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-1
votes
1answer
43 views

Monthly Return Net of Fees [closed]

How can I calculate the monthly return net of fees if the fee is annual?For example, if every year there is a 20% incentive fee, is there a formula to adjust the return of each month to compensate for ...
2
votes
2answers
71 views

What interest rate should I use for testing the covered interest parity?

I am doing an empirical test of the CIP from the recent financial crisis between Canada and the United States. I am using 1,2,3,6,12 month forwards (monthly data). What interest rates should I use? I ...
1
vote
2answers
31 views

Compound Interest Calculation (Years + Months)

My question is with regards to the calculation of "Compound Interest". I have the formula below where I would get an answer to the total value of the investment over a period of "years". $A$ = ...
0
votes
2answers
211 views

Corporate finance exercise book

I'm preparing a corporate finance exam and I need a book with illustrated exercises that make you really understand the subject, since the written exam is not much mechanical, but more similar to ...
0
votes
1answer
35 views

European option and American option are equivalent in this case?

This is Question No.11 from 2007 May MFE Exam. For a two-period binomial model for stock prices, you are given: (1) Each period is 6 months. (2) The current price for a nondividend ...
2
votes
0answers
39 views

What are your list of concept or model in standard textbooks that are always reliable to used in working?

What are your list of concept or model in standard textbooks that are always reliable to used in working? As opposed back to this: What concepts are the most dangerous ones in quantitative finance ...
1
vote
2answers
106 views

Why does the short rate in the Hull White model follow a normal distribution?

Consider Hull White model $dr(t)=[\theta(t)-\alpha(t)r(t)]dt+\sigma(t)dW(t)$ when we solve the SDE above we have $r(t)=e^{-\alpha t}r(0)+\frac{\theta}{\alpha}(1-e^{-\alpha t})+\sigma e^{-\alpha ...
1
vote
0answers
468 views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
3
votes
2answers
136 views

Stochastic Differentials - Ito's formula for a self-financing portfolio

Suppose I have a portfolio of stocks $(S)$ and savings account ($\beta_t$) then, the value is $$V = a_t S_t + b_t \beta_t$$ and for this portfolio to be self replicating, we need by Ito's lemma $$dV ...
1
vote
0answers
30 views

Annuities problem

First problem is like this: loan amount: 20,000,000.00 First six months: There is no payment but there are interest (grace period) Next six months: payment of 600,000.00 Since 13 month: payment of ...
9
votes
1answer
365 views

Models crumbling down due to negative (nominal) interest rates

Given that the negative interest rates on a lot of sovereign bonds with maturity under 10 years are trading in the negative (nominal) interest rate territory (recently also the short term EURIBOR has ...
1
vote
0answers
67 views

Confused on interpretation of betas/alphas in regression in finance

I ran a regression on two stocks. I don't have the data in front of me, but it is a more conceptual question. Let's say SP500 returned a total 23% return over this time period and MSFT returned ...
-2
votes
1answer
64 views

Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
0
votes
1answer
40 views

Compute the (Net) Present Value

Let's have a project where we invest 1000 at the beginning of year 1 and 1000 at the beginning of year 2. At the end of year 2 the income is 2200 and the project is closed. Person A discounted with ...
4
votes
5answers
395 views

CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
0
votes
1answer
52 views

Raising money in IPOs

When a company goes into an IPO wouldn't they try to make as much money as they can? Then how come the Greenshoe option says that some would try to not issue additional shares just so their share ...
0
votes
0answers
87 views

Seeking Advice for Exam FM regarding Derivatives Markets

I am taking Exam FM in a week and I was wondering if I could get any advice from people who have recently passed this exam. How much of the derivatives markets question did show up? I am using the ...
1
vote
0answers
146 views

CFA (Level 1) schedule after school and working a 9-5 job [closed]

I am graduating with a BS in math and obviously love math but everything changed when a buddy of mine invited me to an investment society in our school and I love every single experience. The part I ...
4
votes
2answers
4k views

Market Data Sources Bloomberg Vs Reuter

In my project, we have two version of systems. One version is for derivative trades and other version is for bond trades.For derivatives we get the market data from Reuters and for Bonds we are ...
1
vote
2answers
329 views

What are the properties of Max and Min functions?

I am having trouble understanding the transition from the third line to the fourth line. I see how it works through cases, but is there a general property that allows this?
3
votes
1answer
73 views

What is the difference between a book value and a market value?

0 down vote favorite I would like to understand the following problem. A 2yr zero-coupon bond has an annual yield rate of 11% per year. A 4yr zero-coupon bond has an annual yield rate of 19% ...
1
vote
1answer
159 views

Cash flow diagram, interest rate inflow series

I have a econ midterm coming up soon and stumbled upon this question. My approach is: 2C=800/(1.12^2)+1200/(1.12^6)=125.71 or C=1245.71/2=622.85 But I have a gut feeling this is wrong. I believe the ...
1
vote
1answer
33 views

Question regarding sinking fund

I am currently studying about financial mathematics for my Exam FM to become an actuary. There is one thing that really bothers me so I would like to have some answers. Whenever I solve a problem ...
1
vote
0answers
49 views

How to calculate the growth rate of a growing annuity? [closed]

I have a question that seems basic but has given me fits. If I have the following known variables, how do I solve for the growth rate? Known variables: initial payment outstanding balance number of ...
3
votes
1answer
130 views

Volatility updating rule using r

I'm trying to program a volatility updating rule using iteration. I start with the well know Heston-Nandi model where the returns dynamics are : with is iid standard normal randome variable, where ...
1
vote
1answer
109 views

Question about the stochastic differential equation in the Merton model

in the following stochastic differential equation merton model we have $$\frac{ds}{s}=(\alpha-\lambda k)dt+\sigma dW+dq$$ where $\alpha$ is the instantaneous expected return on the stock; ...
2
votes
1answer
69 views

$\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$

How can I show that payment of $\frac{1}{p(T_{i-1},T_i)}(A-p(T_{i-1},T_i))^+$ at time $T_i$ is equivalent to a payment of $(A-p(T_{i-1},T_i))^+$ at time $T_{i-1}$ ? Where A is a deterministic ...
1
vote
1answer
85 views

How to use WACC for investment?

How to use a value of WACC? I have calculated WACC of company to be 7%. What if company had smaller or bigger WACC? Which one would attract investment?
2
votes
1answer
72 views

PEGY Ratio: Does it make sense?

PEGY ratio is calculated as PE ratio/(Earnings Growth Rate + Dividend Yield). Putting aside the discussion of whether forward or trailing P/E ratio should be used, isn't adding dividend yield over ...
1
vote
0answers
27 views

What is the future value of a growing annuity with different periods for payment growth and monthly payments?

How can I modify the formula in this answer so that the frequency of payment growth is also a variable? For example, instead of payments growing by 2% each year I would like them to grow 2% every two ...
-1
votes
1answer
89 views

What's state price vector?

What is state price vector?. Please explain me in detail is difficult to understand for me.
0
votes
1answer
75 views

Is it possible for two securities to have the same first 8 characters of a cusip, but differ in the check sum?

CUSIP is a 9 character long identifier. The last digit is a check sum checking the first 8 previous characters. This seems to me that it is not possible for two securities to have the same 8 ...
1
vote
1answer
47 views

finance - using CAPM [closed]

The risk-free rate is 4%, and the expected return on the market portfolio is 12%. Using the Capital Asset Pricing Model: a. What is the risk premium on the market? b. what is the required return on ...
0
votes
0answers
36 views

How to prove following order?

Consider a consol bond, i.e. a bond which will forever pay one unit of cash at $t = 1, 2, . . ..$ Suppose that the market yield $ y$ is constant for all maturities. (a) Compute the price, at $t = 0$, ...
4
votes
2answers
173 views

How do I price $P(t)=P(t,T_{n})+\sum_{i=1}^{n}[P(t,T_{i-1})-P(t,T_{i})]$?

Derive the pricing formula $$P(t)=P(t,T_{n})+\sum_{i=1}^{n}[P(t,T_{i-1})-P(t,T_{i})]$$directly, by constructing a self-financing portfolio which replicates the cash flow of the floating rate bond. ...
1
vote
3answers
119 views

I want to prove Determine the coupon rate $r$, such that the price of the bond, at $T_0$, equals its face value

Consider a coupon bond, starting at $T_{0}$ , with face value $K$, coupon payments at $T_1, . . . , T_n$ and a fixed coupon rate $r$. Determine the coupon rate $r$, such that the price of the bond, at ...
-1
votes
1answer
66 views

How to learn finance? [closed]

I have a background in programming of about 6 years. Now I decided to learn finance and trading as well. How can I get my foot in the door in that area?
0
votes
1answer
42 views

Normal vol - convention

apologies for the simplicity of the question, but I was wondering: what is the quoting convention for normal (bps) volatility? Say I have the following time series of data: Date Close Abs Change ...
4
votes
2answers
254 views

Predict Futures Prices based on weather + agricultural data

I’m working in the area of Data Mining and have come up with the following idea for my Masters project.The text may not be the best structured but it’s a working draft to give you a quick idea. ...
1
vote
0answers
56 views

how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
1
vote
0answers
47 views

Intensity Function of Stochastic Processes

I'm fitting some financial data to a model based on a stochastic process and evaluating the fit of it by looking at the compensator. However, I cannot understand well what does it mean to take the ...
3
votes
2answers
357 views

Resources for finding quantitative finance examples using excel, VBA and access

I am seeking to increase my knowledge in the quantitative finance field. I would be grateful if someone could point me to useful resource online, where I can find working examples of they types of ...
1
vote
1answer
105 views

CVA number used by Finance Team

What are different reasons, Finance Team will need CVA number for? Is there any specific regulatory reporting to be done?
1
vote
1answer
130 views

Company rank within an industry

I'm looking at the list of companies in the S&P 500 Pure Value Index. For each firm, I want to obtain the dividend yield industry percentile rank and the PEG ratio industry percentile rank. I've ...
0
votes
2answers
77 views

Infinite autocorrelation - Unit root?

I have a time series of gold prices, on which I want to build an ARIMA model. The series is autocorrelated and if I can difference as often as I want, it always is. First: data: d1gold Dickey-Fuller ...
0
votes
0answers
140 views

Option payoffs and replicating payoffs

I've come across the below question which has no answers to it and I was hoping someone could provide some help. I know it quite a long question and I appreciate any help with this. An investment ...
1
vote
1answer
50 views

Which more topic should be covered in my undergraduate program? [closed]

Below is the topics covered in my undergraduate economics program. I want to know which course should I take to get a full overview of topics in finance today. Econometrics Micro, Macro Economics ...
1
vote
2answers
131 views

Basis Risk for Futures/Options

I am just reading about basis risk. It is being described as risk of the price of the hedging instrument not fluctuating the same as the instrument itself. I was just wondering, if we bought a ...
0
votes
1answer
729 views

Directional/Non-Directional Risk

Can someone explain to me what is direction/non-directional risk? Went through few sites but couldn't understand much.
4
votes
3answers
277 views

Difference betweem martingale property and adapted filteration

What is the difference between a random process that is adapted to a filteration and one that had the martingale property. It seems the two notions are quite similar and would be helpful to construct ...