Primer Contest 2
Duration
1h 0m
Problems
5
Total difficulty
7500
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | 5-year bond duration 3.5 years A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | bondsdurationapproximation | |
| ✓ | B | Arbitrage with calls and puts at three strikes A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 1 · Calculus review. Options | optionsbutterflypayoff | |
| ✓ | C | Linear recursion x_{n+1} = 3x_n + 2 A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 0 · Mathematical preliminaries | recursioncharacteristic-polynomial | |
| ✓ | D | 5-year bond price change A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 5 · Taylor's formula. Taylor series | bondsdurationconvexity | |
| ✓ | E | Newton's method 2D F(x,y) = 0 A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 8 · Lagrange multipliers. Newton's method. Implied volatility. Bootstrapping | newtonmultivariablefinite-difference |