A measure of market impact cost from Kyle (1985), which can be interpreted as the cost of demanding a certain amount of liquidity over a given time period.
A simple test for the random walk hypothesis of prices and efficient market.
This note briefly explains what's the minimum variance hedge ratio and how to derive it in a cross hedge, where the asset to be hedged is not the same as underlying asset.
Suppose today the stock price is \(S\) and in one year time, the stock price could be either \(S_1\) or \(S_2\). You hold an European call option on this stock with an exercise price of \(X=S\), where \(S_1<X<S_2\) for simplicity. So you'll exercise the call when the stock price turns out to be \(S_2\) and leave it unexercised if \(S_1\).
This note is just to show that the different variants of Black-Scholes formula in textbook and tutorial solutions are in fact the same.
Beta is a measure of market risk. This post tries to explain the unlevered and levered betas.