# Questions tagged [math]

The tag has no usage guidance.

28 questions
Filter by
Sorted by
Tagged with
133 views

Typical trading interviews consider gambling problems such as rolling a dice and winning its face value. The expected winnings are $\\\$3.5$,$\\\$4.25$, $\\\$\frac{14}{3}$for one throw, two throws, ... 1answer 65 views ### Bachelier call option derivative w.r.t strike I tried to take the partial derivative of the Bachelier call function w.r.t. strike price K (eqn 2.2 here), but my result is not lining up with what is shown on page 43 here. 1answer 51 views ### Calculating coupon yield and continous compounding I need to calculate the yield of a 2 year Coupon Bond. Price = 98, Coupon = 3.5, N = 100. Now when I try to solve this, I arrive at the equation: $$98 = 3,5*e^{-y}+103,5*e^{-2*y}$$ But I can't ... 1answer 865 views ### Pre-requisite math books, to the pre-requisite math needed to become a front desk quant This question is about the pre-requisites to the pre-requisite math needed to become a front desk quant. I have done research online and I found that there are a lot of recommended books as a pre-... 1answer 64 views ### Determine the error term of SKEW-calculation I am trying to recreate the CBOE's SKEW Index in Python. I need to calculate the errors terms that are adjustment terms for the differences between the atm strike ... 1answer 366 views ### Generate Monte Carlo simulation of multivariate lognormal or weibull distributions in R I intend to perform a Monte Carlo simulation of asset returns in R. I am currently using the rmvnorm function in the mvtnorm R ... 2answers 221 views ### How much shall we bet on head/tail with$1m bankroll?

I was asked this question in a trading interview: how much would you bet in a game where you win 300 on tail and loses your 100 on heads? how much will you bet if you can play game once or multiple ...
175 views

### How to compute prediction interval if using simple moving average t o predict?

If I want to use simple moving average to make a prediction. For example given h=1 and m=13. $\hat{x}_{t+1}=\frac{\sum_{j=1}^{13}x_{t-j+1}}{13}$. What is the prediction interval going to be? How to ...
37 views

### Residual Income Valuation with Term Structure

I'm implementing a residual income model (RIM) to value stocks as described by Ohlson. https://pdfs.semanticscholar.org/c0a5/4ef41311951fe406d15cd7d7ce19502cdc7c.pdf The key to this model is ...
58 views

### partial derivatives of multivariable function

Looking to verify whether the following formulation is correct. Suppose we have the following function, relationships: $$y=f(x)$$ $$x=g(a,b)$$ $$y=f[g(a,b)]$$ Is the below correct (including ...
99 views

180 views

380 views

309 views

### How to solve $dX_t = X_t(\sigma_t dW_t + \mu_t dt)$?

Solve the SDE $$dX_t = X_t(\sigma_t dW_t + \mu_t dt)$$ where $\sigma_t$,$\mu_t$ are deterministic. Attempted solution We have $$dX_t = X_t(\sigma_t dW_t + \mu_t dt)$$ Let $f(x) = \log X$, applying ...
We can calculate the expected stock return (under the measure $Q$) from at-the-money ($K=S_t$) option prices as: $$E\left(\frac{S_T-S_t}{S_t}\right)=\frac{e^{rT}}{S_t}(C_t-P_t)$$ The result is ...