Mathematics Stack Exchange
Mathematics Stack Exchange

Questions tagged [finance]

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

Mathematical finance, also known as quantitative finance, deal with finance and financial markets in a mathematical manner.

Some examples of mathematical finance are the fundamental theorem of asset pricing which provides the conditions for a market to be arbitrage-free and complete, and the Black–Scholes equation, which uses partial differential equations to describe the price of an option over time.

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2637 questions
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Discounting cashflows with an addition to a yield curve

Please let me know if this question isn't appropriate for the Math stack exchange Here is a simple example of calculating the present value of some cashflows using a yield curve that I've made up: The discount curve is calculated as (1+ spot rate)…
CallumDA
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Acturial Studies: what is the formula for compound discount with simpe discount over the final fractional period?

What is the formula for compound discount with simple discount over the fractional period. I could not find the formula in my book and when I looked online the ones that had the formula where answers to a question in my book which I did not want to…
K. Gibson
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Closed form for duration formula

so I was trying to prove this closed form for bond duration formula: D=1+$\frac{1}{r}$ + $\frac{T(r-c)-(1+r)}{c((1+r)^T-1)+r}$ where r- yield to maturity, c-coupon rate,T-time to maturity. I made some steps and got to the expression:…
olukaso
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Dividend growth model?

A company whose earnings and dividends are expected to grow at a rate of 3% per year. Next year's dividend is $0.65 per share. The market capitalization rate is 7%. How do I find the current price of the share? Gordon's Divident growth model states…
the man
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Cost of the government

I am supposed to solve the following problem. The bank provides 1,000 dollars loans. Risk-free clients will repay the loan in full for a year, in addition to paying 4% interest. For a high-risk client, there is a 30% chance that he will not pay…
Peter
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Compound Interest Question from the textbook *Core Math for Advanced Level by Bostock and Chandler*

Good Day, I came across this question in a Form 6 Math textbook and it stomped me. I know it has to do with constructing the formula for compound interest and continuous interest but I think once I get help on question a) I can figure out b) and c)…
Kristian M. N. Oliverie
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Option Delta Calculation - Local Vol Model vs Black-Scholes Model

I am looking to get the greeks for option chain. Which model does work better for greeks calculation especially the delta. I am having issue with the Black-Scholes Model Delta since it always overstates the delta than the one actually implied by the…
Himanshu Agarwal
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Annuities-immediate, rebate vs 0% financing

A buyer of a 2003 Protege S Hatchback has a choice of $0\%$ financing for $60$ months or a $\$3600$ rebate. He plans to make no down payment. The buyer is able to qualify for $7\%$ annual effective financing through his credit union and thereby…
minger
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How to solve for n in compound interest + RD formula?

Say at the start of every year 230 USD is deposited, and there's 15% interest compounded annually. I want to calculate how many years it would take to make 7,000 USD. I found a relevant formula here, but I was unable to figure out how to alter it to…
ElJay
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How to find breakeven amount when the buy and sell amount has a fee?

With currency exchange they charge 3% when I buy a currency. When I sell they charge 3% on the amount I sell. My question: At which amount do I need to sell to make up for the 3% fees? I currently calculating it like this (below). Currently to find…
iDev247
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Term of a 100 face value bond selling at a premium

A bond of face amount 100 is purchased at a premium of 36 to yield 7%. The amount for amortization of premium in the 5th coupon is 1.00. What is the term of the bond? I have no clue where to start really. I feel a part of that is the wording. …
Michael Devin Smith
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Optimal final wealth on stochastic discount factor problem

Consider a one period economy with K states of the world, a risk-free asset and some risky assets. Consider an agent with initial wealth x and quadratic utility $U(x) = \frac{1}{2}(a-x)^2$ Let M be a SDF. The agent maximizes their final expected…
Sergio
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European call option: Portfolio payoff

If I have a stock, with shares are currently trading at 200 dollars per unit. In 1 year from now, it is expected that the shares rise to 250 dollars with probability 0.5, and fall to 190 dollars with probability 0.5. The annual risk-free interest…
Jacob Mitch
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I got a basic maths question, just looking to double check the numbers I came up with.

I'm trying to work out the costs of using a google cloud service when processing some data. The pricing thats more relevant to my case is: $5.00 per 1,000 text records If the text provided in a AutoML Natural Language request contains more than…
kurupt_89
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Financial Math - Calculate Loan Payment w/ Compounding Interest

I have recently been attempting to create an amortization schedule program. I have failed multiple times at this point so I am starting back at square one, Payment Amount. To begin calculating my payment let first get some information about the…
FamousAv8er
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