Questions tagged [finance]

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0answers
33 views

What to choose after MBA finance major? [closed]

Particularly my younger sister is bit confused about what she can expertise in after doing MBA finance major. She has her final year this year, post which she wants some short term courses or ...
2
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0answers
51 views

Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section dedicated to ...
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1answer
63 views

UK GDP: What does B-E mean?

This time series from the Office for National Statistics is entitled B-E: PRODUCTION: CVM: annual & monthly gr CVM means chained volume measure, I've got that. It's B-E I can't figure out. I'...
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2answers
41 views

What does BOP: CP: SA mean?

If I look at this time series from the Office for National Statistics, the title reads Total Trade (TT): WW: Imports: BOP: CP: SA I can't find any kind of explanation for these acronyms. I think I ...
0
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1answer
65 views

Forward Contract Price on Zero Coupon Bond

I'm trying to calculate the forward contract on a zero coupon bond where the forward contract matures at t=4. The zero coupon bond matures at t=10 and has a face value of 100. The price of that bond ...
0
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1answer
53 views

How to calculate Money-weighted Rate of Return when there are multiple negative cash flows during investment period?

I know that when there are multiple changes of sign in the sequence of cash flows of a project, the project may have multiple IRR, which render this criterion impractical. Therefore, in such ...
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0answers
34 views

Information asymmetry models

I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?
1
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1answer
95 views

To use daily volatility or annual volatility

From Joshi's Quant Interviews books: The statistics department from our tell you that the stock price has followed a mean reversion process for the last 10 years, with annual volatility 10% and ...
1
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1answer
48 views

Understanding Fama Macbeth Regressions of Returns

I'm trying to understand what the Fama-Macbeth regressions of returns actually mean. The source of confusion is a 2013 Novy-Marx paper, in which he states the following: "The first specification of ...
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0answers
15 views

Future wealth calculation with investment

Task: The student is 25 years old now. He say, that next year his salary will be 15000€ per year. His salary will grow +5% each year until his pension (when he will be 65 years old). Calculate how ...
0
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2answers
65 views

Interest rate calculation [closed]

The task: With what interest rate given 2000 Euros after 2 years and 3000 Euros after 4 years, the actual value will be equal 4000 Euros. This task sounds confusing for me, I tried to calculate, but ...
1
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0answers
45 views

Error in optimize.portfolio with transaction costs constraint

I am experimenting with the PortfolioAnalytics package to optimize portfolio with dollar neutral and transaction costs as constraints to the quadratic utility objective function. A sample R snippet is ...
1
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1answer
50 views

Accounting profitability [closed]

Can anyone please help me how to solve this problem? Grocery Freshly want to open a new store. They expect an initial cost of 30,000 to buy the property in which the store will be. After ...
1
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1answer
68 views

Adjusting your delta hedge when the stock crashes and were originally delta hedged

You are long a call option on a stock and you are delta hedged. The stock crashes in price. How do you adjust your delta, do you buy or sell stock? Could answers please be quantitative (i am getting ...
0
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1answer
53 views

return volatility calculation with respect to different time period

in the BS model, if an option has 3 year expiration periods, and if the time of maturity of that option is calculated( periods between the grant period 2011-9-15 and exercise periods 2014-9-15 ), and ...
2
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0answers
36 views

Where could I get European non-dividend option data

I am pretty new to option pricing. I got a task asking me to price a stock option, which should be an European non-dividend option, and compare my price to its quote. I used to use TSLA data ...
0
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1answer
52 views

Valuing interest tax shield with constant rate of loan redemption

A $D=\$30mm$ loan at $r_D = 6.5\%$ and a tax rate of $\tau_c=40\%$ yields an annual tax shield of $$TS=D*r_D*\tau_c=\$0.78mm$$ If $\rho=5\%$ of the loan remainder in the current year is to be payed ...
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0answers
41 views

Does “Interest Costs during Construction” impact NAV or IRR of a project?

Does “Interest Costs during Construction” impact NPV or IRR of a project? Companies often, based on accounting principles, capitalize Interest Costs during construction (i.e. they added fixed asset by ...
2
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2answers
78 views

Question regarding No Arbitrage price of a call option

I have a question regarding how to solve the NA price for a slightly modified call option. Say that I have a money account $B(T)=e^{r(T-t)}$ and a stock dynamic $\frac{dS(t)}{S(t)}=(r-\delta)dt+\...
0
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2answers
64 views

calibration - negative call price [closed]

Im trying to calibrate a stochastic volatility model to market. I end with an MSE of 2-3 with approximately 500 quotes. Some out of the money options with call-price under 1 dollar ends up being ...
0
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1answer
40 views

What is the difference between exercise and expiry date?

I know in American options you can exercise the options at any time before expiry date but in European options you can only exercise the options on expiry day. On National Stock Exchange of India the ...
4
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0answers
183 views

Which finance models have enjoyed particular success in recent years?

I am looking for a list of recent developments of models in mathematical finance. By recent, I mean this last decade. Which models have been developed and introduced during this period, being met ...
2
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2answers
150 views

how to calculate implied volatility

I have some options prices I found using the Heston Model. How do I calculate the implied volatility? In Matlab there exist a blsimpv function, but is this the right tool for me since I'm working with ...
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0answers
22 views

How can I use both Stochastic and RSI in technical analysis?

Stochastic and RSI both are momentum indicator but they both show momentum in different way. It leading me to confusion how to use them in trading.
1
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1answer
52 views

What is the difference between volatility and dispersion in finance?

I am confuse whether the volatility and dispersion is same or not because are use to measure the risk associated with asset. Even if they are different than what is the relationship between, if exist.
1
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0answers
43 views

Question about CAPM Betas - Causes of Beta Movement Query

CAPM betas are measures of systematic risks, which include things like the exchange rate, inflation, interest rates, etc. What I'm confused about is described below: E.g. suppose I'm looking at one ...
1
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2answers
129 views

Undergrad Thesis about the VIX

For week's I've been searching for an interesting undergrad Thesis in finance. I have some things in mind, but I don't want to leave outany opportunity for inspiration, so: Is there an interesting ...
0
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0answers
40 views

I need to get data about tulip price between 1936-1937

I need to daily data for Tulip Price between 1936-1937. How can I find? Please help.
1
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1answer
86 views

Justify a backward differential equation

Regards of 4.5.1, how we get 4.5.5?
0
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1answer
52 views

step by step calculation of the sharpe ratio

I am trying to calculate the Sharpe ratio. Suppose I have: $$ x_t = \alpha + \beta y_{t} + \epsilon_{t}$$ $$E[x_{t}] = \alpha + \beta E[y_{t}]$$ $$var[x_{t}] = \beta^2var[y_t] + \sigma^2$$ The ...
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0answers
44 views

How to build an optimal long-short portfolio?

Assume I have α and β, How to build an optimal long-short portfolio? Can you please give me an example After building that portfolio, what's the expected return?
0
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1answer
35 views

Security Analysis By Benjamin Graham Example Doubt [closed]

So I was reading (trying to read) Security Analysis by Graham and I came across this example ("Example 1" in the image attached below) Being the noob at finance and quant that I am, I was unable to ...
1
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1answer
56 views

How do weights of a Mean-Variance optimized portfolio change as the Covariance matrix of the risky assets change?

I am learning a bit more about CAPM, and wanted to know if there was a specific way that weightings of assets in the optimal mean-variance portfolio changed (for constant risk aversion, expected ...
0
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1answer
64 views

IRR for multiple series of cash flows

I have a question on how to calculate a single IRR for a group of projects that have different start dates, but have been sold on the same date. This causes the aggregate cash flows to go from ...
0
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0answers
20 views

How do you find a company average quality of income ratio?

Do you divide the weight average number of shares outstanding basic and diluted/by the net income? Or just add the current year and prior year quality of income ratio divide by two?
1
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2answers
91 views

Instantaneous change in value of portfolio

I am trying to figure out an intuitive explanation for the instantaneous change for the value of a portfolio (essentially I'm creating a self-financing portfolio to replicate a derivative payoff). ...
1
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1answer
80 views

Some interpretation on some plots / statistics

I have been playing with a model just for learning purposes (I don't expect to make any money from the model) but I wanted to get some opinions on what you think are "good" values and some opinions on ...
1
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1answer
54 views

0.0006 r-squared after trying to test whether the intercepts differ significantly. Did I do it wrong?

I am trying to test if the intercepts of two linear regression (CAPM) differ significantly or not. I have 2 fund's monthly return in the same period and regress them on the same market variable (MKT = ...
2
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1answer
117 views

Problem of stochastic differential equation (SDE)

Please help to answer this stochastic differential equation (SDE). Thank you very much.
1
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2answers
148 views

Interesting Undergrad Thesis [closed]

I'm searching for an undergrad thesis in finance. I already have some ideas, but still wanted to ask: Is there a an interesting topic that jumps to your mind, when you think about implied volatility (...
1
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3answers
263 views

How to calculate standard deviation of continuously compounded four-year stock returns?

Currently I am preparing for quant interview and I encounter the following question in Heard on the street. Question: If the standard deviation of continuously compounded annual stock returns is $...
3
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1answer
107 views

Interpretation of Fama French portfolio

I have two portfolios, one "bad" and the other "good". I construct the portfolios by taking the average monthly returns based on some criteria each year. In any given portfolio there could be between ...
2
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1answer
91 views

Are the Ito's Lemma given in Mark Joshi's Concept and Practice in Mathematical Finance same as what I learn?

In Joshi's Concepts and Practice in Mathematical Finance, page $110,$ he stated the Ito's Lemma: Theorem $5.1$ (Ito's Lemma) Let $X_t$ be an Ito process satisfying $$dX_t = \mu(X_t,t)dt + \sigma(...
1
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1answer
82 views

Why Joshi defined option value to be discounted payoff using risk neutral expectation?

Currently I am reading Mark Joshi's The Concepts and Practice of Mathematical Finance. At page $59,$ the author mentioned the following. Instead of requiring that every portfolio should have ...
1
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1answer
175 views

Calculate the price at time t=0

Assume the risk-free bond Bt and the stock St follow the dynamics of the Black & Scholes model (with interest rate r, stock drift $\mu$ and volatility $\sigma$). Calculate the price at time $t = ...
4
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3answers
306 views

Compute the price of a derivative

Consider the payoff function \begin{align*} f(x)=\begin{cases} 3 & \text{if }x\leq 30, \\ 33-x & \text{if }30<x<35, \\ -2 & \text{if } x\geq35. \end{cases} \end{align*} How would I ...
0
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1answer
89 views

Is the european put option an increasing function?

My question is to show that the function $K \rightarrow p(T,K)$ is increasing. T being maturity time,K being any strike and $p(T,K)$ is a european put option. My only approach to this question has ...
0
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1answer
92 views

Finding todays price of a derivative

Today's market prices for European call options $c(T;K)$ and put options $p(T;K)$ with maturity T and any strike K. Let $B_t = e^{rt}$ be the price of the risk-free bond and St the price of the stock. ...
0
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1answer
40 views

How to deal with intermittent NA values in a price series when calculating returns

Let's say a have a price series for a share for the year 2000. On the 27th of July 2000, there is a missing value represented by NA. This was not a holiday or any other non trading day as other shares ...
6
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1answer
78 views

Show that $\frac{\partial c(t))}{\partial \sigma^2 }>0 \text{ if and only if } S(t)<Xe^{-r(r+\frac{1}{2} \sigma^2 )(T-t)}.$

Statement: if $c(t)$ is the price of the digital cash-or-nothing call option, then direct calculation (under Black-Scholes assumptions) shows that $$\frac{\partial c(t))}{\partial \sigma^2 }>0 ...

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