Questions tagged [convexity]
The convexity tag has no usage guidance.
111 questions
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When would dedicated portfolios do better than 'immunized' portfolios?
We just learned about cash-matching through dedicated portfolios (using risk free bonds) in my class that concerned mathematical programming. However, in an aside one of the notes said:
It should be ...
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1
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Quick way to extrapolate call price as function of strike
Let's say I know the price of a call for two different values of strike. Is there a quick way to guess the price for another value of strike ?
Actually, I know that C(100)=15 and C(90)=20 and I have ...
- 427
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Pricing inflation lags
I've been looking into a short piece of maths I found on pricing inflation with payment delays, and was hoping someone could confirm whether my understanding was correct or if the maths isn't quite ...
- 11
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Inflation/Rates Correlation
I've been looking into a short piece of maths a colleague has written on pricing inflation with payment delays, and was hoping someone could confirm whether my understanding is correct, or if my ...
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How does this follow from the separating hyperplane theorem?
This is from Pliskas book in mathematical finance. I do not know what was best to write the question so I included the pages from the book. He has not written what form of the separating hyperplane ...
- 253
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1
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Girsanov theorem in CMS convexity derivation
I am going through the derivation of CMS convexity from the notes of
Lesniewski
There is a transformation from $T_p$ forward measure to annuity measure $Q$ as
$$
P(0,T_p)E^{Q_{T_p}}\left[S(T_0,T)\...
- 539
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Convexity of Portfolio Containing Eurodollar Future and Forward Rate Agreement
Assume an individual is a buyer, i.e., long, of one Forward Rate Agreement and a seller, i.e., short, of one Eurodollar Futures contract. Does the collective portfolio have positive or negative ...
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3
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What's the underlying idea of definition of constrained market in Skiadas' Asset Pricing Theory?
I'm self-studying Skiadas' Asset Pricing Theory, and find the definition of constrained market on page 21 confusing(you can find it here in the sample chapter).
Definition 1.26. A constrained market ...
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Bond convexity Treasuries futures
I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property?
Below is a plot of continuous 10 ...
- 2,138
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Convexity adjustment for a forward swap rate
I recently heard that for a forward swap rate (for example, the fixed rate of a swap that will start in one year and end in five years), I need to do a convexity adjustment in order to get the right ...
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Do taking in account the CSA create convexity effects in your stripping?
When you strip your rate curves using CSA, what kind of convexity effects might appear as a result when computing the CSAed curve from one fixing to another ?
For example if you are valuing an USD ...
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