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.
Define an example to Hedge?
What is Girsanov’s Theorem and Why is it Important in Finance?
Mr. James K. Silber, an avid international investor, only sold a share of Rhone-Poulenc, a French firm, for FF50. The share was bought for FF42 year ago. Now the exchange rate is FF5.80 per U.S. dollar and was FF6.65 per dollar a year ago. Mr. Silber attained
Give an example of closed form solution?
When we can use Finite difference numerical method?
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How was Markowitz show that one would invest in the first stock or may be sold the second stock?
Explain maintenance of future and option margins.
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