Thank you. Now I have the following integral:whereDoes this make sense? How do I proceed?

Hi there:I want to solve the following equation by integration. The boundary condition is B(0)=0.Can someone explain how to go about?Thank you for helping out.

The appendix to this paper claims an easy solution to the following ODE'sB' = 1/2 sigma^2 B^2 - beta B - 1A' = alpha A BI cannot replicate the outcome. Using Mathematica I get different results.Who can give a clue to this solution. The first equation is a Riccati equation.KR

<t>Hi there:Who has studied 'Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market', by Longstaff, Mithal and Neis, JOF 2005? The working paper is here: Longstaff et al.Please explain the lambda in formula (8) and (9). I cannot figure out how to model t...

Hi there,Are you aware of closed form formulas for (down and out) Parisan barrier options, with a barrier level that is a known exponential function of time?

Hi there,Are you aware of closed form formulas for (down and out) Parisan barrier options, with a barrier level that is a known exponential function of time?

Hi there,Just a small question on terminology. Is there a name for letting your asset allocation drift with the relative performance of asset classes. So, the exact opposite of rebalancing your portfolio to the strategic asset allocation. Thanks for your help.

Hi there:Currently I'm trying to derive a (simple) formula for the vega of barrier options. Specifically, for a down and in put. Can someone suggest a paper where to find this.All the best!

<t>Hi there,Can someone inform me how to obtain the following article. It seems the Journal of Financial Engineering is no longer published.Discrete Partial Barrier Options with a Moving Barrier HARRY M. KAT RONALD C. HEYNEN Journal of Financial Engineering, Vol. 5, No. 3, September 1996 Thanks! </t>

<t>All:A question about duration of real estate. In a rental contract sometimes a fixed rental period is negotiated. What would be the consequence for the duration (interest rate sensitivity) for this particular real estate object using a DCF valuation tool. Can you somehow compare this with the dur...

<t>QuoteOriginally posted by: AlanA classic formula for the market as a whole is R - r = A sigma^2, where A is called (Pratt's) coefficient of relative risk aversion.,R is the Expected return on the market, r is the short-term riskless rate, andsigma is the market volatility. Technically the "market...

Hello:Is it possible to derive an implied equity risk premium from (derivatives) prices, e.g. equity swaps? Any references on this?

Hello - Is there literature on how to calculate mean variance efficient portfolios including options? I just have Cox and Rubenstein 1985 (p. 334 -336). The problem I eg would like to crack is to find efficient combinations of weights x_i for a collar given total amount to invest W.

<t>Hi,The market value of subordinated debt can be derived from the difference of two call options Black & Cox (1976). Suppose the market value of a firms assets is 100 with certain volatility. Also the market value of the firms senior debt is 100 (if that is possible?!). Now the firm issues zer...

<t>Hi,I'm trying to derive the partial derivative (vega) of vulnerable call and put options with respect to the volatility of the underlying asset. (e.g. Klein (1996) "Pricing Black - Scholes options with credit risk" Journal of Banking and Finance.) This is quite difficult because of the bivariate ...