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20讲动态套期保值Lecture 20 - Dynamic Hedging |
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| 课程网址: | http://videolectures.net/yalemecon251f09_geanakoplos_lec20/ |
| 主讲教师: | John Geanakoplos |
| 开课单位: | 耶鲁大学 |
| 开课时间: | 2012-03-17 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | Suppose you have a perfect model of contingent mortgage prepayments, like the one built in the previous lecture. You are willing to bet on your prepayment forecasts, but not on which way interest rates will move. Hedging lets you mitigate the extra risk, so that you only have to rely on being right about what you know. The trouble with hedging is that there are so many things that can happen over the 30-year life of a mortgage. Even if interest rates can do only two things each year, in 30 years there are over a billion interest rate scenarios. It would seem impossible to hedge against so many contingencies. The principle of dynamic hedging shows that it is enough to hedge yourself against the two things that can happen next year (which is far less onerous), provided that each following year you adjust the hedge to protect against what might occur one year after that. To illustrate the issue we reconsider the World Series problem from a previous lecture. Suppose you know the Yankees have a 60% chance of beating the Dodgers in each game and that you can bet any amount at 60:40 odds on individual games with other bookies. A naive fan is willing to bet on the Dodgers winning the whole Series at even odds. You have a 71% chance of winning a bet against the fan, but bad luck can cause you to lose anyway. What bets on individual games should you make with the bookies to lock in your expected profit from betting against the fan on the whole Series? |
| 关 键 词: | 抵押贷款提前偿付; 套期保值; 预期利润 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2020-09-26：yumf |
| 阅读次数: | 125 |