIONS、FUTURES OTHERDERIVATIVESSTUDENT PRESENTATIONTUTOR：PROF YE指导老师：叶永刚教授STUDENT NAME：HEHAO学生姓名：贺昊NO.：2003210507731 Extension of theTheoretical Framework for Pricing Derivatives;Martingales and Measures Chapter 192 Derivatives Dependent on a Single Underlying Variable3 Forming a Riskless Portfolio4 Market Price of Risk (Page 500)This shows that (m – r )/s is the same for all derivatives dependent on the same underlying variable, qWe refer to (m – r )/s as the market price of risk for q and denote it by l5 Differential Equation for ?(Equation 19.10, page 501) Using Ito’s lemma to obtain expressions for m and s in terms of m and s. The equation m-ls=r becomes6 Risk-Neutral ValuationThe differential equation shows that q is like a stock price paying a dividend yield of r – m + lsThis analogy shows that we can value ? in a risk-neutral world providing the drift rate of q is reduced from m to m – ls7 Extension of the Analysisto Several Underlying Variables(Equations 19.12 and 19.13, page 503)8 Derivatives Dependent on Commodity Prices (Page 506) For a commodity the futures price gives the expected value in the traditional risk-neutral world9 Martingales (Page 507)A martingale is a stochastic process with zero drfitA martingale has the property that its expected future value equals its value today10 Alternative Worlds11 A Key Result (Page 509) 12 Forward Risk Neutrality We refer to a world where the market price of risk is the volatility of g as a world that is forward risk neutral with respect to g. If Eg denotes a world that is FRN wrt g13 Aleternative Choices for the Numeraire Security gMoney Market AccountZero-coupon bond priceAnnuity factor14 Money Market Accountas the NumeraireThe money market account is an account that starts at $1 and is always invested at the short-term risk-free interest rateThe process for the value of the account isdg=rgdtThis has zero volatility. Using the money market account as the numeraire leads to the traditio