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Recent content by elena77

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    Delta of Short EUR Call Option

    Thank you David, understod.
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    Delta of Short EUR Call Option

    Hi David, for Problem 19.10, in your calculation of d1, why don't you include Rf of 12%? I understand the calculation of d1 to be: [LN (S/K)+ {Rf+(Vol^2/2)}*T]/(vol*SQRT(T)) Thank you for your advice.
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    Hull, Chapter 7 , Swaps

    Hi there, Would you please reply to the post above? Thank you.
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    Hull, Chapter 7 , Swaps

    Hi David, (I moved my initial post in the archive to here) for 7.10 I assume my calculation below misses the loss at the year 3, while final conclusion is the same at circa $0.413 (numbers in $ mio) Floating rate payment: (10+0.4)*exp^(0.078441*0.5) = 9.61558, where 0.078441 is derived from...
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    P1.T2., Stock & Watson Single Regression: Hypothesis Tests and Confidence Intervals

    Hi David, I need to understand how p-value is derived. On your study note for tutorial video for the captioned p.12, please explain how we get CDF of 0.9878 for p-value calculation. Similarly, please show calculation for 2-sided p-value in following two slides p.13 (1.34%) and p.14 (4.10%)...
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