0
votes
1answer
11 views

Help on understanding tax bracket computation

Warning: some codes Tax Bracket: 1 up to 5,070 ---- 10% ...
1
vote
1answer
31 views

Prove $\sigma_V=x\sigma_S$. (Financial Mathematics)

Prove that the standard deviation of the value $V(T)$ at time of any portfolio $(x,y)$ at time $T$ in a one-step binomial is given by $\sigma_V=x\sigma_S$, where $\sigma_S$ is the standard deviation ...
2
votes
1answer
51 views

Math Finance: Arbitragefree Pricing Q vs. P

I read that the Fundamental Theorem of Asset Pricing states, that a market is arbitrage-free if there exists a riskneutral equivalent martingale measure Q~P, under which the discounted asset price ...
1
vote
0answers
35 views

Why does the price term in Vega disappear for a European call option?

In my course, I have been asked to prove a number of statements about "the Greeks" from the Black-Scholes model for pricing a European call option with no dividends and a strike price of $K$. One of ...
0
votes
1answer
61 views

A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

In Evans and Jovanovic (1989) you will find a model for entrepreneurs with credit constraints. The part that is important for my question follows. Here it is the production function and the income ...
0
votes
0answers
65 views

Financial mathematic with Feynman-Kac

I have a really big task in financial mathematics and a small part of it (to set up the problem), I need to write a PIDE (the Feynman-kac) where we estimate options with jumps. It is derived from the ...
0
votes
1answer
327 views

Why the $Vega$ of the Black Scholes Model is at its maximum for at-the-money options?

In my course script, it is said that the Vega of the Black Scholes Model is at its maximum for at-the-money options. In order to verify this, I did the following calculations: In the Black Scholes ...
3
votes
2answers
1k views

Financial Linear Programming Problem

I'm very new at linear programming and I'm trying to figure out a way to approach this problem below: ...
1
vote
0answers
164 views

Immunization and Sensitivity Analysis

Frequently a company wants to match its assets and liabilities. However, perfect matching is not practical due to fluctuations in interest rates. So they hedge their risk using immunization. This can ...