ptoolis https://blog.hatena.ne.jp/ptoolis/ ptoolisの日記 https://ptoolis.hatenadiary.org/ 最近債券と利子の派生証券の値段に影響する凸状とタイミング調整にかんして学んでいます。 The convexity adjustment can be derived from either the Taylor Series about the forward rate(Hull, Bond price in terms of yt about y0, then taking expectation about both sides) or by expressing y as a Geometric Brownian Motion and using Ito's Lemma to deriv… 190 <iframe src="https://hatenablog-parts.com/embed?url=https%3A%2F%2Fptoolis.hatenadiary.org%2Fentry%2F20150720%2F1437360115" title="凸状調整とタイミング調整の由来 - ptoolisの日記" class="embed-card embed-blogcard" scrolling="no" frameborder="0" style="display: block; width: 100%; height: 190px; max-width: 500px; margin: 10px 0px;"></iframe> Hatena Blog https://hatena.blog 2015-07-20 11:41:55 rich https://ptoolis.hatenadiary.org/entry/20150720/1437360115 1.0 100%