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Tagged with self-study finance-mathematics
4 questions
1
vote
0
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Expectation of the realized volatility
I was reading Zhang and Wang 2023 and I have some doubts regarding it. The realized Stochastic Volatility Model is expressed as follows:
$$\begin{matrix}
y_t = \exp \big( \frac{h_t}{2} \big) \...
- 129
2
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0
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130
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Optimal consumption process [Munk (2011)]
I'm trying to solve problem 4.4 in Munk (2011). The problem is as follows:
Assume the market is complete and $\xi = (\xi_{t})$ is the unique state-price deflator.
Present value of any consumption ...
- 61
0
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51
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Real domestic return
I would like to calculate the real domestic return of a foreign asset
What I know
Real price is $$P_{Real, t} = \frac{P_{Nominal, t}}{CPI_t}$$
where CPI is consumer price index.
And I know that the ...
- 109
2
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1
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132
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Is there a quick way to see why this claim $C(S, t)$ on $S$ does not satisfy the Black-Scholes PDE?
I'm self-studying for an actuarial exam on financial economics and encountered the below practice exam problem.
An exam problem should typically take 5-6 minutes to complete, so I'm wondering if ...
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