Search results

Hi David, I found an extensive discussion in your 2012 Credit Risk 6.b video on the topic of CVA. This video has not been updated in the 2013 Part 2 package, so I assume it is still relevant. However, I found that there is hardly any mention of CVA in the aims for part 2. All I found was this...

Hello, When a Dividend is given as $ amount how does that impact the D1 calculation? Do you use the ln(S0*De^-rt/k) amount instead of ln(S0/k)? When a dividend is give as % amount how does that impact the D1 calcuation? Do you subtract dividend from r as (r-q)+sigma^2/2) Thanks.

What is the parking situation like at USF? I was thinking of driving to the exam rather than take public transit.

12.11.6 You are bearish on the market (you think the market will go down) so you decide to use the following options, all with the same maturity: buy a put with K = $49 for $8, sell two puts with K = $40 for $5 each, and buying one put where K = $49 for $3. If at maturity the underlying trades...

19.12.1 The current price of a stock is $10, and it is known that at the end of three (3) months the stock's price will be either $13 or $7. The risk-free rate is 4% per annum. What is the implied no-arbitrage price of a three-month (T = 0.25) European call option on the stock with a strike...

Hello David, In the study notes on Page 11, the formula for CE is given as CE[CF(n)] = E[CF(n)] * [1+r(WACC)]^n / [1+r(f)]^n however the computation is showing $356 = $453*(1+3.50%)^5/(1+8.616%)^5 Where Rf = 3.50% and WACC = 8.616%

6.3. The spot EUR/USD exchange rate is $1.30 (i.e., USD 1.30 per 1 EUR) with a volatility of 30% per annum. The USD riskless rate is 4% per annum and the EUR riskless rate is 3% per annum. What is the delta of a one-year call option on the Euro with a strike price of EUR/USD $1.36? a) 0.4980 b)...

Hi, I recently purchased your training program with the intention of giving the FRM exam in May 2013. I noticed that there are a lot of videos posted by bionic turtle on youtube. However, these are not in any organized fashion. Even if you went through the play lists there seem to be missing...