All Questions
118
questions
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30
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Finding duration of given payment
Question :A corporation bond with annual coupon rate 7,5% will mature at 30 june 2025.Find duration of the bond on 31 december 2023 given that the annual interest rate is 5,5%.Assume the par value is ...
- 135
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35
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European Option Volga Derivation
This should be a standard exercise involving high-school Calculus, but for some reason, my expression for the European option volga, does not match the one on Wikipedia. I would like to ask if, ...
- 5,450
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17
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I am having trouble with applying Leibniz Rule for Differentiation an integral.
I have a function,
$V(D) = (1-\tau_E) (1-\tau_C) \int_0^{100} (R-D) dF(R) + (1-\tau_D) \int_D^{100} D dF(R) + (1-\tau_D)(1-b) \int_0^D RdF(R)$
Where R is a random variable $R \in [0,100]$ with ...
0
votes
2
answers
84
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j-th order derivative of function $f(x) = 1 - \sqrt{1 - x}$ [closed]
Can you please help me with this part of book (Stochastic Calculus for Finance I: The Binomial Asset Pricing Model; Shreve; p.140):
Define $f(x) = 1 - \sqrt{1 - x}$ so that
$$f^{’}(x)=\frac{1}{2}(1-x)^...
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16
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Conversion of Williams Percentage values to Stochastic range values
This may appear redundant to some, as well as if this has been done before - please direct me to where this may be found. However I am attempting to create a specific type of indicator for trading ...
3
votes
1
answer
159
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Is it possible for interest to = principal for all and each installments?
In practice, there are two main amortization methods used by and large for retail mortgages:
The classical amortization formula where all installments have the same value, however the interest % and ...
- 33
2
votes
1
answer
65
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Optimising money earned with 3 factors
Given you have an 80-year lifespan and you are trying to maximize how much money you make what is the best solution to the following:
Each year you have a decision to:
Earn 1000 dollars and save it ...
- 301
1
vote
1
answer
47
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How do you calculate monthly cashflows when looking at an AVERAGE annual growth rate between two years?
Say someone has total cashflows of $1200$ for the financial year(FY) $2020$, they have cashflows of $1260$ for FY $2021$. ($5\%$ annual growth) How would you go back and fill in the cashflows for Jan-...
- 11
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votes
1
answer
40
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Are this equations somehow equivalent? (newbie mistakes...)
When reading the next question about Differential Equations and their application in Finance (in this scenario they are modelling Annuities; Differential Equation)
The Differential equation is:
$$\...
- 137
2
votes
0
answers
94
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Optimising a business strategy
My brother in year 8 was given this scenario:
"You sell chairs and make sales at monthly intervals. You start with $16,000.
Each month, 17000 people buy chairs, The market average price for ...
- 301
1
vote
0
answers
146
views
Liam opens a bank account and makes deposits at a continuous rate
Liam opens a bank account with an initial balance of $2000$ dollars. Let $b(t)$ be the balance in the account at time $t$. Thus $b(0)=2000$. The bank is paying interest at a continuous rate of $3\%$ ...
- 2,973
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89
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How much loan you owed after 20 years
Statement: Paying down a mortgage: you took a $\$200000$ home mortgage at an annual interest rate of 3%.suppose that the loan is amortized over a period of 30 years and let P(t) denote the amount of ...
- 115
-1
votes
1
answer
260
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Black-Scholes model from probability tree, Hull 13a.6
The following is an excerpt from Hull's book "Options, Futures and Other Derivatives (9th edition)", page 299:
$$p^{*}=\left(\frac{e^{r T / n}-e^{-\sigma \sqrt{T / n}}}{e^{\sigma \sqrt{T / ...
- 321
1
vote
1
answer
46
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Compound interest computation on a "non continuous" asset
Suppose that there is some equity which yields revenues, when locked in a revenue program.
This equity costs $X$ dollars per unit, and gives $Y$ dollars per unit per second, while the program duration ...
- 11
0
votes
1
answer
845
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Rearranging Annuity formula
Can someone please show me how this is rearranged/simplified from this: PV = CF[(1-(1+r)^-n)/r] to PV= CF(1/r)[1-(1/((1+r)^n)] with steps, will help me wrap my head around it.
Also, how does it go ...
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