Questions tagged [self-study]
A routine question from a textbook, course, or test used for a class or self-study. This community's policy is to "provide helpful hints" for self-study questions.
11
questions with no upvoted or accepted answers
2
votes
0answers
331 views
How do we know that the instaneous rate of return on this option, $\gamma$ is negative?
I am self-studying models for financial economics and encountered the following problem:
I don't see how the author can conclude that $\gamma = -0.62$. Let's rearrange the second to last equation: $$\...
2
votes
0answers
78 views
Modelling the Cost of Risk
I would like to read something about the cost of risk. Could anyone recommend some reference about how it is calculated or modelled?
2
votes
0answers
74 views
Financial theory
Ok guys, I'm studying from Danthine and Donaldson - Intermediate Financial Theory. The book itself doesn't have a lot of worked examples, and I'm lacking the basics for understanding some concepts ...
1
vote
0answers
88 views
Difference between spread duration & IR duration for a fixed rate bond
I am struggling to comprehend the difference in impact between spread duration & IR for a fixed rate bond when yields move.
I know that both measures would be the same for a fixed rate bond but ...
1
vote
0answers
57 views
What should I learn/know before reading Investments by Bodie Kane Marcus?
I hope this is the appropriate place to post this. If not, I would really appreciate if someone could redirect me to the right site.
I've been seeing a lot of recommendations for the book, ...
1
vote
0answers
2k views
How to derive the Greek theta from Black-Scholes solution formula?
Which are the steps to compute the theta greek from the BS solution:
$$c(t, x) = xN(d_+(T-t,x)) - K e ^{-r(T-t)}N(d_-(T-t,x))$$
with:
$$ d_\pm (T-t, x) = \dfrac{1}{\sigma \sqrt{T-t}} \left[ \ln \...
1
vote
0answers
238 views
stochastic calculus and multidimentional itos lemma
I am considering a number of assets (N) in a portfolio. each asset follows a geometric Brownian motion process therefore the stochastic differential equation is dS(i) = S(i)μdt + S(i)σdX(i).
The ...
0
votes
0answers
29 views
Positive carry with negative yielding bonds when repo is negative
Could someone please explain to me how positive carry is achieved when the repo rate is negative?
For example I can see the German repo rate is -0.57% and the 2 year German bund is -0.78%. So to ...
0
votes
0answers
294 views
How to calculate an option porfolio cost and payoff function?
There are call and put options on the same underlying asset, with the same expiry, $T$, and with strikes $K_c=(k_c^1, k_c^2, \ldots, k_c^m)$ and $K_p=(k_p^1, k_p^2, \ldots, k_p^m)$, $S_t$ is a price ...
-1
votes
1answer
73 views
Why would a principal 'insist on a name' at the original price
A Dealing Certificate practice question
What is a principal doing if he 'insists on a name' at the original price?
Answer:
He refuses the broker's compensation and demands that the transaction is ...
-2
votes
1answer
129 views
Implicit relation between risk and reward
I want to differentiate w.r.t. $\sigma^2$ the following equation
$u'(Y)\mu$ + $\frac{u''(Y)}{2}$$(\sigma^2 + \mu^2) = 0$
where we can consider $\mu$(reward) as an implicit function of $\sigma^2$(risk) ...
