题目1992 · 数学
Cheap-Fast Versus Expensive-Slow Hedge 22
One hedge book is much cheaper, so the optimizer should lean on it heavily to hit the shared target. Minimize L(x,y) = 2x^2 + 8y^2 subject to 1x + 1y = 18.
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中文题目题目5864 · 数理金融
Cheapest Dominating Portfolio Cost
Calls with strikes 80 and 100 trade at 22 and 8. You want a static portfolio of these two calls whose payoff dominates that of a strike-90 call in every terminal state. What is the minimum cost of such a dominating (super-replicating) portfolio?
打开 →题目1971 · 数学
Cheapest Two-Book Hedge 1
Two hedge books carry different quadratic slippage penalties but must deliver one joint exposure target. Minimize L(x,y) = 1x^2 + 4y^2 subject to 1x + 2y = 10.
打开 →题目1973 · 数学
How the Cheap Book Gets More Size 3
In the problem min a x^2 + b y^2 subject to x+y=c, which book gets the larger allocation when a<b, and why?
打开 →题目3351 · 数学
Weighted Quadratic with Cheap x and Expensive y
Minimize $1x^2+3y^2$ subject to $x+y\ge 4$. Find $(x^*,y^*)$ and the KKT multiplier.
打开 →题目3937 · 金融与交易
Why American Flexibility Often Looks Cheap Until It Suddenly Matters
Why can the extra flexibility of an American option look irrelevant most of the time and then matter a lot in a narrow set of states?
打开 →题目5836 · 金融与交易
A dealer quotes a single ask price A for a stock whose value
A dealer quotes a single ask price A for a stock whose value V is uniformly distributed on [40, 60]. An informed counterparty buys only when V > A (the quote is too cheap). Conditional on getting filled at ask A, what is the expected true value of the stock, and what does this im
打开 →题目3901 · 金融与交易
Covered Arbitrage Direction 1
Spot is 1.1, the domestic rate is 4.00%, the foreign rate is 1.00%, maturity is 1 years, and the market forward is 1.16 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notion
打开 →题目3902 · 金融与交易
Covered Arbitrage Direction 2
Spot is 145, the domestic rate is 2.00%, the foreign rate is 0.50%, maturity is 0.5 years, and the market forward is 144.5 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency not
打开 →题目3904 · 金融与交易
Covered Arbitrage Direction 4
Spot is 1.35, the domestic rate is 1.00%, the foreign rate is 4.00%, maturity is 1.5 years, and the market forward is 1.26 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency not
打开 →题目3905 · 金融与交易
Covered Arbitrage Direction 5
Spot is 109, the domestic rate is 1.50%, the foreign rate is 0.50%, maturity is 1 years, and the market forward is 111 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notiona
打开 →题目4839 · 数理金融
Rates Option First Diagnostic 24
Before saying a cap is 'cheap,' what should you check first about the quote?
打开 →题目083 · 概率
The Necktie Paradox
Two players, Alice and Bob, each receive a necktie as a gift. The prices of the two neckties are different positive values. Neither player knows either price. They agree to compare: whoever has the cheaper necktie wins the other's necktie. Alice reasons: 'If my necktie costs $x$,
打开 →题目2120 · 数理金融
Variance-Swap Modeling Intuition 25
Why does a capped variance swap usually trade cheaper than an uncapped one with the same strike?
打开 →题目3986 · 金融与交易
Why Averaging Changes the Option So Much
Why is an average-price Asian option usually cheaper than the matching vanilla option?
打开 →题目4137 · 金融与交易
Why Passive Orders Can Still Lose Money
Why is it wrong to think that passive orders are always cheap just because they do not cross the spread?
打开 →题目5390 · 金融与交易
Why Price Improvement Is Not Enough
A trade executes inside the NBBO and gets price improvement. Why is that not enough to conclude the trade was cheap?
打开 →题目5188 · 金融与交易
Why Reverse Cash-And-Carry Exists
Why is reverse cash-and-carry the mirror image of ordinary cash-and-carry when forwards are too cheap?
打开 →题目5695 · 脑筋急转弯
Turning Turtles (Coin-Turning Game)
Turning Turtles is a coin-turning game on a row of coins numbered 1, 2, 3, ... A move chooses a coin showing HEADS at some position k, turns it to TAILS, and simultaneously turns over EXACTLY ONE other coin at a position j < k (to either face). The player who cannot move (all tai
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