Marie. P.

165 reputation

bio	website
	location
	age
visits	member for	1 year, 5 months
	seen	Jan 17 at 21:24
stats	profile views	46

	165 reputation	bio	website		visits	member for	1 year, 5 months
4 badges		location			seen	Jan 17 at 21:24

summary answers questions tags badges favorites bounties reputation activity

22 Actions

suggestions reviews revisions comments badges posts accepts all

Dec 20	revised	price of a “Cash-or-nothing binary call option” deleted 193 characters in body
Dec 20	revised	price of a “Cash-or-nothing binary call option” deleted 4 characters in body
Dec 20	comment	price of a “Cash-or-nothing binary call option” I found that $\mathbb{Q}_t(S_T\geq K)=N(d_2)$, where $\mathbb{Q}$ denotes risk-neutral probability, which should solve part e): The present value is the discounted future payoff, which is just $p$ if $p$ is the probability that $S_T\geq K$. Hence, the current value is $e^{-r(T-t)}\mathbb{Q}_t(S_T\geq K)=e^{-r(T-t)} N(d_2)$
Dec 20	accepted	What are current interest rates on senior/junior/mezzanine loans for e.g. real estate developers?
Dec 20	asked	price of a “Cash-or-nothing binary call option”
Nov 28	comment	What are current interest rates on senior/junior/mezzanine loans for e.g. real estate developers? inginvestment.com/idc/groups/public/documents/… Here, for example, I found a value of 4.5% for a senior loan (page5), but it does not say anything on the runtime, the conditions, etc.
Nov 28	asked	What are current interest rates on senior/junior/mezzanine loans for e.g. real estate developers?
Oct 3	accepted	constructing a minimum variance portfolio
Oct 3	awarded	Editor
Oct 3	revised	constructing a minimum variance portfolio added 19 characters in body
Oct 3	comment	constructing a minimum variance portfolio Okay thanks, but that is not part of the exercise! Let's assume there is no such future! -Marie
Oct 3	awarded	Scholar
Oct 3	accepted	Calculate the “ten year zero rate” given two bonds with two prices
Oct 3	asked	constructing a minimum variance portfolio
Sep 18	comment	Calculate the “ten year zero rate” given two bonds with two prices I forgot that we always know that $Z=100$. Thank you very much.
Sep 17	comment	Calculate the “ten year zero rate” given two bonds with two prices Okay, so that confirms my initial thought, but how exactly do you get $\approx 3.57\%$, because I only get a value of $\approx -0.311$ when I type this into Mathematica as follows: $\verb{NSolve[{0.04ZSum[Exp[-yk], {k, 1, 10}] == 10,70 == Exp[-y10]*Z},{y, Z}]}$ Does anyone see what I do wrong?
Sep 17	awarded	Supporter
Sep 16	comment	Calculate the “ten year zero rate” given two bonds with two prices I'm especially curious now because, when I try to solve this system, I only get $y\approx -0.311$, and I don't think that $y$ should have a negative value here...
Sep 16	asked	Calculate the “ten year zero rate” given two bonds with two prices
Dec 22	comment	What are the limits of bond portfolio immunization against interest rate changes? Hello, the article is called "Duration, Convexity, and Time Value" by christensen and Sorensen, taken from The Journal of Portfolio Management, page 58.