# Tag Info

5

I could be wrong, but this question seems to be about taking one set of cash flows and representing it using a set of derivatives. There are an almost unlimited number of applications for this kind of approach. There is an entire field of study dedicated to it: financial engineering. A good textbook on the subject is "Principles of Financial ...

3

In my estimation, you are best-served by creating these sheets from scratch. There are a number of reasons for this: You will thoroughly understand the underlying machinations of each calculation You can customize to your specific needs, and so on... If you are looking for some decent introductory texts, I have benefited from Moyer Excel Templates. More ...

2

I would create separate estimates for volume and choice of debt instrument. There are tools to estimate these simultaneously but I do not see a compelling advantage here. I assume the volume is conditional on the choice of debt issuance so you might start by predicting choice of debt issuance and use this as an input to the volume model. The volume model ...

2

I don't know what $\mu$ stands for in the model so let me just recall the standard Black-Scholes formalism. It's likely that everything can be extended with minor modifications to the model you're interested in. The price of the vanilla call option with a strike $K$ is equal to the expectation of the discounted pay-off $$C_K=\mathbb E(e^{-rT}(S_T-K)_+),$$ ...

2

@amber - As a general hint: try to solve a small-scale case first. Pick a two- or better three-asset $(\mu,\Sigma)$ and construct the objectives. Construct the "skewness tensor" (it's not a matrix, you can think of it like a "cube" or something - consult this book on how you can actually represent it as a matrix, or Fabozzi et al's textbook for an ...

1

I'm not aware of any exercises. You do not mention whether you tried Google. A good set of spreadsheets is on the Home Page for Aswath Damodaran. You could convert it into "exercises" by first working through them yourself and then comparing to Damodaran's solution (or whether it gives the same results).

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It seems that you speak about a "quote tax". In Europe some markets now ask for fees for orders even if they are not executed if you exceed an order to trade ratio to prevent them from cpu-harrassing flows. Let s wait and see what will append. The effect should be similar to the One of a tax. The real question is: how can you make the difference between an ...

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