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Hi David, Long time no see! How are you doing! I have a question about this topic, which is in Hull's Chapter 6.2, Edition 7, and also a topic in FRM part1. In Hull's book, first, he calculated the dirty price by adding quoted bond price and accrued interest rate. Then, using F0=(S0-I)e^rT...

Hi David, How are you doing! I have a question: The fwd price of a stock is just S0exp(rt). For Hull's book chapter27.4, equation 27.21 F=E(S), forward price is its expected future spot price, however, in a world that is fwd risk neutral wrt P(t, T). In this world, I think these two...

btw, if u need assignment solution, I can email you one.

Hi David, thanks for your response. Your answers give me a lot of thoughts. I think the question baffling you is interesting and is not simpler. Did Hull's book mention smile shift? Could you explain it a liitle bit more? Thanks

Hi David, I have two questions about the volatility smile? 1. Crashophobia. In Hull's book, it means that traders are concerned about the possibility of another crash similar to October 1987, and so increase the price of out of the money put (lower strike price), therefore increasing the...

Hi, David, After reading all your posts, I have two question: 1. the delta of the future contract can be greater than one? 2. I want to try to describe how future and forward contract works as time passes: Suppose we setup the future and forward contract at time 0. Now we are at time t...