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Explain what is meant by a positive coefficient discretization in the context of valuing options using numerical PDE methods. What is the main benefit of using a positive coefficient discretization? Are there any drawbacks? (You should contain some discussion related to the computation of option prices, deltas, and gammas, as well as the rate of convergence for both fully implicit and Crank-Nicolson time stepping schemes.) b) Describe what "Rannacher smoothing" is and why it is used.
Assume we are in the midst of the financial crisis in October 2008. Your firm is considering the purchase of a 10 year put option on the S&P 500 Index. You are analyzing the pricin
Pension funds Pension funds offers retirement income in the form of annuities to employees covered by a pension plan. They obtain contributions from employers or employees and
We have seen computation of present value using single discount rate. But the right way to value a cash flow of a bond is to use multiple discount rates, i.e valuing th
Question 1 State the key functions of the financial market. Question 2 Define "Bill of exchange". What are its features? Give different types of cheques. Question 3
Stepped spread floaters have a provision to change the quoted margin at certain intervals over a floater's life. The quoted margin could either step to a higher l
What factors does Standard & Poor’s analyze in determining the credit rating it assigns a sovereign government? Answer: In rating a sovereign government, Standard & Poor’s anal
Basics of Convertible Bonds The provision of conversion in a corporate bond entitles the bondholder the right to convert the bond into a predetermined number of shares of commo
MBS are the most complicated securities that are sensitive to interest rates. The factors that affect the price of MBS are varied and most of th
A simple passive strategy involves building a portfolio and holding it through time. The coupons as well as the proceeds of matured bonds are just reinvested in new iss
COST OF CAPITAL A project's Cost of Capital is the smallest amount of acceptable rate of return/required rate of return on funds committed to the project. It is a compensation
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