Search results

Hi, I am (hopefully) going to be a cfa l2 candidate. can you guide me what type of firms i may join so that it helps me?

Thanks Nicole! I would like to reedem amazon gift card

Hi all, Pachamanova, BT notes refers to Standard error of sample standard deviation = sigma sqrt(1/2T) Where is this formula coming from? I have no clue. Since ir refers to sample standard deviation, is it refering to sampling distribution of sample standard deviation which we know as chi...

Hi, the first one is where X and Y ar not correlated, i.e x and y are independent variables, however, in 2nd, they are correlated.

Hi @QuantMan2318 , First of all, thanks for taking time here to explain. I was thinking about that risk free portfolio specifically, as if that portfolio would give me value of an option, that means the value of the portfolio must also change w.r.t time ( since theta is change in value of call...

@Gyilmaz @QuantMan2318 ok i just want to know one basic thing, Portfolio of a call will be delta S- PV of K. Now, as time increases, the portfolio value will decrease as PV of K will increase. Thus theta is negative. But a put portfolio will contain (PV of K - Delta S) Over here, PV increases...

Hi all, When I was reading Hull, he mentioned that some options e.g a european put option in the money or a call option on currencies with high interest rates will have positive theta. can anyone give an intuitive explanation to this?

thank you, i do agree with all ur points, i was just thinking whether it was at least wee bit desirable or not.

In a multivariate, is is desirable to have some correlation between the regressors? I mean, if there are uncorrelated factors, there might be higher R squared but some regressors may not be important to our analysis?

the answer will be the same

With your question now (and from reading somewhere else) I now understand why they they wrote 'In order to compare kurtosis between two curves, both must have the same variance' is correct. So yes, you are right, the kurtosis will vary.

Hi Stuti, Cov(Ri,Rp)/sigma Rp is actually the beta between the portfolio and the asset i. Since beta is the slop, i.e first derivative, that is why u have that formula

Hi, Its actually a very good question and its been discussed for quite some time now in the stats world. Since kurtosis is standardized, it is unit-less, that should mean it must not depend upon variance of the distribution...

Hi, In case of a Bernoulli distribution, we are given an exact probability of the happening of an event. So we find out the probability of the event over n periods of time. The same thing applies to your problems here, we are given an exact probability that earnings will exceed consensus is...

Hi david, With regard to your 1st post, Refering to the biases, #1 should be less than SRR?

I have a doubt regarding Futures on government bonds. Rise in interest rates decline value of the bonds. But what about futures? The Valuation of futures would be on the basis of the spot price which will be lower but the risk free rate will be higher, thus they will be offsetting each other?

In the stated case, we are finding out the cash flow of floating rate payment by converting the Continuous rates to discrete rates. Why cant we use cash flows of forward continuous rates like it is done with two simultaneous bond positions?

Hello all, Till now I know that the profit/loss/pay off in a futures contract is the Spot at maturity less The Forward Contracted price. Now, Even if the underlying assets to be hedged are different, why would Futures price at maturity matter (and thus basis matter) as Future is a contracted...

I dont think the statement u gave about modified durations and cash flows is correct. Macaulay Duration does not consider the fact that duration does NOT remain constant and duration changes with level of YTM rates. So,modified duration is computed.

mathematically modified duration is equal to maculays duration. Can anyone show me how,like any derivation or like?