Henrard, Marc (2006): Bonds futures: Delta? No gamma!

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Abstract
Bond futures are liquid but complex instruments. Here they are analysed in a onefactor Gaussian HJM model. The inthemodel delta and outofthemodel delta and gamma are studied. An explicit formula is provided for inthemodel delta. The outofthemodel delta and gamma are equivalent to partial derivatives with respect to discount factors. In particular cases the derivative can not be obtained by standard techniques. The same situations lead to cases where the gammas (second order partial derivatives) do not exists.
Item Type:  MPRA Paper 

Institution:  BIS 
Original Title:  Bonds futures: Delta? No gamma! 
Language:  English 
Keywords:  Bond future; delivery option; delta; gamma; HJM gaussian model; inthemodel; outofthemodel 
Subjects:  G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing; Futures Pricing E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E43  Interest Rates: Determination, Term Structure, and Effects 
Item ID:  2249 
Depositing User:  Marc Henrard 
Date Deposited:  14. Mar 2007 
Last Modified:  20. Feb 2013 18:33 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/2249 