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Pricing Kernels
hi, how did we conclude the last line when payoffs are constant ?- sm@23
- Thread
- Replies: 1
- Forum: P2.T9. Risk Management and Investment Management
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Tuckman Ch9 -Shape of Term structure
hi, Why the shape of term structure is downward sloping for model 1 though middle node is recombining in rate tree?- sm@23
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- term-structure
- Replies: 5
- Forum: P2.T5. Market Risk Measurement & Management
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Eurodollar future investment
Hi, These are 3 investment scenario mentioned below in page# 4"https://www.cmegroup.com/trading/interest-rates/files/understanding-eurodollar-futures.pdf" E.g., consider the following interest rate structure in the Eurodollar (Euro) futures and cash markets. Assume that it is now December...- sm@23
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- Replies: 0
- Forum: P1.T3. Financial Markets & Products
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Theta of ITM Put option
Hi @David Harper CFA FRM I found in your earlier post that intuition for theta to be +ve for ITM Put option as below: "if you hold a deep ITM put, with asset price near zero, more "waiting time" to the Euro expiration is not a good thing, asset price can't go below zero. Volatility has...- sm@23
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- itm-put-option theta
- Replies: 4
- Forum: P1.T4. Valuation & Risk Models