{"title":"Single-Period Binomial Model","authors":"R. Jarrow, Arkadev Chatterjea","doi":"10.1142/9781944659561_0017","DOIUrl":"https://doi.org/10.1142/9781944659561_0017","url":null,"abstract":"The following sections are included:IntroductionApplications and Uses of the Binomial ModelA Brief History of Options Pricing ModelsOption Pricing Pre-1973Options Pricing, 1973 and AfterAn ExampleThe AssumptionsThe Single-Period ModelThe No-Arbitrage PrincipleBuilding Binomial TreesArbitrage-Free TreesStock Prices and MartingalesThe Pricing ModelThe Hedge RatioRisk-Neutral ValuationActual versus Pseudo-probabilitiesSummaryAppendixProving the No-Arbitrage ArgumentThe Probabilities and Risk PremiumCasesQuestions and Problems","PeriodicalId":192464,"journal":{"name":"An Introduction to Derivative Securities, Financial Markets, and Risk Management","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121740705","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Yields and Forward Rates","authors":"R. Jarrow, Arkadev Chatterjea","doi":"10.1142/9781944659561_0021","DOIUrl":"https://doi.org/10.1142/9781944659561_0021","url":null,"abstract":"The following sections are included:IntroductionEXTENSION 21.1: Home Ownership and DerivativesYieldsRevisiting ZerosYields and the Yield CurveEXTENSION 21.2: The Expectations HypothesisThe Traditional ApproachDurationModified Duration HedgingApplications and LimitationsForward RatesThe DefinitionUnderstanding Forward RatesUsing Forward RatesEXTENSION 21.3: Computing Forward Rates from Coupon Bond PricesThe Basic Interest Rate Derivatives ContractsA Brief HistoryForward Rate AgreementsInterest Rate FuturesEXTENSION 21.4: Treasury FuturesThe Equivalence between Forward and FRA RatesSummaryCasesQuestions and Problems","PeriodicalId":192464,"journal":{"name":"An Introduction to Derivative Securities, Financial Markets, and Risk Management","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114321156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Heath–Jarrow–Morton Libor Model","authors":"R. Jarrow, Arkadev Chatterjea","doi":"10.1142/9781944659561_0025","DOIUrl":"https://doi.org/10.1142/9781944659561_0025","url":null,"abstract":"The following sections are included:IntroductionWhy Caplets?A History of Caplet PricingBlack’s ModelThe Heath–Jarrow–Morton ModelThe HJM Libor ModelEXTENSION 25.1: Black’s Model for Pricing Commodity Options and CapletsThe AssumptionsPricing CapletsCaplet and Floorlet Pricing (CFP) DataCaplet Pricing ModelThe InputsObservable InputsThe Average Forward Rate VolatilityUnderstanding the HJM Libor ModelForward Rates and MartingalesRisk-Neutral ValuationActual versus Pseudo-probabilitiesCaps and FloorsCapsFloorletsCaplet–Floorlet ParityFloorsUsing the HJM Libor ModelThe GreeksDelta HedgingGamma HedgingAmerican Options, Futures, Swaptions, and Other DerivativesSummaryAppendixCasesQuestions and Problems","PeriodicalId":192464,"journal":{"name":"An Introduction to Derivative Securities, Financial Markets, and Risk Management","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133604071","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Cost-of-Carry Model","authors":"R. Jarrow, Arkadev Chatterjea","doi":"10.1142/9781944659561_0011","DOIUrl":"https://doi.org/10.1142/9781944659561_0011","url":null,"abstract":"The following sections are included:IntroductionA Cost-of-Carry ExampleThe AssumptionsThe Cost-of-Carry ModelThe Model SetupUsing the Law of One PriceUsing Nothing Comes from NothingDifferent Methods for Computing InterestThe Arbitrage Table ApproachValuing a Forward Contract at Intermediate DatesLinking Forward Prices of Different MaturitiesSummaryCasesQuestions and Problems","PeriodicalId":192464,"journal":{"name":"An Introduction to Derivative Securities, Financial Markets, and Risk Management","volume":"141 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121608393","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}