The financial-engineering tag has no wiki summary.
4
votes
0answers
138 views
Rate Distortion Minimization in a Python Clustering Algorithm
I'm attempting to solve for $\hat{k}$ clusters, such that the rate distortion is minimized, as described here, however, the answers that I am getting from my algorithm are not following the "Jump" ...
3
votes
2answers
194 views
Where can I find exercises on building a project finance spreadsheet?
I'm looking for a set of exercises that teach how to build a project finance spreadsheet.
I accept there may be no typical project finance, but there are a lot of principles are shared in common ...
8
votes
1answer
560 views
Quantitative before/after or financial engineering studies of a bid or ask tax?
Has anyone in the quantitative finance or financial engineering community studied the effects of a bid or ask tax with actual or simulated data?
If so, what were the quantitative results or ...
9
votes
1answer
346 views
Fixed income modeling
I am currently working on my research paper and trying to explain a two-dimensional variable: volume and instrument of corporate debt financing.
Independent variables that I believe must be included ...
4
votes
1answer
409 views
Better understanding of the Datar Mathews Method - Real Option Pricing
in their paper "European Real Options: An intuitive algorithm for the Black and Scholes Formula" Datar and Mathews provide a proof in the appendix on page 50, which is not really clear to me. It's ...
9
votes
1answer
273 views
penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
Consider $U_1(\mu,\Sigma)$ and $U_2(\mu,\Sigma)$, where $U_1(\mu, \cdot) = U_2(\mu, \cdot)$, $U_1(\cdot, \Sigma) = U_2(\cdot, \Sigma)$ such that
\begin{equation*}
arg\inf\limits_{\mu \in U_1(\mu, ...
9
votes
1answer
156 views
Breaking Transactions Down into Derivatives
We were talking about merger arb in a class I had last night, and when we got do deal construction it was mentioned that the different ways can be viewed as different options. For instance a fixed ...
