Dynamic hedging strategies and option pricing in bond market models with transaction costs:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 114 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents
List of Symbols and Functions iii
List of Abbreviations ix
List of Figures xi
List of Tables xiii
Introduction xv
1 Interest Rate Theory 1
1.1 Financial Markets 2
1.1.1 Bond Market Structure 2
1.1.2 The Time Uncertainty Setting 7
1.1.3 Behaviour of Agents 10
1.1.4 Properties of Financial Markets 11
1.1.5 Market Frictions 15
1.2 Interest Rate Models 17
1.2.1 Diffusion Models 17
1.2.2 One Factor Models 19
1.2.3 Affine Models 20
1.2.4 Model Calibration 21
1.2.5 An Approximative Discrete Time Calibration Procedure 22
1.3 Bond Market Models 25
1.3.1 The Ho Lee Model 25
1.3.2 The Discrete Time Ho Lee Generalization 31
1.3.3 The Continuous Time Ho Lee Model 34
1.3.4 Heath Jarrow Morton Model 35
2 Replication with Proportional Transaction Costs 39
2.1 Transaction Cost Models of Equity and Fixed Income Markets . 40
2.1.1 Pricing and Hedging Derivatives 40
i
2.1.2 Transaction Cost Fundamentals 42
2.1.3 Literature Review 44
2.1.4 Fixed Income Markets 46
2.1.5 Settlement Procedures 47
2.2 Replication in Discrete Time Models 49
2.2.1 Standard Replication 49
2.2.2 Numerical Considerations 60
2.2.3 The Cheapest Underlying Equivalent Bond 63
2.2.4 The Cheapest Hedging Portfolio 67
2.3 Fixed Time Replication Strategies in Continuous Time Models . 71
2.3.1 The Black Model 71
2.3.2 Affine Interest Rate Models 73
2.4 Replicating Portfolio Behaviour: An Example 76
2.5 Summary 79
3 Optimal Hedging Strategies with Proportional Transaction Costs 81
3.1 Superreplicating Strategies 82
3.1.1 Theory of Superreplication 83
3.1.2 Where Superreplication Fails 86
3.1.3 Superreplication as a Linear Program 86
3.1.4 A Dynamical Programming Solution 90
3.1.5 The Edisiringhe et al Dynamical Programming Approxi¬
mation 96
3.1.6 Theory of Quantile Hedging 98
3.1.7 Elementary Securities with Transaction Costs 100
3.2 Expected Utility Maximizing Strategies 102
3.2.1 Theory of Expected Utility Maximization for an Option
Hedger 102
3.2.2 Optimal Trading Rules 103
3.3 Summary 105
Bibliography 107
ii
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| language | English |
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| spelling | Heinzl, Thomas Anton Verfasser aut Dynamic hedging strategies and option pricing in bond market models with transaction costs vorgelegt von Thomas Anton Heinzl 1999 XVI, 114 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1998 Hedging / Rentenmarkt / Transaktionskosten / Optionspreistheorie / Theorie Rentenmarkt (DE-588)4177794-3 gnd rswk-swf Transaktionskosten (DE-588)4060619-3 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Rentenmarkt (DE-588)4177794-3 s Zinsstrukturtheorie (DE-588)4117720-4 s Optionspreistheorie (DE-588)4135346-8 s Transaktionskosten (DE-588)4060619-3 s Hedging (DE-588)4123357-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008993441&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Heinzl, Thomas Anton Dynamic hedging strategies and option pricing in bond market models with transaction costs Hedging / Rentenmarkt / Transaktionskosten / Optionspreistheorie / Theorie Rentenmarkt (DE-588)4177794-3 gnd Transaktionskosten (DE-588)4060619-3 gnd Hedging (DE-588)4123357-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4177794-3 (DE-588)4060619-3 (DE-588)4123357-8 (DE-588)4135346-8 (DE-588)4117720-4 (DE-588)4113937-9 |
| title | Dynamic hedging strategies and option pricing in bond market models with transaction costs |
| title_auth | Dynamic hedging strategies and option pricing in bond market models with transaction costs |
| title_exact_search | Dynamic hedging strategies and option pricing in bond market models with transaction costs |
| title_full | Dynamic hedging strategies and option pricing in bond market models with transaction costs vorgelegt von Thomas Anton Heinzl |
| title_fullStr | Dynamic hedging strategies and option pricing in bond market models with transaction costs vorgelegt von Thomas Anton Heinzl |
| title_full_unstemmed | Dynamic hedging strategies and option pricing in bond market models with transaction costs vorgelegt von Thomas Anton Heinzl |
| title_short | Dynamic hedging strategies and option pricing in bond market models with transaction costs |
| title_sort | dynamic hedging strategies and option pricing in bond market models with transaction costs |
| topic | Hedging / Rentenmarkt / Transaktionskosten / Optionspreistheorie / Theorie Rentenmarkt (DE-588)4177794-3 gnd Transaktionskosten (DE-588)4060619-3 gnd Hedging (DE-588)4123357-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Hedging / Rentenmarkt / Transaktionskosten / Optionspreistheorie / Theorie Rentenmarkt Transaktionskosten Hedging Optionspreistheorie Zinsstrukturtheorie Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008993441&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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