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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 ...
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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 ...
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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 ...
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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 ...
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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 ...