Explain experiment of Vasicek of short-term interest rate
Explain the experiment of Oldrich Vasicek of short-term interest rate.
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Oldrich Vasicek modelling a short-term interest rate like a random walk and concluded as interest rate derivatives could be valued by using equations the same to the Black–Scholes partial differential equation.
How is a Sharpe ratio maximized? Answer: Choosing the portfolio which maximizes the Sharpe ratio, will provide you the Market Portfolio.
Explain degree of confidence and the relationship along with deviation.
Explain another way of interpreting put–call parity.
What is a Poisson Process?
What is stable Levy Distribution?
Explain an example of Brownian motion, where it is used.
Financing costs included into the capital budgeting analysis process. Explain.
What is actual volatility? Answer: Actual volatility is the σ that goes in the Black–Scholes partial differential equation.
Example of Girsanov’s Theorem.
With whom Sharpe is shared Nobel Prize (1990)?
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