# Questions tagged [mathematics]

Used for question on application of mathematics in finance - from interest calculation to mathematical description of random processes.

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58 views

### Non-Finance applications of the Black Scholes Model [closed]

Are there any non-financial applications of the Black Scholes model? Thanks.
48 views

### Sharpe ratio and uniformly distributed random portfolio

I am currently working on this paper which derives the Sharpe ratio distribution of uniformly random porfolios: https://www.researchgate.net/publication/...
182 views

### Reflection principle of the Brownian motion

really appreciate some guidance on how to get the following equality:
52 views

### Bergomi's model normalisation

On his book https://www.amazon.fr/dp/B019FNKQS8/ref=dp_kinw_strp_1 Bergomi derives a multifactor mean reversible volatility of the volatility such that : \begin{equation*} d \xi_{t}^{T}=\omega(\tau) \...
36 views

### how can properties of transition matrix be applied in the transcation cost of option

I am currently reading the PP BOYLE's article ' Option Replication in Discrete Time with Transaction Costs' written in 1992. Here is one place i couldn't figure out: Where does that $\widehat{p}$ ...
447 views

### How do you derive this Carr-Madan-like equation?

How do you derive equation (3) below? The equation is tagged as equation (11) in this paper: http://janroman.dhis.org/finance/IR/Heston%E2%80%93Hull%E2%80%93White%20Model%20Part%20I.pdf There are ...
59 views

### How to handle negative income tax when calculating EBIT

I am using the formula (Net income + interest expense + tax expense) to get my calculation What happens if the Income tax expense is negative for that year do you still add that negative number or do ...
44 views

### How to calculate NOPAT if the effective tax rate is 0 or negative

I am trying to calculate NOPAT for L S STARRETT CO. The effive tax rate I calculated for 2020 was -0.09% Operating Income was -5.3 mill. Using the NOPAT formula Operating Profit * (1 - tax rate) I got ...
46 views

### One-Period Binomial Model

So, I'm required to consider the one-period Binomial market model for a particular question. We're told that the savings account is \$1 at time 0 and \$β at time 1. The stock price is given by S0 = 1 ...
91 views

### What is the relationship between Vanna and Gamma?

I'm trying to build a crude model for the effects of delta hedging on major indices like the S&P 500. My background is more in pure mathematics so a lot of this stuff is new to me. That said I ...
171 views

382 views

### Is there an intuitive explanation for why Kelly gambling ignores odds?

I have just learned about Kelly gambling from Chapter 6 of Cover & Thomas' Introduction to Information Theory. The mathematical setup is that we have a horse race, with horse $i$ winning with ...
40 views

### Estimator for Conditional value at risk (average value at risk)

I am following a book: Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi I'm learning about average value at risk. ...
407 views

### Do quants need to know bloomberg terminal and VBA? [closed]

I am a Pure Maths PhD student who will graduate in 2 years time. My aim is to land a quant job after gradauation. When collecting more information so that I can have some edges over others, I heard ...
141 views

### Proxy for a trigonometric angle function [closed]

You can't calculate an actual/real angle with the sine function with discrete market data. I need a substitute value for inputs that require an angle value. If you're only calculating the angle ...
48 views

### How is hypothesis testing work in population sampiling? [closed]

I am learning the basics of quant trading from quantconnect's tutorial Confidence Interval and Hypothesis Testing. I understood the first part of the article but I dont understand "Hypothesis Testing"...
I am really having a terrible time applying Girsanov's theorem to go from the real-world measure $P$ to the risk-neutral measure $Q$. I want to determine the payoff of a derivative based an asset ...