u****g
发帖数: 402 | 1 大家讨论一下下面的几道题目
6.Tell me about short sell. How to hold a short position in stock
without using stock.
(I go: bla bla bla)
Follow up：you can use call and put to synthesize stock. What is the
cash flow? positive?negative?
I go: positive
Follow up: They can actually have positive cash in. Why do they come
to us and borrow stock to short sell?
20. Given a random generator that generates X according to cdf F(x).
Based on this generator, design another generator that generates Y
following F(y)^2 (no acceptance/rejection)
23. Given observed market rate curves, how to tell, by looking at the
pattern, if one-factor model works better or two-factor model.
34. dy/dx = y+x+y/x |
x******a
发帖数: 6336 | 2 34. let z=y/x
【在 u****g 的大作中提到】
: 大家讨论一下下面的几道题目
: 6.Tell me about short sell. How to hold a short position in stock
: without using stock.
: (I go: bla bla bla)
: Follow up：you can use call and put to synthesize stock. What is the
: cash flow? positive?negative?
: I go: positive
: Follow up: They can actually have positive cash in. Why do they come
: to us and borrow stock to short sell?
: 20. Given a random generator that generates X according to cdf F(x).
|
x******a
发帖数: 6336 | 3 20. do it twice, consider product?
大家讨论一下下面的几道题目
6.Tell me about short sell. How to hold a short position in stock
without using stock.
(I go: bla bla bla)
Follow up：you can use call and put to synthesize stock. What is the
cash flow? positive?negative?
I go: positive
Follow up: They can actually have positive cash in. Why do they come
to us and borrow stock to short sell?
20. Given a random generator that generates X according to cdf F(x).
Based on this generator, design another generator that generates Y
following F(y)^2 (no acceptance/rejection)
23. Given observed market rate curves, how to tell, by looking at the
pattern, if one-factor model works better or two-factor model.
34. dy/dx = y+x+y/x
【在 u****g 的大作中提到】
: 大家讨论一下下面的几道题目
: 6.Tell me about short sell. How to hold a short position in stock
: without using stock.
: (I go: bla bla bla)
: Follow up：you can use call and put to synthesize stock. What is the
: cash flow? positive?negative?
: I go: positive
: Follow up: They can actually have positive cash in. Why do they come
: to us and borrow stock to short sell?
: 20. Given a random generator that generates X according to cdf F(x).
|
p********6
发帖数: 1802 | 4 keep the max of the two?
【在 x******a 的大作中提到】
: 20. do it twice, consider product?
:
: 大家讨论一下下面的几道题目
: 6.Tell me about short sell. How to hold a short position in stock
: without using stock.
: (I go: bla bla bla)
: Follow up：you can use call and put to synthesize stock. What is the
: cash flow? positive?negative?
: I go: positive
: Follow up: They can actually have positive cash in. Why do they come
|
s*******0
发帖数: 3461 | 5 F的反函数(sqrt(u))?
since x 是f的反函数(u)这么产生的
这里 u是(0,1)随机数
【在 x******a 的大作中提到】
: 20. do it twice, consider product?
:
: 大家讨论一下下面的几道题目
: 6.Tell me about short sell. How to hold a short position in stock
: without using stock.
: (I go: bla bla bla)
: Follow up：you can use call and put to synthesize stock. What is the
: cash flow? positive?negative?
: I go: positive
: Follow up: They can actually have positive cash in. Why do they come
|
s*******0
发帖数: 3461 | 6 展开说一下啊？
【在 x******a 的大作中提到】
: 34. let z=y/x
|
s*******0
发帖数: 3461 | 7 23 看是否线性的？
【在 s*******0 的大作中提到】
: F的反函数(sqrt(u))?
: since x 是f的反函数(u)这么产生的
: 这里 u是(0,1)随机数
|
r**a
发帖数: 536 | 8 一个factor的rate curve应该是近似乎平行于x轴的直线。第二个factor应该给出
upward slope, 第三个给出hump-shape。这样来看，似乎有下面结论：
1. 如果curve是平行于x轴的，那么就用1factor model
2. 如果curve不平行于x轴，而且是upward，没有hump就用2factor model
3. 如果curve有hump，就用3factor model.
哪位大牛来说一下上面的结论是否正确？
【在 s*******0 的大作中提到】
: 23 看是否线性的？
|
d*j
发帖数: 13780 | 9 我也是这样想的。。。。 不知道对不对
【在 r**a 的大作中提到】
: 一个factor的rate curve应该是近似乎平行于x轴的直线。第二个factor应该给出
: upward slope, 第三个给出hump-shape。这样来看，似乎有下面结论：
: 1. 如果curve是平行于x轴的，那么就用1factor model
: 2. 如果curve不平行于x轴，而且是upward，没有hump就用2factor model
: 3. 如果curve有hump，就用3factor model.
: 哪位大牛来说一下上面的结论是否正确？
|
L**********u
发帖数: 194 | 10 6, Long put+ short call,
Both of them are ATM and have the same maturity,
you will have cash flow in S(1-e^{-rT}).
34, y=(ce^x-1)x.
【在 u****g 的大作中提到】
: 大家讨论一下下面的几道题目
: 6.Tell me about short sell. How to hold a short position in stock
: without using stock.
: (I go: bla bla bla)
: Follow up：you can use call and put to synthesize stock. What is the
: cash flow? positive?negative?
: I go: positive
: Follow up: They can actually have positive cash in. Why do they come
: to us and borrow stock to short sell?
: 20. Given a random generator that generates X according to cdf F(x).
|
|
|
r**a
发帖数: 536 | 11 I doubt your answer of question 6. See http://www.options-university.com/PDF/1/SyntheticPositions.pdf
Actually, we can use put and call to exactly replicate the stock position.
Because its profit is exactly the same as the actual stock, so you may lose
some money in some case. But you always can long the stock and short the
synthetic options or short the stock and long the synthetic options in order
to make an arbitrage opportunity. This might be able to answer the
interviewer's last question "They can actually have positive cash in. Why do
they come to us and borrow stock to short sell?"
If I am wrong, please correct me.
【在 L**********u 的大作中提到】
: 6, Long put+ short call,
: Both of them are ATM and have the same maturity,
: you will have cash flow in S(1-e^{-rT}).
: 34, y=(ce^x-1)x.
|
T*******t
发帖数: 9274 | 12 it's a wrong question...
【在 r**a 的大作中提到】
: 一个factor的rate curve应该是近似乎平行于x轴的直线。第二个factor应该给出
: upward slope, 第三个给出hump-shape。这样来看，似乎有下面结论：
: 1. 如果curve是平行于x轴的，那么就用1factor model
: 2. 如果curve不平行于x轴，而且是upward，没有hump就用2factor model
: 3. 如果curve有hump，就用3factor model.
: 哪位大牛来说一下上面的结论是否正确？
|
q*******k
发帖数: 1103 | 13 20. should take sqrt of F(x) of the generated cdf then,right?
【在 x******a 的大作中提到】
: 20. do it twice, consider product?
:
: 大家讨论一下下面的几道题目
: 6.Tell me about short sell. How to hold a short position in stock
: without using stock.
: (I go: bla bla bla)
: Follow up：you can use call and put to synthesize stock. What is the
: cash flow? positive?negative?
: I go: positive
: Follow up: They can actually have positive cash in. Why do they come
|
r**a
发帖数: 536 | 14 Why is it a wrong question?
【在 T*******t 的大作中提到】
: it's a wrong question...
|
s*******0
发帖数: 3461 | 15 34 怎么算出来的？
【在 L**********u 的大作中提到】
: 6, Long put+ short call,
: Both of them are ATM and have the same maturity,
: you will have cash flow in S(1-e^{-rT}).
: 34, y=(ce^x-1)x.
|
r**a
发帖数: 536 | 16 let z=y/x. then dz/dx=z+1. Then z=ce^x-1. Then y=xz=x(ce^x-1).
【在 s*******0 的大作中提到】
: 34 怎么算出来的？
|
x*****i
发帖数: 287 | 17 Yes
【在 p********6 的大作中提到】
: keep the max of the two?
|
L**********u
发帖数: 194 | 18 谢谢，掉到陷阱里了。
strike 应该比S稍小一点。
仔细画一下图就可以看出来了。
谢谢rrua的提醒。
lose
order
do
【在 r**a 的大作中提到】
: I doubt your answer of question 6. See http://www.options-university.com/PDF/1/SyntheticPositions.pdf
: Actually, we can use put and call to exactly replicate the stock position.
: Because its profit is exactly the same as the actual stock, so you may lose
: some money in some case. But you always can long the stock and short the
: synthetic options or short the stock and long the synthetic options in order
: to make an arbitrage opportunity. This might be able to answer the
: interviewer's last question "They can actually have positive cash in. Why do
: they come to us and borrow stock to short sell?"
: If I am wrong, please correct me.
|
s*******0
发帖数: 3461 | 19 thank
这个才是 传到授业解惑的典范啊
【在 r**a 的大作中提到】
: let z=y/x. then dz/dx=z+1. Then z=ce^x-1. Then y=xz=x(ce^x-1).
|
L**********u
发帖数: 194 | 20 任何一本常微的前20页一定会讲这种方程的解法。
自己找本书看也不是什么难事呀，呵呵 |
|
|
s*******0
发帖数: 3461 | 21 懒
【在 L**********u 的大作中提到】
: 任何一本常微的前20页一定会讲这种方程的解法。
: 自己找本书看也不是什么难事呀，呵呵
|
u****g
发帖数: 402 | 22 糊涂了，short a call, long a put at strike 不是刚好replicate payoff at
maturity. 为啥stike要小一点？
【在 L**********u 的大作中提到】
: 谢谢，掉到陷阱里了。
: strike 应该比S稍小一点。
: 仔细画一下图就可以看出来了。
: 谢谢rrua的提醒。
:
: lose
: order
: do
|
L**********u
发帖数: 194 | 23 我说的是call 和put 有相同的strike，但是strike要不当前的stock price 小一点
具体可以算出来，K=S_0-(c-p).
如果我错了，请提醒一下。
谢谢
【在 u****g 的大作中提到】
: 糊涂了，short a call, long a put at strike 不是刚好replicate payoff at
: maturity. 为啥stike要小一点？
|
s*******0
发帖数: 3461 | 24 这里的k是不是需要贴现？
p-c parity? |
L**********u
发帖数: 194 | 25 恩，就是p-c parity得到的。
画个图就看出来了。
【在 s*******0 的大作中提到】
: 这里的k是不是需要贴现？
: p-c parity?
|
q*******k
发帖数: 1103 | 26 there's a y/x in dy/dx, are you missing that to get dz/dx = z+1?
【在 r**a 的大作中提到】
: let z=y/x. then dz/dx=z+1. Then z=ce^x-1. Then y=xz=x(ce^x-1).
|
r**a
发帖数: 536 | 27 我觉得那个题可能着重考察对于synthetic stock赚钱机制的理解。对于stock来说，我
们可以直接用put and call replicate，但未啥仍然需要买卖stock呢？
【在 L**********u 的大作中提到】
: 我说的是call 和put 有相同的strike，但是strike要不当前的stock price 小一点
: 具体可以算出来，K=S_0-(c-p).
: 如果我错了，请提醒一下。
: 谢谢
|
T*******t
发帖数: 9274 | 28 因为option的bid-ask spread比stock的大呗...
【在 r**a 的大作中提到】
: 我觉得那个题可能着重考察对于synthetic stock赚钱机制的理解。对于stock来说，我
: 们可以直接用put and call replicate，但未啥仍然需要买卖stock呢？
|
s*******0
发帖数: 3461 | 29 是对的
复习了一下 常微分
let y=ux, then dy/dx=xdu+u
so: xdu+u=x+ux+u
so: xdu=x+ux
so: du=u+1
then 和前面的那位同志做法一样， 也算是分离变量法的一种 |
r**a
发帖数: 536 | 30 check it by yourself. Do not be so lazy.
【在 q*******k 的大作中提到】
: there's a y/x in dy/dx, are you missing that to get dz/dx = z+1?
|
|
|
r**a
发帖数: 536 | 31 U said the question 23 itself is wrong. Can u tell more about it? Why is it
wrong?
【在 T*******t 的大作中提到】
: 因为option的bid-ask spread比stock的大呗...
|
L**********u
发帖数: 194 | 32 哎，这种数学的写法，让人佩服！
【在 s*******0 的大作中提到】
: 是对的
: 复习了一下 常微分
: let y=ux, then dy/dx=xdu+u
: so: xdu+u=x+ux+u
: so: xdu=x+ux
: so: du=u+1
: then 和前面的那位同志做法一样， 也算是分离变量法的一种
|
s*******0
发帖数: 3461 | |
T*******t
发帖数: 9274 | 34 因为光看curve看不出来啊...
我大概可以猜出他想问的是啥...但他的 model也太简单了...
it
【在 r**a 的大作中提到】
: U said the question 23 itself is wrong. Can u tell more about it? Why is it
: wrong?
|
T*******t
发帖数: 9274 | 35 牛顿从英国发来贺电...
【在 s*******0 的大作中提到】
: 是对的
: 复习了一下 常微分
: let y=ux, then dy/dx=xdu+u
: so: xdu+u=x+ux+u
: so: xdu=x+ux
: so: du=u+1
: then 和前面的那位同志做法一样， 也算是分离变量法的一种
|
r**a
发帖数: 536 | 36 不要说半截话呀。你能说说他想问啥吗？另外，为啥从curve上看不出来呢？我给出的
那个答案哪里有问题吗？如果curve上看不出来，那么根据什么来选取factor的个数呢？
【在 T*******t 的大作中提到】
: 因为光看curve看不出来啊...
: 我大概可以猜出他想问的是啥...但他的 model也太简单了...
:
: it
|
x*****i
发帖数: 287 | 37 It is an interesting question.
There is however an advantage that by using options, your leverage is kind
of high.
That's why people sometimes would like to use option synthetic?
Thanks :)
【在 T*******t 的大作中提到】
: 因为option的bid-ask spread比stock的大呗...
|
s*******0
发帖数: 3461 | 38 my pleasure
【在 T*******t 的大作中提到】
: 牛顿从英国发来贺电...
|
j*******a
发帖数: 101 | |
s*******0
发帖数: 3461 | |
