c**********e
发帖数: 2007 | 1 原始出处：http://www.mitbbs.com/article_t/Quant/31274963.html
9. Consider the foreign exchange model ds=(r-Q)sdt+sigma sdw(t), what does r
and Q stands for? Consider u=1/s, calculate du.explain the paradox(Change
of numeria, shreve book has a very nice explainition)
这个Q到底是什么？
19 A zero coupon bond, pays $100 face value, current $95, a contract pays $1
when the bond hits $98, price the contract.
答案是95/98吗？
20.explain forward rate agreement? Under forward measure, it is a martingale
? what about Risk neutral measure.
FRA当然清楚，但是它由两项组成，能是MG吗？
望大侠赐教. | l*******l
发帖数: 248 | | l*******l
发帖数: 248 | 3 all discounted trade assets are mg under risk neutral measure.
r
$1
martingale
【在 c**********e 的大作中提到】
: 原始出处：http://www.mitbbs.com/article_t/Quant/31274963.html
: 9. Consider the foreign exchange model ds=(r-Q)sdt+sigma sdw(t), what does r
: and Q stands for? Consider u=1/s, calculate du.explain the paradox(Change
: of numeria, shreve book has a very nice explainition)
: 这个Q到底是什么？
: 19 A zero coupon bond, pays $100 face value, current $95, a contract pays $1
: when the bond hits $98, price the contract.
: 答案是95/98吗？
: 20.explain forward rate agreement? Under forward measure, it is a martingale
: ? what about Risk neutral measure.
| w****i
发帖数: 143 | 4 For question 19, it is an interest rate risk problem. The pricing method
could be like the way to price digital option. Use the interest rate model
like CIR (not sure?) and find the probability that the bond hits $98 or more.
r
$1
martingale
【在 c**********e 的大作中提到】
: 原始出处：http://www.mitbbs.com/article_t/Quant/31274963.html
: 9. Consider the foreign exchange model ds=(r-Q)sdt+sigma sdw(t), what does r
: and Q stands for? Consider u=1/s, calculate du.explain the paradox(Change
: of numeria, shreve book has a very nice explainition)
: 这个Q到底是什么？
: 19 A zero coupon bond, pays $100 face value, current $95, a contract pays $1
: when the bond hits $98, price the contract.
: 答案是95/98吗？
: 20.explain forward rate agreement? Under forward measure, it is a martingale
: ? what about Risk neutral measure.
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