Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
1996
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IV, 130 S. |
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MARC
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| 245 | 1 | 0 | |a Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds |c vorgelegt von Daniel Sommer |
| 264 | 1 | |c 1996 | |
| 300 | |a IV, 130 S. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Bonn, Univ., Diss., 1996 | ||
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Record in the Search Index
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| adam_text | Contents
1 Approaches to Modelling Interest Rate Risk 1
1.1 A Stochastic Model of Zero Coupon Bond Prices 2
1.2 Gaussian Term Structure Models 7
1.3 Square Root and Quadratic Gaussian Models 12
1.4 Models with Lognormal Interest Rates 20
1.5 Summary and Outlook 23
2 Convergence Results in Ho/Lee Type Models under the Forward Mea¬
sure 25
2.1 Introduction 25
2.2 The Structure of the Ho/Lee Model 26
2.3 Limit Results for Continuous Trading in the Ho/Lee Model 28
2.3.1 The Derivation of the Call Option Formula in the Ho/Lee Model. 28
2.3.1.1 The Formula in Discrete Time 28
2.3.1.2 The Continuous Time Limit of the Discrete Time Formula 31
2.3.2 Limit Distributions of the Short Rate in the Ho/Lee Model .... 33
2.4 Why the Biihler/Schulze Models are essentially equal to the Ho/Lee Model 34
2.4.1 The Structure of the Buhler/Schulze Models 34
2.4.2 Limit Results for Continuous Trading in the Buhler/Schulze Models 37
2.5 Conclusion 38
2.6 Appendix 39
A Proof of Proposition 2.3.3 39
B Proof of Proposition 2.3.5 41
C Proof of Theorem 2.3.6 42
D Proof of Proposition 2.3.7 44
i
ii CONTENTS
3 Pricing and Hedging International Derivativeswith Interest Rate Risk 49
3.1 Introduction 49
3.2 An Arbitrage Free Model of an International Economy 51
3.3 Pricing and Hedging of Options 54
3.3.1 A general valuation theorem 54
3.3.2 Examples 57
3.3.2.1 Currency Options 59
3.3.2.2 Currency Converted Options 59
3.3.2.3 Options on the Product of two Assets 59
3.3.2.4 Guaranteed Exchange Rate Options 60
3.3.2.5 Options on Forwards and Futures 61
3.3.2.6 Options on Indices 61
3.3.3 Hedging — the LEGO approach 63
3.3.3.1 General Lemma: Hedging with lognormal derivatives . . 63
3.3.3.2 Intermediate Portfolios 64
3.3.3.3 Hedging Zero Coupon Bonds with Futures 65
3.4 Pricing and Hedging Exchange Options on Simple Options 66
3.4.1 An Explicit Solution 68
3.4.2 Near Explicit Solutions 70
3.4.3 Numerical Techniques 72
3.4.4 Options with two Exercise Dates 76
3.4.4.1 An Analysis of Compound Options under Stochastic In¬
terest Rates 78
3.4.4.2 A General Result on Pricing and Hedging 83
3.5 Conclusion 84
3.6 Appendix 85
A Parameters of the Simulations
CONTENTS iii
4 Pricing and Hedging Contingent Claims in term Structure Models with
Exogenous Issuing of New Bonds 87
4.1 Introduction 87
4.2 The General Structure of the Problem 91
4.2.1 Basic Assumptions and Notation 91
4.2.2 Restrictions on Modelling Long Term Discount Factors 94
4.2.3 Hedging Newly Issued Long Term Bonds 98
4.2.3.1 Risk Minimizing and Locally Risk Minimizing Portfolio
Strategies 99
4.2.3.2 The Minimal Martingale Measure 102
4.3 A Model with Newly Issued Long Term Zero Coupon Bonds 103
4.3.1 The Structure 103
4.3.2 Hedging Newly Issued Long Term Bonds 108
4.3.3 Introducing Exponential Volatilities 109
4.4 Applications Ill
4.4.1 Options on the Spread between Two Interest Rates Ill
4.4.2 Swaps on the Yield Curve 114
4.4.3 Options on a Fixed Portfolio of Notional Bonds 114
4.5 Conclusion 119
4.6 Appendix 121
A 121
Bibliograpy 123
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| indexdate | 2024-07-09T18:06:15Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007538131 |
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| physical | IV, 130 S. |
| publishDate | 1996 |
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| spelling | Sommer, Daniel Verfasser aut Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds vorgelegt von Daniel Sommer 1996 IV, 130 S. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 1996 Rente gtt Waardering gtt Wisselkoersen gtt Risikomanagement (DE-588)4121590-4 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Hedging (DE-588)4123357-8 s Zinsänderungsrisiko (DE-588)4067851-9 s DE-604 Risikomanagement (DE-588)4121590-4 s Zinsstrukturtheorie (DE-588)4117720-4 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007538131&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sommer, Daniel Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds Rente gtt Waardering gtt Wisselkoersen gtt Risikomanagement (DE-588)4121590-4 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4123357-8 (DE-588)4381572-8 (DE-588)4117720-4 (DE-588)4067851-9 (DE-588)4113937-9 |
| title | Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds |
| title_auth | Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds |
| title_exact_search | Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds |
| title_full | Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds vorgelegt von Daniel Sommer |
| title_fullStr | Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds vorgelegt von Daniel Sommer |
| title_full_unstemmed | Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds vorgelegt von Daniel Sommer |
| title_short | Valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds |
| title_sort | valuation of contingent claims with interest and exchange rate risk and the exogenous issuing of new bonds |
| topic | Rente gtt Waardering gtt Wisselkoersen gtt Risikomanagement (DE-588)4121590-4 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd |
| topic_facet | Rente Waardering Wisselkoersen Risikomanagement Hedging Derivat Wertpapier Zinsstrukturtheorie Zinsänderungsrisiko Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007538131&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT sommerdaniel valuationofcontingentclaimswithinterestandexchangerateriskandtheexogenousissuingofnewbonds |