x******a
发帖数: 1 | 1 1，Sum seri - Sigma (N^2)/(3^N)
2, Two assets with same expected return but one has Vol.30% and the other 20
%; they are correlated 50%. How to allocate a fixed amount of money btw them
to minimize risk
3, Solve ODE y" + 2y' + y = 1
4, Wt is standard Brown motion. What is the SDE satified by (Wt)^3?
5, Matrix C = [1 a 0]
[b 1 4/5]
[0 4/5 1]
if C is correlation matrix, what're the conditions on a and b?
6, If stock price follows a normal diffusion dS = a*dt + b*dWt, what is the
vega of an at-the-money call option? What happens when limb -> infinity?
Same question if stock folow log-normal process | a********e
发帖数: 508 | 2 Q6 is kind of tricky. even the definition of vega is tricky
is the diffusion process given in a risk neutral world?
20
them
the
【在 x******a 的大作中提到】
: 1，Sum seri - Sigma (N^2)/(3^N)
: 2, Two assets with same expected return but one has Vol.30% and the other 20
: %; they are correlated 50%. How to allocate a fixed amount of money btw them
: to minimize risk
: 3, Solve ODE y" + 2y' + y = 1
: 4, Wt is standard Brown motion. What is the SDE satified by (Wt)^3?
: 5, Matrix C = [1 a 0]
: [b 1 4/5]
: [0 4/5 1]
: if C is correlation matrix, what're the conditions on a and b?
| w********n
发帖数: 59 | 3 ding
20
them
【在 x******a 的大作中提到】
: 1，Sum seri - Sigma (N^2)/(3^N)
: 2, Two assets with same expected return but one has Vol.30% and the other 20
: %; they are correlated 50%. How to allocate a fixed amount of money btw them
: to minimize risk
: 3, Solve ODE y" + 2y' + y = 1
: 4, Wt is standard Brown motion. What is the SDE satified by (Wt)^3?
: 5, Matrix C = [1 a 0]
: [b 1 4/5]
: [0 4/5 1]
: if C is correlation matrix, what're the conditions on a and b?
|
|
