What is jump-diffusion model
What is jump-diffusion model?
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While a model has both a Wiener process dX term and a Poisson process dq term this is termed as a jump-diffusion model.
Explain the commonsense criteria that of a measure of risk.
What is MCC (marginal cost of capital schedule)? The schedule is always a horizontal line. Elaborate.
Why do Quants like Closed-Form Solutions?
How is Vega completely different from Greeks?
Explain the programme of study of finite differences.
Explain the formula of hedging contract.
Illustrates a case of a static arbitrage and model-independent arbitrage?
What happens if the correlation coefficient for two variables is -1 or 0 or +1?
Explain an example of Margin Hedging in Metallgesellschaft and Long Term Capital Management.
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
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