Questions tagged [finance]
Finance describes the management, creation, and study of money, banking, credit, investments, assets and liabilities as well as the systems to handle these instruments.
694 questions
0 votes
0 answers
96 views
Hypothetical question on the value of "inside" institutional info
I have a hypothetical scenario I can't get my head around and wanted to see what people with real-world knowledge think. Let's say someone hypothetically gained access to an internal investment ...
6 votes
1 answer
461 views
Can state-contingent prices be greater than $\$1$ ?(Recovery Theorem by Steve Ross, 2015)
I have been reading the paper by Steve Ross on the Recovery Theorem that was published in the Journal of Finance in 2015 (an earlier version of the paper is available on SSRN here ). The paper ...
- 6,690
-2 votes
1 answer
125 views
How to calculate FCFF starting from the cashflow statement?
I'm looking to get a better intuition for FCFF (free cashflow to the firm) as used in discounted cashflow analyses. The usual equation for FCFF starts from earnings (an accrual accounting metric) and ...
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0 votes
0 answers
79 views
confusion about the covered interest rate parity formula
Example 5.6 Suppose that the 2-year interest rates in Australia and the United States are 3% and 1%, respectively, and the spot exchange rate is 0.7500 USD per AUD. From equation (5.9), the 2-year ...
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1 vote
1 answer
220 views
Decomposing Returns of Coupon Bonds: Yield, Roll-Down, Duration, and Pull-to-Par Effects
I'm currently exploring how to decompose the return of a coupon-bearing bond into meaningful components such as yield return, roll-down return, duration return, and ideally, pull-to-par effect. For ...
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1 vote
0 answers
91 views
In what currency do you do P&L reporting?
We do PMM in a crypto stablecoin/local currency pair. Since our local currency isn't commercially used, we're considering reporting in USDT. I wanted to ask how NLP reports are typically done. In ...
- 11
2 votes
1 answer
210 views
Why Deep ITM European Put Options have positive vega?
Could you explain, not from the perspective of B-S formula, but from intuition, why Deep ITM European Put Options have positive vega? To take an example, if I have a European put options on a stock, ...
- 21
1 vote
1 answer
405 views
Bloomberg ICVS92 Cross Currency Basis
Can someone help me understand how Bloomberg computes the Cross currency basis, for maturity < 1 year? On the ICVS 92 (EUR vs. USD basis) page, we can see the CC basis mid (I don't have access to ...
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0 votes
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56 views
Earnings calendar with direct link to live earnings feed/report?
I was wondering if there was a service that provides earnings calls calendars with direct access to the URL used to publish the earnings call. Alternatively if there exists a database with the ...
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1 vote
0 answers
58 views
Discretization for dynamic hybrid framework
I'm currently trying to implement the following equations (in RStudio). $\pi$ corresponds to the proportion (of the funds $F$) which is invested in risky assets (parameters : $\delta$, $\sigma$). The ...
user82629
1 vote
1 answer
68 views
Can please help me understand the proper measurement of interest for this problem [closed]
I know this should appear simple but I cannot really wrap my head on how to know which measurement of interest should be used. So, I am reviewing for a FM exam and tried this problem. John makes ...
4 votes
1 answer
305 views
Get pure exposure to $\mathbb{E}[X^3]$
Using option price and an interpolation method we can get for a particular expiry what is the implied density distribution of the stock by the market. If we call this density $X$ then is it possible ...
0 votes
1 answer
140 views
Drift Term in Black Scholes d1, d2 [closed]
I am relatively new to quant finance and have been learning the Black-Scholes formula. I have learned that the terminal distribution of $S_T$ is lognormal and that stock returns are expected to follow ...
- 141
1 vote
2 answers
193 views
Factor performance in different groups
While we are testing performances of factors, it is common for us to put stocks into different groups based on their exposure to certain factor, such as size, value, momentum,etc., Then we can test ...
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1 vote
0 answers
217 views
Can factor neutralization hedge market risk
While coding a strategy that uses 50% of the fund to long the group of stocks with the greatest exposure to a factor called MIF, and the other 50% to short the group of stocks with the least exposure ...
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