Functional form of coefficients in finite-difference methods
Explain the term functional form of coefficients in finite-difference methods.
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Functional form of coefficients: The main difference between a single-factor interest rate option problem and an equity option problem is in the functional form of the volatility and the drift rate. These appear during the governing partial differential equations like coefficients.
Explain asymptotic analysis in interest rate model.
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Staind, Inc., has 7 percent coupon bonds on the market that have 13 years left to maturity. The bonds make annual payments. If the YTM on these bonds is 11 percent, what is the current bond price?
At the beginning of the year of 1996, the yearly interest rate was 6 percent in the United States and 2.8 percent in Japan. At the time the exchange rate was 95 yen per dollar. Mr. Jorus, the manager of a Bermuda-based hedge fund, thought that the substantial
Good fellow national bank decided to compete with a savings and loan by offering 30 year fixed rate mortgage loans at 8% annual interest. It plans to obtain the money got the loans by selling one year 6% CD to it's depositors. During first year of operation, good fellows sold it's depositors 1,000,0
How is Gamma hedging more precise form of hedging that theoretically eliminates?
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