Primer Contest 8
Duration
1h 0m
Problems
5
Total difficulty
7400
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | Sum of normal random variables A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 4 · Lognormal random variables. Risk-neutral pricing | probabilitynormalsum | |
| ✓ | B | Integral of (x^2 - 2y) on parabola region A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | calculusdouble-integral | |
| ✓ | C | Cauchy-Schwarz inequality A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 3 · Probability concepts. Black-Scholes formula. Greeks and Hedging | probabilityinequalitiescauchy-schwarz | |
| ✓ | D | Greeks of 6-month call from finite differences A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | finite-differencegreeksdeltagammavega | |
| ✓ | E | Mean-variance optimal portfolio A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 8 · Lagrange multipliers. Newton's method. Implied volatility. Bootstrapping | portfolio-optimizationlagrangemean-variance |