What's new

Search results

  1. P

    Mapping options (Jorion)

    Hello David - On question 67.3 and 67.4, May I kindly request to provide the effect of gamma and theta. Also may I kindly request to provide the formulas for calculating Gamma, Vega and Theta. Thank you
  2. P

    Risk neutral Probability calculation - Three step process

    Hello - I am trying to calculate Risk neutral probability of three step process P2.T5. Market Risk Measurement & Management In page 27 study download, three step binomial tree I do noticed risk neutral probablities q= 0.6489 May I kindly request to paste the step by step calculation? I...
  3. P

    Hull RMFI - EOC 15 Question 21 - Credit Equivalent Amount

    Reference link: R64.P2.T7.Hull_Ch15,16,17 Page 24 15.21. A bank has the following transaction with a AA-rated corporation a) A two-year interest rate swap with a principal of $100 million that is worth $3 million b) A nine-month foreign exchange forward contract with a principal of $150...
  4. P

    General question

    Hello David, Can you please explain the math portion on this question A five-year bond provides a coupon of 5% per annum payable semiannually. Its price is 104. What is the bond's yield? You may find Excel's Solver useful. Answer: The answer (with continuous compounding) is 4.07% I...