2016-03-01から1ヶ月間の記事一覧
最近リスクラッテの問題を解こうとして苦しんでいる。 Given the mean and volatility of a diffusion process, the reader is asked to determine the probability that the asset value never drops to the level of 90% of the original value over a ten…
最近ハル教授の利子とかわせ調整計算式を見直しといる。 Convexity adjustments are used with interest rate derivatives to express forward yields in terms of the forward rate at time 0, where the known forward rate assumes cash flows at time 2 …