Skip to main content
Quantitative Finance

Questions tagged [fair-value]

Ask Question

The tag has no summary.

18 questions
Newest Active Bountied Unanswered
1 vote
0 answers
163 views

I'm working with Kraken historical ETH-USD trade data from 2017 onward, which includes: Timestamp (Datetime) Trade ID Trade price Trade volume Taker side (buy/sell) Order type (market or marketable ...
QMath's user avatar
  • 291
0 votes
1 answer
315 views

I know there are other questions that address this, but I'm a little confused on the intuition. For ex, say bid is 100, the weighted mid is 100.4, and the ask is 101. I want to sell now, so I aggress ...
bcm99's user avatar
  • 11
0 votes
2 answers
149 views

If a bank owns an unmargined OTC derivative contract with mark to market valuation of \$X, is it required to borrow \$X from money markets in order to post that asset's value to its balance sheet? If ...
Trent Gm's user avatar
  • 83
-1 votes
1 answer
286 views

I keep hearing "analysts" say that certain company's stock is currently much below the fair value, and I also keep hearing that certain other stocks are severely over-valued. However, I have ...
TryingHardToBecomeAGoodPrSlvr's user avatar
  • 350
-1 votes
1 answer
939 views

in university's lecture notes, from what I understand using the replication of portfolio principle to price derivates, the forward price of a contract K should be: $K = P_0(1+r)$ where $P_0$ is the ...
user52091's user avatar
  • 9
1 vote
0 answers
998 views

I would like to understand the math/economics behind the calculation of plain vanilla FX forwards. Let's assume the following example: ...
JSRB's user avatar
  • 111
3 votes
1 answer
678 views

Recently we had an invited talk at our university (I'm Ph.D. student in ML department, so I'm sorry if my question is stupid, since I do not have quantitative finance background), where one researcher ...
Accelerate to the Infinity's user avatar
  • 213
2 votes
1 answer
278 views

I need a help for the following question: A stock index is constructed by including only two stocks in the index. One of the stocks (Stock $1$) currently sells for $250$ dollar and the other stock (...
yorukobasi's user avatar
  • 21
0 votes
1 answer
533 views

we form a stock index by using only two stocks in the index. One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
1190's user avatar
  • 109
1 vote
1 answer
86 views

I've found that MarketCap is a quick and decent way to evaluate a public company. For private companies, the best I've found is a 409a. It seems like, in many scenarios, both evaluation methods ...
Seph Reed's user avatar
  • 113
1 vote
0 answers
73 views

what is the theoretical justification for why estimating intrinsic value of a stock price can be different under FCFF (Free Cash Flow to the Firm) and FCFE (Free Cash Flow to the equity) approaches? ...
Soroush Kalantari's user avatar
  • 157
1 vote
0 answers
265 views

Last month, I spent some time calculating the fair value of a futures contract in preparation for the current futures roll period. I've backtested it and noticed that fair roll generally gives me an ...
VanillaCall's user avatar
  • 1,011
2 votes
1 answer
3k views

Background Due to the nature of the curve (bond curve, swap curve etc), bond traders typically have some model that allows them to measure the "fair value" (FV) of a bond vs other bonds on the curve. ...
quanty's user avatar
  • 449
3 votes
1 answer
336 views

I want to find the fair value of a European cash-or-nothing option that pays \$1 if $S_t>K$ and $S$ breached the level $M<0<K$, where $S$ is the risk-neutral process $dS_t=\sigma dW_t$. My ...
FunnyBuzer's user avatar
  • 1,032
2 votes
1 answer
1k views

Let's use AUDUSD 6A futures contract as an example. How does the interest rate between AUD and USD give rise to the fair value calculation of AUDUSD 6A futures contract? Besides interest rates, are ...
curious's user avatar
  • 1,037

15 30 50 per page
1
2