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visits member for 2 years, 8 months
seen Aug 3 '13 at 20:24

Mar
26
awarded  Popular Question
Jul
18
asked fetch from yahoo! finance database - varying number of ticks
Jul
9
awarded  Yearling
Jul
9
asked Determining the portfolio return distribution to calculate CVaR/ES
Jun
25
revised Magnitude of Transaction Cost for Institutional Investors
added 57 characters in body
Jun
24
revised Magnitude of Transaction Cost for Institutional Investors
edited title
Jun
24
accepted Are minimum-risk and minimum-variance portfolios equivalent?
Jun
24
asked Magnitude of Transaction Cost for Institutional Investors
Jun
12
asked Are minimum-risk and minimum-variance portfolios equivalent?
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”
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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