Primer Contest 3
Duration
1h 0m
Problems
5
Total difficulty
7600
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | Numerical integration of sqrt(x) e^x A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | numerical-integrationmidpointtrapezoidalsimpson | |
| ✓ | B | Vanilla put with 30% vol, ATM A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 5 · Taylor's formula. Taylor series | tayloratm-approximationoptions | |
| ✓ | C | Long call short call same strike approximate Delta A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | optionsbullspreadlimitsdelta | |
| ✓ | D | Hedge european call w/ replicating portfolio A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 7 · Multivariable calculus: chain rule, integration by substitution, extrema. Barrier options | optionsintrinsic-valuetime-valuemaxima | |
| ✓ | E | Powerball expected payoff A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 4 · Lognormal random variables. Risk-neutral pricing | optionsexoticrisk-neutral |