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.
10
questions with no upvoted or accepted answers
2
votes
0answers
192 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: $$\...
2
votes
0answers
74 views
Modelling the Cost of Risk
I would like to read something about the cost of risk. Could anyone recommend some reference about how it is calculated or modelled?
1
vote
0answers
47 views
What should I learn/know before reading Investments by Bodie Kane Marcus?
I hope this is the appropriate place to post this. If not, I would really appreciate if someone could redirect me to the right site.
I've been seeing a lot of recommendations for the book, ...
1
vote
0answers
47 views
Bootstrap zero curve source of information
I'm trying to understand the bootstrap methodology to construct a zero curve from a par curve in detail. I'm looking for a good source of information, preferably with a detailed example, that ...
1
vote
0answers
1k views
How to derive the Greek theta from Black-Scholes solution formula?
Which are the steps to compute the theta greek from the BS solution:
$$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
220 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 ...
1
vote
0answers
67 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 ...
0
votes
0answers
228 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
72 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
126 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) ...
