Marie. P.
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 Sep13 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. Dec20 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 $e^{-r(T-t)}\mathbb{Q}_t(S_T\geq K)=e^{-r(T-t)} N(d_2)$ Nov28 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. Oct3 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 Sep18 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. Sep17 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? Sep16 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... Dec22 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.