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Interest rate futures markets and capital market theory [[electronic resource] ] : theoretical concepts and empirical evidence / / by Klaus Kobold
| Interest rate futures markets and capital market theory [[electronic resource] ] : theoretical concepts and empirical evidence / / by Klaus Kobold |
| Autore | Kobold Klaus |
| Edizione | [Reprint 2011] |
| Pubbl/distr/stampa | Berlin, : W. de Gruyter, 1986 |
| Descrizione fisica | 1 online resource (340 p.) |
| Collana | Series D--Economics =Economiques |
| Soggetto topico |
Interest rate futures
Capital market Hedging (Finance) Portfolio management |
| Soggetto genere / forma | Electronic books. |
| ISBN | 3-11-090330-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- ACKNOWLEDGEMENTS -- INTRODUCTION -- CHAPTER I : THE INTEREST RATE FUTURES MARKET -- CHAPTER II : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- CHAPTER III : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL -- CHAPTER IV : SUMMARY AND CONCLUSIONS -- BIBLIOGRAPHY |
| Record Nr. | UNINA-9910462053703321 |
Kobold Klaus
|
||
| Berlin, : W. de Gruyter, 1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / / Klaus Kobold
| Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / / Klaus Kobold |
| Autore | Kobold Klaus |
| Edizione | [Reprint 2011] |
| Pubbl/distr/stampa | Berlin : , : W. de Gruyter, , 1986 |
| Descrizione fisica | 1 online resource (xvi, 321 pages) : illustrations |
| Disciplina | 332.8/2 |
| Collana | Series D--Economics =Economiques |
| Soggetto topico |
Interest rate futures
Capital market Hedging (Finance) Portfolio management |
| ISBN | 3-11-090330-X |
| Classificazione | QC 210 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- ACKNOWLEDGEMENTS -- INTRODUCTION -- CHAPTER I : THE INTEREST RATE FUTURES MARKET -- CHAPTER II : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- CHAPTER III : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL -- CHAPTER IV : SUMMARY AND CONCLUSIONS -- BIBLIOGRAPHY |
| Record Nr. | UNINA-9910785829403321 |
|
Kobold Klaus
|
||
| Berlin : , : W. de Gruyter, , 1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / / Klaus Kobold
| Interest rate futures markets and capital market theory : theoretical concepts and empirical evidence / / Klaus Kobold |
| Autore | Kobold Klaus |
| Edizione | [Reprint 2011] |
| Pubbl/distr/stampa | Berlin : , : W. de Gruyter, , 1986 |
| Descrizione fisica | 1 online resource (xvi, 321 pages) : illustrations |
| Disciplina | 332.8/2 |
| Collana | Series D--Economics =Economiques |
| Soggetto topico |
Interest rate futures
Capital market Hedging (Finance) Portfolio management |
| ISBN | 3-11-090330-X |
| Classificazione | QC 210 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- ACKNOWLEDGEMENTS -- INTRODUCTION -- CHAPTER I : THE INTEREST RATE FUTURES MARKET -- CHAPTER II : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF PORTFOLIO THEORY -- CHAPTER III : INTEREST RATE FUTURES MARKETS IN THE CONTEXT OF THE CAPITAL ASSET PRICING MODEL -- CHAPTER IV : SUMMARY AND CONCLUSIONS -- BIBLIOGRAPHY |
| Record Nr. | UNINA-9910824788103321 |
|
Kobold Klaus
|
||
| Berlin : , : W. de Gruyter, , 1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr
| Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr |
| Autore | Sadr Amir <1963-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2009 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina |
332.6
332.6323 332.645 |
| Collana | Wiley finance series |
| Soggetto topico |
Interest rate swaps
Interest rate futures Derivative securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-36914-8
9786612369148 1-118-26796-6 0-470-52608-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's World
Chapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORK BGM RESULTNotes; Index |
| Record Nr. | UNINA-9910139779403321 |
|
Sadr Amir <1963->
|
||
| Hoboken, NJ, : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr
| Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr |
| Autore | Sadr Amir <1963-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2009 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina |
332.6
332.6323 332.645 |
| Collana | Wiley finance series |
| Soggetto topico |
Interest rate swaps
Interest rate futures Derivative securities |
| ISBN |
1-282-36914-8
9786612369148 1-118-26796-6 0-470-52608-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's World
Chapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORK BGM RESULTNotes; Index |
| Record Nr. | UNINA-9910830385703321 |
|
Sadr Amir <1963->
|
||
| Hoboken, NJ, : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr
| Interest rate swaps and their derivatives [[electronic resource] ] : a practitioner's guide / / Amir Sadr |
| Autore | Sadr Amir <1963-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2009 |
| Descrizione fisica | 1 online resource (274 p.) |
| Disciplina |
332.6
332.6323 332.645 |
| Collana | Wiley finance series |
| Soggetto topico |
Interest rate swaps
Interest rate futures Derivative securities |
| ISBN |
1-282-36914-8
9786612369148 1-118-26796-6 0-470-52608-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Interest Rate Swaps and their Derivatives: A Practitioner's Guide; Contents; Preface; "RATES" MARKET; BACKGROUND; BOOK STRUCTURE; ACKNOWLEDGMENTS; About the Author; List of Symbols and Abbreviations; Part I: Cash, Repo, and Swap Markets; Chapter 1 :Bonds: It's All About Discounting; Chapter 2: Swaps: It's Still About Discounting; Chapter 3: Interest Rate Swaps in Practice; Chapter 4: Separating Forward Curve from Discount Curve; Part II: Interest-Rate Flow Options; Chapter 5: Derivatives Pricing: Risk-Neutral Valuation; Chapter 6: Black's World
Chapter 7: European-Style Interest-Rate DerivativesPart III: Interest-Rate Exotics; Chapter 8: Short-Rate Models; Chapter 9: Bermudan-Style Options; Chapter 10: Full Term-Structure Interest-Rate Models; Chapter 11: Forward-Measure Lens; Chapter 12: In Search of "The" Model; Appendix A: Taylor Series Expansion; FUNCTION OF ONE VARIABLE; FUNCTION OF SEVERAL VARIABLES; ITO'S LEMMA: TAYLOR SERIES FOR DIFFUSIONS; Appendix B: Mean-Reverting Processes; NORMAL DYNAMICS; LOG-NORMAL DYNAMICS; Appendix C: Girsanov's Theorem and Change of Numeraire; CONTINUOUS-TIME, INSTANTANEOUS-FORWARDS HJM FRAMEWORK BGM RESULTNotes; Index |
| Record Nr. | UNINA-9910840516103321 |
|
Sadr Amir <1963->
|
||
| Hoboken, NJ, : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
| The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White |
| Autore | Rebonato Riccardo |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2009 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.63/23 |
| Altri autori (Persone) |
McKayKenneth <1981->
WhiteRichard <1976-> |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Options (Finance) - Prices - Mathematical models Derivative securities - Accounting Interest rate futures LIBOR market model |
| ISBN |
1-119-99563-9
1-119-20639-1 1-282-68985-1 9786612689857 0-470-74488-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The SABR/LIBOR Market Model; Contents; Acknowledgements; 1 Introduction; I The Theoretical Set-Up; II Implementation and Calibration; III Empirical Evidence; IV Hedging; References; Index |
| Record Nr. | UNINA-9910139504503321 |
|
Rebonato Riccardo
|
||
| Hoboken, NJ, : John Wiley & Sons, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
| The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White |
| Autore | Rebonato Riccardo |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2009 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.63/23 |
| Altri autori (Persone) |
McKayKenneth <1981->
WhiteRichard <1976-> |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Options (Finance) - Prices - Mathematical models Derivative securities - Accounting Interest rate futures LIBOR market model |
| ISBN |
1-119-99563-9
1-119-20639-1 1-282-68985-1 9786612689857 0-470-74488-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The SABR/LIBOR Market Model; Contents; Acknowledgements; 1 Introduction; I The Theoretical Set-Up; II Implementation and Calibration; III Empirical Evidence; IV Hedging; References; Index |
| Record Nr. | UNINA-9910812724303321 |
|
Rebonato Riccardo
|
||
| Hoboken, NJ, : John Wiley & Sons, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox
| Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox |
| Autore | Rebonato Riccardo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2005 |
| Descrizione fisica | 1 online resource (866 p.) |
| Disciplina |
332.6323
332.64/53 |
| Altri autori (Persone) | RebonatoRiccardo |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Interest rate futures
Interest rate futures - Mathematical models Mathematical models Options (Finance) - Mathematical models Options (Finance) Prices Securities Securities - Prices - Mathematical models Investment & Speculation Finance Business & Economics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-67353-0
1-280-26910-3 9786610269105 0-470-09140-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Volatility and Correlation 2(nd) Edition; Contents; Preface; 0.1 Why a Second Edition?; 0.2 What This Book Is Not About; 0.3 Structure of the Book; 0.4 The New Subtitle; Acknowledgements; I Foundations; 1 Theory and Practice of Option Modelling; 1.1 The Role of Models in Derivatives Pricing; 1.1.1 What Are Models For?; 1.1.2 The Fundamental Approach; 1.1.3 The Instrumental Approach; 1.1.4 A Conundrum (or, 'What is Vega Hedging For?'); 1.2 The Efficient Market Hypothesis and Why It Matters for Option Pricing; 1.2.1 The Three Forms of the EMH; 1.2.2 Pseudo-Arbitrageurs in Crisis
1.2.3 Model Risk for Traders and Risk Managers1.2.4 The Parable of the Two Volatility Traders; 1.3 Market Practice; 1.3.1 Different Users of Derivatives Models; 1.3.2 In-Model and Out-of-Model Hedging; 1.4 The Calibration Debate; 1.4.1 Historical vs Implied Calibration; 1.4.2 The Logical Underpinning of the Implied Approach; 1.4.3 Are Derivatives Markets Informationally Efficient?; 1.4.4 Back to Calibration; 1.4.5 A Practical Recommendation; 1.5 Across-Markets Comparison of Pricing and Modelling Practices; 1.6 Using Models; 2 Option Replication; 2.1 The Bedrock of Option Pricing 2.2 The Analytic (PDE) Approach2.2.1 The Assumptions; 2.2.2 The Portfolio-Replication Argument (Deterministic Volatility); 2.2.3 The Market Price of Risk with Deterministic Volatility; 2.2.4 Link with Expectations - the Feynman-Kac Theorem; 2.3 Binomial Replication; 2.3.1 First Approach - Replication Strategy; 2.3.2 Second Approach - 'Naive Expectation'; 2.3.3 Third Approach - 'Market Price of Risk'; 2.3.4 A Worked-Out Example; 2.3.5 Fourth Approach - Risk-Neutral Valuation; 2.3.6 Pseudo-Probabilities; 2.3.7 Are the Quantities π(1) and π(2) Really Probabilities? 2.3.8 Introducing Relative Prices2.3.9 Moving to a Multi-Period Setting; 2.3.10 Fair Prices as Expectations; 2.3.11 Switching Numeraires and Relating Expectations Under Different Measures; 2.3.12 Another Worked-Out Example; 2.3.13 Relevance of the Results; 2.4 Justifying the Two-State Branching Procedure; 2.4.1 How To Recognize a Jump When You See One; 2.5 The Nature of the Transformation between Measures: Girsanov's Theorem; 2.5.1 An Intuitive Argument; 2.5.2 A Worked-Out Example; 2.6 Switching Between the PDE, the Expectation and the Binomial Replication Approaches; 3 The Building Blocks 3.1 Introduction and Plan of the Chapter3.2 Definition of Market Terms; 3.3 Hedging Forward Contracts Using Spot Quantities; 3.3.1 Hedging Equity Forward Contracts; 3.3.2 Hedging Interest-Rate Forward Contracts; 3.4 Hedging Options: Volatility of Spot and Forward Processes; 3.5 The Link Between Root-Mean-Squared Volatilities and the Time-Dependence of Volatility; 3.6 Admissibility of a Series of Root-Mean-Squared Volatilities; 3.6.1 The Equity/FX Case; 3.6.2 The Interest-Rate Case; 3.7 Summary of the Definitions So Far; 3.8 Hedging an Option with a Forward-Setting Strike 3.8.1 Why Is This Option Important? (And Why Is it Difficult to Hedge?) |
| Record Nr. | UNINA-9910143702803321 |
|
Rebonato Riccardo
|
||
| Hoboken, : Wiley, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox
| Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox |
| Autore | Rebonato Riccardo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2005 |
| Descrizione fisica | 1 online resource (866 p.) |
| Disciplina |
332.6323
332.64/53 |
| Altri autori (Persone) | RebonatoRiccardo |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Interest rate futures
Interest rate futures - Mathematical models Mathematical models Options (Finance) - Mathematical models Options (Finance) Prices Securities Securities - Prices - Mathematical models Investment & Speculation Finance Business & Economics |
| ISBN |
1-118-67353-0
1-280-26910-3 9786610269105 0-470-09140-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Volatility and Correlation 2(nd) Edition; Contents; Preface; 0.1 Why a Second Edition?; 0.2 What This Book Is Not About; 0.3 Structure of the Book; 0.4 The New Subtitle; Acknowledgements; I Foundations; 1 Theory and Practice of Option Modelling; 1.1 The Role of Models in Derivatives Pricing; 1.1.1 What Are Models For?; 1.1.2 The Fundamental Approach; 1.1.3 The Instrumental Approach; 1.1.4 A Conundrum (or, 'What is Vega Hedging For?'); 1.2 The Efficient Market Hypothesis and Why It Matters for Option Pricing; 1.2.1 The Three Forms of the EMH; 1.2.2 Pseudo-Arbitrageurs in Crisis
1.2.3 Model Risk for Traders and Risk Managers1.2.4 The Parable of the Two Volatility Traders; 1.3 Market Practice; 1.3.1 Different Users of Derivatives Models; 1.3.2 In-Model and Out-of-Model Hedging; 1.4 The Calibration Debate; 1.4.1 Historical vs Implied Calibration; 1.4.2 The Logical Underpinning of the Implied Approach; 1.4.3 Are Derivatives Markets Informationally Efficient?; 1.4.4 Back to Calibration; 1.4.5 A Practical Recommendation; 1.5 Across-Markets Comparison of Pricing and Modelling Practices; 1.6 Using Models; 2 Option Replication; 2.1 The Bedrock of Option Pricing 2.2 The Analytic (PDE) Approach2.2.1 The Assumptions; 2.2.2 The Portfolio-Replication Argument (Deterministic Volatility); 2.2.3 The Market Price of Risk with Deterministic Volatility; 2.2.4 Link with Expectations - the Feynman-Kac Theorem; 2.3 Binomial Replication; 2.3.1 First Approach - Replication Strategy; 2.3.2 Second Approach - 'Naive Expectation'; 2.3.3 Third Approach - 'Market Price of Risk'; 2.3.4 A Worked-Out Example; 2.3.5 Fourth Approach - Risk-Neutral Valuation; 2.3.6 Pseudo-Probabilities; 2.3.7 Are the Quantities π(1) and π(2) Really Probabilities? 2.3.8 Introducing Relative Prices2.3.9 Moving to a Multi-Period Setting; 2.3.10 Fair Prices as Expectations; 2.3.11 Switching Numeraires and Relating Expectations Under Different Measures; 2.3.12 Another Worked-Out Example; 2.3.13 Relevance of the Results; 2.4 Justifying the Two-State Branching Procedure; 2.4.1 How To Recognize a Jump When You See One; 2.5 The Nature of the Transformation between Measures: Girsanov's Theorem; 2.5.1 An Intuitive Argument; 2.5.2 A Worked-Out Example; 2.6 Switching Between the PDE, the Expectation and the Binomial Replication Approaches; 3 The Building Blocks 3.1 Introduction and Plan of the Chapter3.2 Definition of Market Terms; 3.3 Hedging Forward Contracts Using Spot Quantities; 3.3.1 Hedging Equity Forward Contracts; 3.3.2 Hedging Interest-Rate Forward Contracts; 3.4 Hedging Options: Volatility of Spot and Forward Processes; 3.5 The Link Between Root-Mean-Squared Volatilities and the Time-Dependence of Volatility; 3.6 Admissibility of a Series of Root-Mean-Squared Volatilities; 3.6.1 The Equity/FX Case; 3.6.2 The Interest-Rate Case; 3.7 Summary of the Definitions So Far; 3.8 Hedging an Option with a Forward-Setting Strike 3.8.1 Why Is This Option Important? (And Why Is it Difficult to Hedge?) |
| Record Nr. | UNINA-9910830708703321 |
|
Rebonato Riccardo
|
||
| Hoboken, : Wiley, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Interest rate futures
(12)
- Business & Economics (3)
- Capital market (3)
- Derivative securities (3)
- Finance (3)