# All Questions

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### How to find the volatility indices corresponding to equity indices?

I have a list of equity indices that I got through Eikon API (with Python). I successfully got their time series but at this point I would need the corresponding implied volatility, which is not ...
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### Is callable bond pricing available in Quantlib XL?

I am able to find documentation for pricing callable bonds in Quantlib Python or C++, however, I am struggling to locate it for Quantlib XL. Is there a way to price callable fixed-rate bonds in ...
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### Covariance of logarithms of geometric Brownian motion

Suppose I have a Geometric Brownian Motion process, $$dX_t=\mu X_t dt + \sigma X_t dW_t$$ I'd like to find the covariance of $\log(X_t)$ and $\log(X_s)$ where $s<t$. We can write $\log(X_t)$ in ...
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I am currently trying to solve the St. Petersburg paradox from the lecture notes, but somethings bugs, me. Bernoulli shows that we can solve it using marginal utility theory. This is how it is derived:...
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### Exercise: does Ito integral of a simple stochastic process have normally distributed increments?

I am trying to solve the following problem (exercise 4.3 from Shreve's Stochastic Calculus for Finance, Vol. 2, my adaptation): Let $W(t)$, $0\le t\le T$ be a Brownian motion, and $\mathcal{F}(t)$ ...
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### Constructing an arbitrage opportunity for a company involving Forwards

Let's say an investor enters a long forward contract on 100 units of underlying assets $S$ and maturity $T$ = 4 years. The asset $S$ pays no dividends and the spot price of one asset is $S_0$ = £5. ...
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### Calculate duration of zero coupon bond

I am currently studying interest rate risk management, and i can't seem to get the derivation right, and I would like to do all of the steps, to be sure that I understand what is going on. Let Pz (t, ...
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### Measure how cheap is the Gold? [closed]

It's possible to measure how cheap stocks are, because we can compare asset price to its output. $$Rate = {Revenue \space \over Capitalisation}$$ And then at any given moment we know how cheap ...
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### Binomial Model Is Leading to More Expensive Options as Number of Periods Grow

I've coded up a binomial model. It spits out the right numbers that the book I'm currently reading is using for the given inputs. For example, Stock Price 100 Strike Price 100 Number Of Periods 3 ...
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### Markowitz portfolio in reality

I am in academia and begin to work on topics including portfolio optimization. I just read lots of paper discussing different extensions to the Markowitz approach, given different (possibly ...
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### American options & Optimal Stopping Time

From Shreve's book (Stochastic Calculus for Finance II), assuming stock dynamic as standard GBM (without any dividends), the discounted American put price process (which is a super-martingale), ...
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### What is the connection between the risk neutral implied density and the real world density?

I understand that we can use option prices to imply volatilities and ultimately to imply a risk neutral density. I also understand that this implied density is not the same as the "real world density"....
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### Use AM-GM inequality to generalize price process [closed]

Consider the following 2 investing strategies. Strategy $A$ buys $1$ share in every period. Strategy $B$ invests a fixed amount of money in every period. $B$ seems better because for the same ...