Primer Contest 9
Duration
1h 0m
Problems
5
Total difficulty
7400
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | Binomial expected value over interval A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 4 · Lognormal random variables. Risk-neutral pricing | binomial-treeexpected-valuerisk-neutral | |
| ✓ | B | Derivative for plain vanilla call delta A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | calculusleibnizdelta | |
| ✓ | C | Put delta from call delta A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 3 · Probability concepts. Black-Scholes formula. Greeks and Hedging | optionsgreeksrhoput-call-parity | |
| ✓ | D | Gamma of plain vanilla call as function of S A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 7 · Multivariable calculus: chain rule, integration by substitution, extrema. Barrier options | optionsgammamaxima | |
| ✓ | E | Bootstrap zero rate curve from T-bills and bonds A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 8 · Lagrange multipliers. Newton's method. Implied volatility. Bootstrapping | bootstrappingzero-rateyield-curve |