Who introduced the model of discrete set of rates
Who introduced the model of discrete set of rates?
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Alan Brace, Dariusz Gatarek and Marek Musiela in 1997, they found around both of those difficulties by introducing a model that only relied on a discrete set of rates – ones that in fact are traded.
Who measured risk as coherent, in finance theory?
Describe the concept of the Sharpe performance measure.The Sharpe performance measure (SHP) is a risk-adjusted performance measure. This is describing as the mean excess return to portfolio above the risk-free rate divided by the portfolio's sta
Explain distribution of quants’ salaries with a survey on a company.
Describe the basic operation of a currency forward market The forward market is an OTC market in which the forward contract for purchase or sale of foreign currency is tailor-made among the client and its international bank. No money changes ha
What is the validity of the Efficient-market hypothesis?
A stock whose value is now $44.75 is growing on average by 15 percent per annum. Its volatility is 22 percent. The interest rate is 4 percent. You need to value a call option along with a strike of $45, expiring in two months’ time. So, what can you do?
Security returns are found to be less correlated across countries than in a country. Why can it be?Security returns are less correlated possibly because countries are distinct from each other in terms of industry structure, macroeconomic policie
Explain the term implied volatility in Black–Scholes option-pricing equation.
Why is the money given time value?
Alpha and Beta Companies can borrow at the below given rates. &nb
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