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Geometric expectation & perpetuity discount rate

score 44 · Answer 1 · 2021-01-16 21:33:27

44

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Geometric expectation & perpetuity discount rate

Published on 16 Jan 2021 - 21:33

score 66 · Answer 2 · 2021-01-18 10:30:48

66

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Payoff from an option contract

Published on 18 Jan 2021 - 10:30

score 23 · Answer 3 · 2021-01-19 20:26:24

23

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Valuing Bonds With Continuous Coupon Yields

Published on 19 Jan 2021 - 20:26

score 206 · Answer 4 · 2021-01-19 22:36:36

206

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Let $B = (B_t)_{t \geq 0}$ be a standard brownian motion and $I_t = \inf_{0 \leq s \leq t} B_s$, show $F(t, B_t, I_t)$ is a martingale.

Published on 19 Jan 2021 - 22:36

score 128 · Answer 5 · 2026-04-02 20:54:50

128

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Apply Ito's formula, prove a martingale, and calculate $\mathbb{E}(\tau)$

Published on 02 Apr 2026 - 20:54

score 85 · Answer 6 · 2021-01-21 19:16:35

85

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Show that $Z_t = \sqrt{\sqrt{2t}e^{-\sqrt{2t}}} B_{e^{\sqrt{2t}}-1}$ solves $dZ_t = f(t)Z_tdt +dM_t$ and find $f(t)$.

Published on 21 Jan 2021 - 19:16

score 157 · Answer 7 · 2021-01-23 16:56:15

157

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Show that $Y_t \int_0^t \frac{1}{Y_s} ds$ and $\int_0^t Y_s ds$ are equal in distribution

Published on 23 Jan 2021 - 16:56

score 425 · Answer 8 · 2026-04-05 02:36:08

425

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Why does calculating the return on a portfolio differ when calculated at a stock level rather than at a portfolio level?

Published on 05 Apr 2026 - 2:36

score 64 · Answer 9 · 2021-01-30 05:51:31

64

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How to price a contract that is denominated in another currency using the Martingale Approach to the Black and Scholes theory?

Published on 30 Jan 2021 - 5:51

score 243 · Answer 10 · 2021-02-01 20:49:06

243

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How do I convert from a semi-annual interest rate to montly?

Published on 01 Feb 2021 - 20:49

score 44 · Answer 11 · 2021-02-03 18:18:23

44

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Question on two equivalent densities

Published on 03 Feb 2021 - 18:18

score 41 · Answer 12 · 2021-02-04 22:22:38

Is there a formula to calculate future value with compound interest where only part of the interest of each period is applied?

score 36 · Answer 13 · 2021-02-04 23:23:53

36

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Price of dividend paying stock

Published on 04 Feb 2021 - 23:23

score 88 · Answer 14 · 2021-02-05 16:53:43

88

Views

Connection between semimartingales in Itô calculus and measures in integration theory

Published on 05 Feb 2021 - 16:53

score 292 · Answer 15 · 2021-02-07 00:36:47

292

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Force of interest piecewise function to find nominal yearly interest

Published on 07 Feb 2021 - 0:36

List Question

Geometric expectation & perpetuity discount rate

Payoff from an option contract

Valuing Bonds With Continuous Coupon Yields

Let $B = (B_t)_{t \geq 0}$ be a standard brownian motion and $I_t = \inf_{0 \leq s \leq t} B_s$, show $F(t, B_t, I_t)$ is a martingale.

Apply Ito's formula, prove a martingale, and calculate $\mathbb{E}(\tau)$

Show that $Z_t = \sqrt{\sqrt{2t}e^{-\sqrt{2t}}} B_{e^{\sqrt{2t}}-1}$ solves $dZ_t = f(t)Z_tdt +dM_t$ and find $f(t)$.

Show that $Y_t \int_0^t \frac{1}{Y_s} ds$ and $\int_0^t Y_s ds$ are equal in distribution

Why does calculating the return on a portfolio differ when calculated at a stock level rather than at a portfolio level?

How to price a contract that is denominated in another currency using the Martingale Approach to the Black and Scholes theory?

How do I convert from a semi-annual interest rate to montly?

Question on two equivalent densities

Is there a formula to calculate future value with compound interest where only part of the interest of each period is applied?

Price of dividend paying stock

Connection between semimartingales in Itô calculus and measures in integration theory

Force of interest piecewise function to find nominal yearly interest

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