利率与久期

利率与久期

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Unformatted text preview: 1 1. 2. 3. 4. 2 John C. Hull (2000) Options, Futures, and Other Derivative Securities, 4th Edition, Prentice Hall International, ISBN 0-13-015822- 4 (Cases in Financial Engineering: Applied Studies of Financial Innovation) 1999 3 1. 60% 2. 30% 3. 10% 4 1. 2. 3. 2 2 6 1. 2. 3. 7 1. 1. 1. 8 1. n 2. 3. 1 1 n n R ER n = +- 1 1 1 lim c n R c n R ER e n = + - = - 1 c R m m R m e = - 1 1 , n m n m R R m n = +- 9 1. 2. Black-Scholes 10 1. (zero rates) 1. 1 1 t mT t t t r P CF m = = + 1 g t t mT r m t t P CF e - = = 11 1. bootstrap method 12 (yield to maturity) (yield to maturity) 1. 2. 1 1 = = + t mT t t y P CF m...
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This note was uploaded on 12/02/2011 for the course BUSINESS Finance taught by Professor Li during the Summer '09 term at Peking Uni..

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利率与久期

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