# Questions tagged [finance]

Questions related to the various aspects of financial mathematics. Topics include option pricing, arbitrage theory, market completeness and stochastic analysis.

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### Finding duration of given payment

Question :A corporation bond with annual coupon rate 7,5% will mature at 30 june 2025.Find duration of the bond on 31 december 2023 given that the annual interest rate is 5,5%.Assume the par value is ...
• 135
1 vote
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### How to Compute the Derivative of Maximum Drawdown (MDD) with Respect to Portfolio Weights

I am working on a financial model and need to calculate the derivative of Maximum Drawdown (MDD) with respect to the portfolio weight vector (assume we fix it at the beginning and keep unchanged). The ...
1 vote
45 views

### Is there a notion of approximation of continuous-time Markov processes by finite-valued Markov processes?

Recall that in practice, to simulate a Brownian motion on $[0,1]$, we usually use the interpolated process $X^n=(X^n_t)_{t\in[0,1]}$ between the jumps of a random walk $(S_k)_{k=1,...,n}$ with $n$-...
• 603
1 vote
56 views

### How to solve for monthly interest rate given principal, number of payments, and total payment

The problem: A lottery winner is given two payment options: Receive 131 million dollars in 25 yearly installments of equal size, the first payable immediately, or receive a single immediate payment of ...
43 views

### Analytical function from summation representing Dollar Cost Averaging

I would like to understand what is the math necessary to go from a summation representing the Dollar Cost Averaging (DCA) to the analytical function. In DCA, a certain capital $C_0$ is invested ...
33 views

### No Arbitrage iff no generalized Arbitrage

Let’s consider a market in finite discrete time with trading dates $0,1,\dots,T$ probability space $(\Omega, \mathcal{F}, \mathbb{P})$, filtration $\{\mathcal{F_t}\}_{t \in \{0,1, \dots, T\}}$, $N$ ...
• 1,356
38 views

### Should I consider the price for "option pricing" problem?

I'm trying to solve the following problem from "Probability and Statistics" book by Morris H. DeGroot and Mark J. Schervish. Suppose that common stock in the up-and-coming company A is ...
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