<r>Hi everyone, I am trying to replicate the "CDS bootstrapping procedure" listed on pg 25 (Appendix 1) of the following paper by Radev:<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2048585There"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 48585There">http://papers.ss...

<r>Hi everyone, I am starting a research project basing my topic on the paper by Deyan Radev ("Systemic Risk and Sovereign Debt in the Euro Area", paper can be found here: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2048585"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ....

<r><URL url="http://imageshack.us/photo/my-images/854/questiono.jpg/Hey"><LINK_TEXT text="http://imageshack.us/photo/my-images/85 ... no.jpg/Hey">http://imageshack.us/photo/my-images/854/questiono.jpg/Hey</LINK_TEXT></URL> guys my questions are as above, you may need to save it/enlarge it though bec...

<t>Consider a call power option on a stock in which it pays the holder max(S_T^2-30,0) in 6 months time, where S_T is the stock price at maturity. The spot price is S_0 =$30, the risk free interest rate is 5% per annum with continuous compounding, volatility is 25% per annum and the stock does not p...

<t>Consider a call power option on a stock in which it pays the holder max(S_T^2-30,0) in 6 months time, where S_T is the stock price at maturity. The spot price is S_0 =$30, the risk free interest rate is 5% per annum with continuous compounding, volatility is 25% per annum and the stock does not p...

<t>On 01/04/2011 you are holding an equity portfolio worth $1,000,000 which is twice as sensitive to changes in the S&P/ASX 200 Index (XJO). These are the following information given:- On 1/04/2011, the XJO is worth 4861.8 points (each point is worth $25).- On 4/04/2011, the XJO is worth 4886.8 ...

<t>When it asks to fill in the table for closing yield (BP), daily gain/loss, does that mean we do this? Eg, the closing price is 94.62, so the yield is 100-94.62 = 5.38%, but 1bp = 0.01% so 5.38% = 538 BP. But then how do we work out the daily gain/loss ($)? This is what I've done, the initial pric...

Hi any help with this question is greatly appreciated!

Thanks, that makes a lot of sense now!

Hi, thanks for the quick reply, I am still quite unsure on part b) of Q1, could you show me the working out process? I'm a beginner at these type of questions.With regards to Q2, I've read the relevant chapters of Hull, but I can't seem to relate it to this question :S

<t>Q1, On 10 April, the September ASX SPI index futures is priced at 3700. The ASX S&P 200 index is at 3733. The contract expires 113 days later. The risk-free rate is 6%p.a and the dividend yield (q) on the index is 2% p.a both are with continuous compounding. a) Identity whether the futures co...

Haha the good ol' brute force style

Correct, can you think of a purely combinatorial approach? That would be quite slick ;P

<t>Hi everybody! I am new to this forum and have just joined recently. The forum seems great and I've always wanted to find and join an online finance forum Anyways, I am currently an undergraduate student in Pure Mathematics, Finance and Actuarial studies, so here's a little brainteaser combinatori...