Who explain short-term interest rate by a stochasti
Who illustrated short-term interest rate through a stochastic differential equation?
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Oldrich Vasicek illustrated the short-term interest rate through a stochastic differential equation of the form:
dr = µ(r, t) dt + σ(r, t) dX.
The bond pricing equation is a parabolic partial differential equation, same to the Black–Scholes equation.
Illustrates an example of probabilities in a simple coin-tossing experiment.
Elaborate: The increased common stock cash dividend can send a signal to the common stockholders.
A bank sells a $3,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The purpose of the FRA is to cover the interest rate risk caused by the maturity mismatch from having made a three-month Eurodollar loan and having accepted a six-month Eurodol
Suppose spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. Estimate the minimum price which a six-month American call option along with a striking price of $0.6800 must sell for in a rational market? Suppose the annualized six-month Eurod
What is MCC (marginal cost of capital schedule)? The schedule is always a horizontal line. Elaborate.
Explain how is exposed model risk of Delta hedging is reduced by static hedging.
Explain the tool of Asymptotic analysis in Quantitative Finance.
Society's interests can influence financial managers. Explain.
What is Speed in option value?
Why is structural approach to modelling risk of default born?
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