t*******d
发帖数: 5 | 1 Is futures more expensive than forwards? why
Is futures a martingale?
Is forward a martingale?
Is futures/forward a martingale w.r.t a bond acount?
Is forward/futures a martingale w.r.t a money market account? |
t*******d
发帖数: 5 | 2 another one:
what is the diff between vacesik and HW model?
how to solve the vacesik model? (use Ito formula)
【在 t*******d 的大作中提到】
: Is futures more expensive than forwards? why
: Is futures a martingale?
: Is forward a martingale?
: Is futures/forward a martingale w.r.t a bond acount?
: Is forward/futures a martingale w.r.t a money market account?
|
t*******d
发帖数: 5 | 3 a third one:
Given implied vol for all strikes, how do you determine
if there are arbitrage opportunities?
【在 t*******d 的大作中提到】
: another one:
: what is the diff between vacesik and HW model?
: how to solve the vacesik model? (use Ito formula)
|
z****i
发帖数: 406 | 4 If the smile if not convex?
any hint?
【在 t*******d 的大作中提到】
: a third one:
: Given implied vol for all strikes, how do you determine
: if there are arbitrage opportunities?
|
c*********g
发帖数: 154 | 5 是future price和forward price吧？
forward price是T-forward meausre(numeraire是zero-coupoon bond)下未来
underlying价格的期望。而future price是risk-neutral measure（numeraire是bank
account）下未来underlying价格的期望。如果interest rate是non-random的，两者在
0时刻相等。否则要看未来underlying价格和未来bank account价格倒数的相关性。负
相关在0时刻则forward price要低于future price价格。
future price是一个随机过程，相对bank account是martingale。但我觉得forward
price在0时刻定下来之后就是一个固定的量了，不会随时间变化，谈不上是个过程，更
不用说是不是martingale了。不知道理解得对不对，哪位给解惑一下，谢谢～
【在 t*******d 的大作中提到】
: Is futures more expensive than forwards? why
: Is futures a martingale?
: Is forward a martingale?
: Is futures/forward a martingale w.r.t a bond acount?
: Is forward/futures a martingale w.r.t a money market account?
|
c*********g
发帖数: 154 | 6 噢，是Vasicek model和Hull–White model
http://en.wikipedia.org/wiki/Vasicek_model
http://en.wikipedia.org/wiki/Hull-White_model
【在 t*******d 的大作中提到】
: another one:
: what is the diff between vacesik and HW model?
: how to solve the vacesik model? (use Ito formula)
|
d*j
发帖数: 13780 | 7 不会吧。。。。。。。。
hull white model
ft
【在 c*********g 的大作中提到】
: 噢，是Vasicek model和Hull–White model
: http://en.wikipedia.org/wiki/Vasicek_model
: http://en.wikipedia.org/wiki/Hull-White_model
|
c*********g
发帖数: 154 | 8 学了不少关于这个model的东西以前，但是不知道叫什么名字，窘。。。
【在 d*j 的大作中提到】
: 不会吧。。。。。。。。
: hull white model
: ft
|
a***r
发帖数: 594 | 9 Brigo: interest rate model, has a chapter devoted to most common spot models
.
【在 c*********g 的大作中提到】
: 噢，是Vasicek model和Hull–White model
: http://en.wikipedia.org/wiki/Vasicek_model
: http://en.wikipedia.org/wiki/Hull-White_model
|
a***r
发帖数: 594 | 10 if futures price is a stoch process, why forward price is not? tommorrow's
forward price will be different from today's and how it differs depends on
change in spot and interest rate, no?
I think in your post you defined forward price as P(0)=E_{0}[P(T)] but then
you defined futures price as F(t)=E_{t}[F(T)].
fundamentally, forward pays off in one shot at maturity, no cash flow in
between. therefore one hedges the cashflow using spot and a zero coupon bond
. as a result, it becomes solving a mar
【在 c*********g 的大作中提到】
: 是future price和forward price吧？
: forward price是T-forward meausre(numeraire是zero-coupoon bond)下未来
: underlying价格的期望。而future price是risk-neutral measure（numeraire是bank
: account）下未来underlying价格的期望。如果interest rate是non-random的，两者在
: 0时刻相等。否则要看未来underlying价格和未来bank account价格倒数的相关性。负
: 相关在0时刻则forward price要低于future price价格。
: future price是一个随机过程，相对bank account是martingale。但我觉得forward
: price在0时刻定下来之后就是一个固定的量了，不会随时间变化，谈不上是个过程，更
: 不用说是不是martingale了。不知道理解得对不对，哪位给解惑一下，谢谢～
|
a***r
发帖数: 594 | 11 can't recall exactly. but it goes something like:
given entire vol surface, you have all call prices as a function of strike C
(K). differentiate to strike K twice, you get a function that is the price
of a contingent payoff at price K, that should be strictly greater than 0. I
maybe off by a sign. :)
an intuitive way to understand this is that, long a call at K and short a
call at K+1, (C(K) - C(K+1)) is the numerical first derivative of C over K. And that is a call spread.
long 1 at K, short 2
【在 t*******d 的大作中提到】
: a third one:
: Given implied vol for all strikes, how do you determine
: if there are arbitrage opportunities?
|
p******i
发帖数: 1358 | 12 back out the density function and see whether if it's non-negative
everywhere
【在 t*******d 的大作中提到】
: a third one:
: Given implied vol for all strikes, how do you determine
: if there are arbitrage opportunities?
|
M*****y
发帖数: 666 | 13 it is like Arrow–Debreu state price.
【在 p******i 的大作中提到】
: back out the density function and see whether if it's non-negative
: everywhere
|
i*****e
发帖数: 159 | 14 forward price is a martingale under bond(zero coupon)-measure, since Forward
price = spot price / bond price
futures price is a martingale under cash bond measure. the two are the same
when future interest rate is deterministic
then
bond
roll
【在 a***r 的大作中提到】
: if futures price is a stoch process, why forward price is not? tommorrow's
: forward price will be different from today's and how it differs depends on
: change in spot and interest rate, no?
: I think in your post you defined forward price as P(0)=E_{0}[P(T)] but then
: you defined futures price as F(t)=E_{t}[F(T)].
: fundamentally, forward pays off in one shot at maturity, no cash flow in
: between. therefore one hedges the cashflow using spot and a zero coupon bond
: . as a result, it becomes solving a mar
|
