# Tagged Questions

Homework questions for students studying Quantitative Finance or a similar subject.

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### Arbitrage and completeness in multiperiod model?

Given a 2-period market with above stock price process along with a riskfree stock with a return of 5%, how do I determine whether the market is arbitrage-free and complete when I only have knowledge ...
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### construct portfolio offering risk free profit

Have trouble understanding this question, seems quite open ended. Assume that $S(0)$ is the current rate of exchange for foreign currency. Assume that and $K_n$ and $K_f$ are rates of return on home ...
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### Mean- variance portfolio problem

So the question asks: Consider three uncorrelated stocks in the market. Each stock has variance 1. The expected returns are given by $2, 3$ and $5$ respectively. Find the optimal mean-variance ...
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### Coupon bond pricing problem with reinvestment

The three year bond has face value USD 100, and pays USD 5 coupons annually, the last one at maturity. Assume that the continuously compounding rate is 7%. (a) Find the price of this bond. (b) ...
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### School project about Black Scholes with stochastic volatility

In a university project I am looking at Black Scholes model with a stochastic volatility. I’m still not quite sure about my focus (I am in the beginning 'Idea phase'). I want to explain the theory ...
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### 12-month rate calculation for Problem 4.23 in Hull's Options, Futures, and Other Derivatives

From Hull's Options, Futures, and Other Derivatives, 8th ed., problem 4.23: Excerpt from Problem 4.23 The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0 ... ...
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### Need help understanding basics of cash flow engineering

I'm studying Financial Engineering, a subject I'm completely new to. I'm using Principles of Financial Engineering 3rd Edition and trying to solve the exercises ...
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### Asset Liability Management Test Topic Interpretation

I will write a test based on Excel and one of the topics is "The Asset Liability related analysis: including the input assumptions generation, constraints, portfolio optimization analysis and results ...
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### What is the arbitrage opportunity in Arrow-Debreu One Period market Model

The one period market model is made of 4 securities(A, B, C, D) and has 4 future states. Assume the market model is complete. and the state prices are (-2, 2, 4, 8). Given that I dont know the payoff ...
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### Floor and Cap problem

So I have a problem from Marcel Finan's "A Basic Course in the Theory of Interest and Derivative Markets." We are going over floors and caps, covered puts and covered calls. Consider the following ...