- 31.31.1: What is the difference between an equilibrium model and a no-arbitr...
- 31.31.2: Suppose that the short rate is currently 4% and its standard deviat...
- 31.31.3: If a stock price were mean reverting or followed a path-dependent p...
- 31.31.4: Explain the difference between a one-factor and a two-factor intere...
- 31.31.5: Can the approach described in Section 31.4 for decomposing an optio...
- 31.31.6: Suppose that a 0:1 and b 0:1 in both the Vasicek and the Cox, Inger...
- 31.31.7: Suppose that a 0:1, b 0:08, and 0:015 in Vasiceks model, with the i...
- 31.31.8: Repeat 31.7 valuing a European put option with a strike of $87. Wha...
- 31.31.9: Suppose that a 0:05, b 0:08, and 0:015 in Vasiceks model with the i...
- 31.31.10: Use the answer to 31.9 and putcall parity arguments to calculate th...
- 31.31.11: In the HullWhite model, a 0:08 and 0:01. Calculate the price of a 1...
- 31.31.12: Suppose that a 0:05 and 0:015 in the HullWhite model with the initi...
- 31.31.13: Observations spaced at intervals t are taken on the short rate. The...
- 31.31.14: Suppose a 0:05, 0:015, and the term structure is flat at 10%. Const...
- 31.31.15: Calculate the price of a 2-year zero-coupon bond from the tree in F...
- 31.31.16: Calculate the price of a 2-year zero-coupon bond from the tree in F...
- 31.31.17: Calculate the price of an 18-month zero-coupon bond from the tree i...
- 31.31.18: What does the calibration of a one-factor term structure model invo...
- 31.31.19: Use the DerivaGem software to value 1 4, 2 3, 3 2, and 4 1 European...
- 31.31.20: Prove equations (31.25), (31.26), and (31.27).
- 31.31.21: (a) What is the second partial derivative of Pt; T with respect to ...
- 31.31.22: Suppose that short rate r is 4% and its real-world process is dr 0:...
- 31.31.23: Construct a trinomial tree for the HoLee model where 0:02. Suppose ...
- 31.31.24: A trader wishes to compute the price of a 1-year American call opti...
- 31.31.25: Use the DerivaGem software to value 1 4, 2 3, 3 2, and 4 1 European...
- 31.31.26: Verify that the DerivaGem software gives Figure 31.11 for the examp...
- 31.31.27: Modify Sample Application G in the DerivaGem Application Builder so...
- 31.31.28: Suppose that the (CIR) process for short-rate movement in the (trad...
Solutions for Chapter 31: Interest Rate Derivatives: Models of the Short Rate
Full solutions for Options, Futures, and Other Derivatives | 9th Edition
total revenue minus total explicit cost
a person who is performing an act for another person, called the principal
fluctuations in economic activity, such as employment and production
goods that are rival in consumption but not excludable
the amount a buyer is willing to pay for a good minus the amount the buyer actually pays for it
the reduction of risk achieved by replacing a single risk with a large number of smaller, unrelated risks
the property of society getting the most it can from its scarce resources
the property of distributing economic prosperity uniformly among the members of society
a situation in which the market price has reached the level at which quantity supplied equals quantity demanded
the group of institutions in the economy that help to match one person’s saving with another person’s investment
the increase in total cost that arises from an extra unit of production
the costs of changing prices
two goods with straight-line indifference curves
price elasticity of supply
a measure of how much the quantity supplied of a good responds to a change in the price of that good, computed as the percentage change in quantity supplied divided by the percentage change in price
total revenue minus total cost
real exchange rate
the rate at which a person can trade the goods and services of one country for the goods and services of another
a tax for which highincome taxpayers pay a smaller fraction of their income than do low-income taxpayers
government policy aimed at protecting people against the risk of adverse events
government programs that supplement the incomes of the needy welfare economics the study of how the allocation of resources affects economic well-being
the price of a good that prevails in the world market for that good