Recent content by ShaktiRathore

Hi, please see https://forum.bionicturtle.com/threads/study-plan-guide.8670/#post-39502 . thanks

Hi danghara, •In time step t the volatility sigma becomes, σ^2 (∆t) =E(S^2 ) -[E(S)]^2 =p(u-1)^2+(1-p) (d-1)^2-(p(u-1)+(1-p)(d-1))^2 σ^2 (∆t) =E(S^2 ) -[E(S)]^2 =p(1-p)(u-1)^2+(1-p) [p(d-1)]^2-2p(1-p)(u-1)(d-1) =>p(1-p) (u-d)^2=σ^2 (∆t) =>σ^2 (∆t)=(e^r∆t-d)(u-e^r∆t ) ⇒e^r∆t...

Hi, Girsanov's theorem states that when moving from the risk-neutral world to the real world and vice versa the volatility of the asset remains the same. thanks

Does anyone has Fixed Income for Mathematics Fabozzi pdf.

Hi, please see: https://forum.bionicturtle.com/threads/forward-rates.7297/#post-26035 https://forum.bionicturtle.com/threads/forward-rate-calculation.8419/#post-34269 thanks

Hi, The version 1 seems correct. The formula is Jensen's Alpha= Expected Return (portfolio) - (Risk Free Rate + Beta (portfolio) [Expected Return (Market) - Risk Free Rate]) WE compare the portfolio return Expected Return (portfolio) and the CAPM implied portfolio return Risk Free Rate + Beta...

Hi, here find first find the monthly payment with old mortgage as: MP1 = (250,000*(5%/12))/(1-1/(1+5%/12)^360)= 1342.054 the monthly payment with new mortgage as: MP2 = (250,000*(4%/12))/(1-1/(1+4%/12)^360)=1193.5382 Thus the monthly savings = MP1-MP2 = 1342.054-1193.5382=$ 148.5158. thanks

Hi, PD is a Bernoulli random variable therefore if 1 is the default state and 0 is the no default sate then E(PD)=PD.1+(1-PD).0=PD and the variance(PD) = PD.(PD-1)^2+(1-PD).(PD-0)^2 variance(PD) = PD(1-PD)^2+PD^2.(1-PD) = PD.(1-PD)(1-PD+PD)=PD(1-PD). We know that the variance of PD=sigma...

hi, we test for significance of correlation to test whether the linear relationship between the dependent and independent variable is strong enough to use the model for the projection. significance of the slope in a simple linear regression is used to check whether the slope coefficients are...

Hi, Please see these if of any help: http://www.pwc.com.tr/en/assets/about/svcs/abas/frm/operationalrisk/articles/pwc_enterprisewiderisk.pdf http://www.ferma.eu/app/uploads/2011/10/a-structured-approach-to-erm.pdf thanks

Hi, Just to give an idea, If S is the value of the T-bonds, as the rates decline the value of S increases whereas if rates increase the value of S decreases. Since the T-bond futures value=S*exp(rT) ,r is the risk free rate and T is the time to maturity ,thus if S increases(rates decline) the...

Hi, David Harper CFA FRM your example really clarifies a lot better :). thanks

Hi, For e.g. if the regression equation is y=b0+b1*x1+b2*x2+b3*x3 , suppose initial values of regressor be x1=a,x2=b and x3=c where a,b,c are constants so that the value of dependent variable y is y= b0+b1*a+b2*b+b3*c ...(1) Now suppose we change the regressor x1 to new value x1=a' while...

Hi, Formula I: E(St) = (S0). e ^ (Commodity Discount Rate) Both are correct except that for formula I the Lease Rate=0 => Commodity Discount Rate= Expected Growth Rate => E(St) = (S0). e ^ ( Expected Growth Rate) is the Formula II. thanks

Ri=Beta*Rm+intercept Covariance(Ri,Rm)=Beta*Covariance(Rm,Rm)=Beta*Variance of market Covariance= Beta*Variance of market Variance of market=volatility of market^2=11.68%^2 for weight of A=160% and weight of B=-60% Beta=.061 Covariance= Beta*Variance of market Covariance= .061*11.68%^2 = 0.001...