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.
15
questions with no upvoted or accepted answers
2
votes
0answers
491 views
How do we know that the instantaneous 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: $$\...
2
votes
0answers
80 views
Modelling the Cost of Risk
I would like to read something about the cost of risk. Could anyone recommend some reference about how it is calculated or modelled?
2
votes
0answers
84 views
Financial theory
Ok guys, I'm studying from Danthine and Donaldson - Intermediate Financial Theory. The book itself doesn't have a lot of worked examples, and I'm lacking the basics for understanding some concepts ...
1
vote
2answers
105 views
Trouble Calibrating a Vasicek Model
I have simulated some data according to a Vasicek process and I am then trying to apply ordinary least squares (OLS) regression analysis to see how accurate the estimated model parameters are from the ...
1
vote
0answers
79 views
Show that portfolio's percentage contribution to loss (PCL) equals PCR (risk)
I came across this question during self study on a quantitative book (Question 3.6 on Page 75 of Quantitative Equity Portfolio Management: Modern Techniques and Applications By Edward E. Qian, Ronald ...
1
vote
0answers
238 views
Difference between spread duration & IR duration for a fixed rate bond
I am struggling to comprehend the difference in impact between spread duration & IR for a fixed rate bond when yields move.
I know that both measures would be the same for a fixed rate bond but ...
1
vote
0answers
96 views
What should I learn/know before reading Investments by Bodie Kane Marcus?
I hope this is the appropriate place to post this. If not, I would really appreciate if someone could redirect me to the right site.
I've been seeing a lot of recommendations for the book, ...
1
vote
0answers
2k views
How to derive the Greek theta from Black-Scholes solution formula?
Which are the steps to compute the theta greek from the BS solution:
$$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
261 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
25 views
Finding historical data
I need T-bill rates in order to use it as risk-free asset from Jan,2003 t0 today.(monthly data) I don't know how to find it. Can you please suggest your idea about how to find it?
0
votes
0answers
40 views
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 ...
0
votes
0answers
43 views
Optimizing Portfolio Return by Targeting Variance
I understand Markowitz and targeting returns to minimize our variance. I know this optimization problem well and its constraints. However when the reverse scenario is to be considered I get very ...
0
votes
0answers
415 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) ...
