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| Section | Objectives |
|---|---|
| Risk Measurement Techniques | - Value at Risk (VaR)
|
| Stochastic Processes and Time Series | - Time series analysis
|
| Simulation and Numerical Methods | - Monte Carlo simulation
|
| Probability and Statistics Foundations | - Statistical inference
|
The sum of the infinite series 1+1/2+1/3+1/4+1/5+.... equals:
An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101.
Approximate the value of the option delta using a first order central finite difference.
What can be said about observations of random variables that are i.i.d. a normally distributed?
Let A be a square matrix and denote its determinant by x. Then the determinant of A transposed is:
Consider two securities X and Y with the following 5 annual returns:
X: +10%, +3%, -2%, +3%, +5%
Y: +7%, -2%, +3%, -5%, +10%
In this case the sample covariance between the two time series can be calculated as:
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