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| Section | Objectives |
|---|---|
| Probability and Statistics Foundations | - Random variables and probability distributions
|
| Stochastic Processes and Time Series | - Stochastic processes basics
|
| Simulation and Numerical Methods | - Monte Carlo simulation
|
| Risk Measurement Techniques | - Value at Risk (VaR)
|
In a binomial tree lattice, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of . The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. The risk neutral probability for an up move is:
Correct Answer: A 🗳️
I have $5m to invest in two stocks: 75% of my capital is invested in stock 1 which has price 100 and the rest is invested in stock 2, which has price 125. If the price of stock 1 falls to 90 and the price of stock 2 rises to 150, what is the return on my portfolio?
Correct Answer: D 🗳️
The correlation between two asset returns is 0.5. What is the largest eigenvalue of their correlation matrix?
Correct Answer: B 🗳️
What is the total derivative of the function f(x,y) = ln(x+y), where ln() denotes the natural logarithmic function?
Correct Answer: D 🗳️
The fundamental theorem of analysis establishes a relation between
Correct Answer: B 🗳️
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