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123 views

What is the right group of durations?

It seems that the group of durations commonly used in quantitative analyse is $\mathbf{R}$ but it seems to me that $\mathbf{R_+^*}$ could also be an interesting choice. While I am not aware of ...
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0answers
111 views

Does it make sense to apply complicated mathematics to calculate with precision when the margin of error is +/-10%? [closed]

This is more of a philosophical question than general question. Quantitative finance applies highly complicated mathematics and has attracted very smart people to this field lately given the high pay ...
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0answers
89 views

How to show that the risk contribution function is or is not injective?

Assume a portoflio $w \in \mathbb{R}^n$, you can get the total risk contribution $\psi_i$ of asset $i$ by doing: $$\psi_i = w_i \frac{\partial \sigma(w)}{\partial w_i}= \frac{1}{\sigma(w)} \left[ ...
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1answer
509 views

Determine state price vectors?

I have 3 states with two assets, stocks and bonds. The bond has a payoff of 1 in every state of the world. And the stock has a current price of $S_0 = 100$ and ...
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1answer
57 views

How can we write swap as a chain of FRA's

For the rest of my question I use the notation from Brigo. The discounted payoff of a receiver interest rate swap (RFS) at $t<T_{\alpha}$, where $T_{\alpha}$ is the first resetting date, is given ...
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0answers
19 views

Forex: Currency strength [on hold]

Let's say the following scenario: EURUSD yesterday Close: 1.1150 GBPUSD yesterday Close: 1.5577 EURUSD today Close: 1.1100 GBPUSD today Close: 1.5600 Considering that (and some other USD-pairs), ...
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0answers
17 views

discounted price economic meaning

Could you please explain why we discount the prices using bank account or some numeraire, what is its economic meaning. Specifically The movement of the security prices relative to each other ...
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0answers
27 views

Real-World Cash Account Implementation and Return

Often in financial math, the concept of the risk-free cash account, with return R, is invoked as an instrument for calculating prices - when constructing an option-replicating portfolio, for example. ...
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24 views

How to rightfully balance the share of the organization between departments after variable changes?

This is an abstracted version of the problem I'm facing and I have to tell you first, my question might not be precise and or even correct, so I hope you understand and in that case can improve the ...
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2answers
196 views

What's the first time-integral of price called?

In general I'm wondering about the names of time-derivatives of price. E.g. in physics the first few time-derivatives of position are: f(x) = displacement f'(x) = velocity f''(x) = acceleration ...
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1answer
81 views

Math basics of Equally-weighted Risk contributions

i'm writing my BA Thesis about "Equally-weighted Risk contributions". Can anyone recommend math books for further understanding of Risk contributions?