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Consider the equation below that gives interest rate dynamics in a setting where the time axis [0, T] is subdivided into it equal intervals, each of length ?:rt+? = rt + αrt + σt(Wt+? - Wt) + σ2(Wt - Wt-?)where the random error terms?Wt = (Wt+? - Wt) are distributed normally as?Wt ≈ N (0,√(?)).(a) Explain the structure of the error terms in this equation. In particular, do you find it plausible that ?Wt-? may enter the dynamics of observed interest rates?(b) Can you write a stochastic differential equation that will be the analog of this in continuous time? What is the difficulty?(e) Now suppose you know, in addition, that long-term interest rates, R, move according to a dynamic given byRt+? = Rt + βrt + θ1(Wt+? - Wt) + θ2(Wt - Wt-?),where we also know the covariance:E[?W?W] = ρ?.Can you write a representation for the vector processsuch that Xt is a first-order Markov?(d) Can you write a continuous lime equivalent of this system?(e) Suppose short or long rates are individually non-Markov. Is it possible that they are jointlyso?
What components of stockholders' equity do each of the companies disclose? Do the companies have preferred stock shares outstanding? If so, what special features do these shares contain? Do either of the companies report treasury shares? If so, do th..
the goodman industries and landry incorporateds stock prices and dividends along with the marketindex are shown below.
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Calculation of Average Collection Period and Return on Equity - Evaluate how Spectrum's financial performance compares to their Industry for each calculated ratio. It is sufficient to rate each ratio as "G"= good, "S" = satisfactory, or "P" = poor.
List the project team members and stakeholders (at least 4) that can be utilized to assist in identifying risks. What risk identification techniques will you utilize, and why do you believe that these will work best for your Key Assignment project..
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One month before she died on April 14, 2002, Violet Isaacson (Jeanne's mother) gave Jeanne collection of coin.
Diamond window corporations sales, half of which are for cash, March April May $140,000 $240,000 160,000 a. Estimate diamonds cash receipts in May if the companys collection period is 60days. b. Estimate Diamonds cash receipts in May if the companys ..
Five year project Pre-startup costs of new equpment(assume 5 uear SL) $ 200,000 Investment in market research, done last year $ 100,000 Incremental sales revenue( Year 1-5) $ 750,000 Gross Margin on..
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