Primer Contest 4
Duration
1h 0m
Problems
5
Total difficulty
7500
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | Sample average normal mean and var A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 4 · Lognormal random variables. Risk-neutral pricing | probabilitysample-meanvariance | |
| ✓ | B | Bond pricing with constant rate A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | bondspricingzero-rates | |
| ✓ | C | Forward difference approximation of f'(a) A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | finite-differenceforwardsecond-order | |
| ✓ | D | Lagrange extrema of f(x1, x2, x3) = 4x1 - 2x2 A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 8 · Lagrange multipliers. Newton's method. Implied volatility. Bootstrapping | lagrangeextremaconstrained-optimization | |
| ✓ | E | Heat equation transformation of BS PDE A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 7 · Multivariable calculus: chain rule, integration by substitution, extrema. Barrier options | pdeheat-equationchange-of-variables |