# All Questions

12,447 questions
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### Cross currency swap basis with USD added on the covered interest rate parity (CIP)

We know the adjusted covered interest rate parity (CIP): $$Forward = \dfrac{1+r\cdot\tau+b}{1+r^*\cdot\tau+b^*}Spot$$ Here $r/r^*$ is the risk-free foreign/domestic rate and $b/b^*$ is the cross ...
1answer
107 views

### Reducing pricing errors (Alpha) in the CAPM with Bitcoin

I have been trying to examine, using the CAPM, if Bitcoin belongs in the market portfolio or not. With 10 industry portfolios from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library....
1answer
70 views

### Hedging with different volatility (Ahmad and Wilmott paper)

In their paper they show that: - if you hedge with the realised volatility, the present value of the total p&l is the difference between the option value based on the realised volatility and the ...
1answer
78 views

### Expected value of exponential of hitting time of GBM

We have a stopping time $$\tau=\inf\{t\geq 0: S_0e^{\sigma B_t+(r-\sigma^2/2)t}=S^* \}$$ where $S_0,\sigma,r,S^*$ are constants and $S^*<S_0$, and $B_t$ is a brownian motion. I wish to compute ...
1answer
387 views

### Rblpapi millisecond resolution

I'm using Rblapi to get tick data, using the nice getTicks function. Much to my dismay the index is rounded to the second, while milliseconds time stamp could be provided. Tried returnsAs xts, fts(?) ...
1answer
76 views

### Discontinuous derivative payoff approximation

Consider a derivative of digital type which pays this kind of payoff at time $T$: \begin{align*} g(S_T,k) &= \begin{cases} P_0,~S_T>k \\ S_T, ~S_T\leq k \end{cases} \end{...

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