Let N(.) denote the cumulative distribution function and suppose that X and Y are standard normally distributed and uncorrelated. Using the fact that N(1.96)=0.975, the probability that X ≤ 0 and Y ≤ 1.96 is approximately

Stress testing portfolios requires changing the asset volatilities and correlations to extreme values. Which of the following would lead to a non positive definite covariance matrix?

The Lagrangian of a constrained optimisation problem is given by L(x,y,λ) = 16x+8x2+4y-λ(4x+y-20), where λ is the Lagrange multiplier. What is the solution for x and y?

A 2-step binomial tree is used to value an American put option with strike 104, given that the underlying price is currently 100. At each step the underlying price can move up by 20% or down by 20% and the risk-neutral probability of an up move is 0.55. There are no dividends paid on the underlying and the discretely compounded risk free interest rate over each time step is 2%. What is the value of the option in this model?

The fundamental theorem of analysis establishes a relation between

If a time series has to be differenced twice in order to be transformed into a stationary series, the original series is said to be:

You are investigating the relationship between weather and stock market performance. To do this, you pick 100 stock market locations all over the world. For each location, you collect yesterday ' s mean temperature and humidity and yesterday ' s local index return. Performing a regression analysis on this data is an example of…

Your stockbroker randomly recommends stocks to his clients from a tip sheet he is given each day. Today, his tip sheet has 3 common stocks and 5 preferred stocks from Asian companies and 3 common stocks and 5 preferred stocks from European companies. What is the probability that he will recommend a common stock AND/OR a European stock to you when you call and ask for one stock to buy today?

Evaluate the derivative of exp(x2 + 2x + 1) at the point x = -1

Evaluate the derivative of ln(1+ x2) at the point x = 1