期权期货及其衍生品第30弹.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * * * Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 30Interest Rate Derivatives: Model of the Short Rate Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Term Structure Models Black’s model is concerned with describing the probability distribution of a single variable at a single point in time A term structure model describes the evolution of the whole yield curve Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * The Zero Curve The process for the instantaneous short rate, r, in the traditional risk-neutral world defines the process for the whole zero curve in this world If P(t, T ) is the price at time t of a zero-coupon bond maturing at time T where is the average r between times t and T Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Equilibrium Models (Risk Neutral World) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Mean Reversion (Figure 30.1, page 684) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Interest rate HIGH interest rate has negative trend LOW interest rate has positive trend Reversion Level Alternative Term Structures in Vasicek CIR (Figure 30.2, page 686) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Zero Rate Maturity Zero Rate Maturity Zero Rate Maturity Properties of Vasicek and CIR P(t,T) = A(t,T)e?B(t,T)r The A and B functions are different for the two models These can be used to provide alternative duration and convexity measures O