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visits member for 2 years, 10 months
seen Sep 22 at 6:47

Sep
13
comment Hedging future USD cost using different IR and forwards
The next question would be how to construct a synthetic forward hedge, i.e. making use of the addition data on available 6m-interest rates.
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 $e^{-r(T-t)}\mathbb{Q}_t(S_T\geq K)=e^{-r(T-t)} N(d_2)$
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.
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
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: $\verb{NSolve[{0.04*Z*Sum[Exp[-y*k], {k, 1, 10}] == 10,70 == Exp[-y*10]*Z},{y, Z}]}$ Does anyone see what I do wrong?
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...
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.