I couldn’t find currency forwards valuation (which uses interest rate parity) in core. But was done in class. Is it in syllabus or not?
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in black shoes model we assume markets are continuously open,beacuse of dynamic rebalancing.even if market is not open continuously and there is a price jump of 100 next day the losses due to dynamic pricing will be cancelled by call ...
Just wanted to know while calculating the current value of the swap why arnt we taking Year 2 and year 3 pv factors because 1 years has passed. Thank you. Attaching the solution in comment section.
If there is an increase in the stock price, the approximate price change of the call option as predicted by the delta will be more / less than the actual price of the call option? (also, considering the effect of ...
Attached the solution in the answer section. please let me know why they are doing (0.5-0.25). 3 months have passed more 6 months is remaining so it should have been 0.5 no? Thank you for the help
Here, in Q.6 while calculating the value to the short we discounted the spot rate i.e., 0.89 from euro rf rate, why?
Please explain the last line of Q4B answer. Thank you. Q Identification Tag: Michelle Norris, CFA, manages assets for individual investors in the United States as well as in other countries. | If the expected growth rate in dividends for stocks ...
It’s said that explaining to niche investors the loss due to vega is difficult. I’ve a question in this regard, vega is an exposure wrt risk toh whenever there is an increased risk in the market the portfolio suffers losses, risk ...
X and Y have created delta-hedged portfolio X has created using near ITM options and Y has created using far ITM options. Can someone explain the logic why portfolio of X needs frequent re-balancing (this is w.r.t. to gamma of the portfolio) ...
pls explain q2 answer is b could it means that bower shorts floating rate bond so he has a risk of int rate rises bcz then he has to pay higher coupon so he must short bond i.e gain from fall in ...