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Bonds futures: Delta? No gamma!

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Author Info
Henrard, Marc

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Abstract

Bond futures are liquid but complex instruments. Here they are analysed in a one-factor Gaussian HJM model. The in-the-model delta and out-of-the-model delta and gamma are studied. An explicit formula is provided for in-the-model delta. The out-of-the-model 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.

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File URL: http://mpra.ub.uni-muenchen.de/2249/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 2249.

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Date of creation: 12 Apr 2006
Date of revision: 01 May 2006
Handle: RePEc:pra:mprapa:2249

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Related research
Keywords: Bond future delivery option delta gamma HJM gaussian model in-the-model out-of-the-model.

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Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)
  2. Henrard, Marc, 2006. "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper 2001, University Library of Munich, Germany. [Downloadable!]
  3. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA. [Downloadable!]
  4. Marc Henrard, 2006. "A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 1-18, March. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Henrard, Marc, 2006. "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper 2001, University Library of Munich, Germany. [Downloadable!]
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