Explain an example of Brownian motion, where it is used
Explain an example of Brownian motion, where it is used.
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For illustration, Brownian motion is used in the modelling of interest rates through mean-reverting random walks. Higher-dimensional versions of Brownian motion can be used to signify multi-factor random walks, as stock prices in stochastic volatility.
Explain Capital Asset Pricing Model (CPM).
Explain technical terms in Girsanov’s Theorem.
Explain the term TGARCH as of the GARCH’s family. Answer: TGARCH: It is threshold GARCH. This is the same
Describe necessary condition for a fixed-for-floating interest rate swap to be possible?For fixed-for-floating interest rate swap to be possible it is essential for a quality spread differential to be present. Generally, the default-risk premiu
What is Vomma or Volga in option value?
Explain different forms of market efficiency.
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Create a different arrangement of interest payments between the counterparties and the swap bank that yet leaves each counterparty along with an all-in cost 1/2 percent below each's best rate & the swap bank with a 1/4 percent inflow.Company
Calculate a cross-rate matrix for the French franc, Japanese yen, German mark, and the British pound. Use the most current European term quotes to compute the cross-rates so that the triangular matrix result is alike to the portion above the diagonal .The cross-rate formul
Illustrates an example of Option Adjusted Spread. Answer: Analyses by using Option Adjusted Spreads are common within Mortgage-Backed Securities (MBS).
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