Primer Contest 18
Duration
1h 0m
Problems
5
Total difficulty
7400
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | Two coins, two heads with probability p and 1-p A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 3 · Probability concepts. Black-Scholes formula. Greeks and Hedging | probabilitygeometricexpected-value | |
| ✓ | B | Risk-neutral pricing function A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | calculusrisk-neutralleibniz | |
| ✓ | C | Double integral over triangular region A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 7 · Multivariable calculus: chain rule, integration by substitution, extrema. Barrier options | multivariabledouble-integralchange-of-variables | |
| ✓ | D | Index futures arbitrage 8% dividend A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 1 · Calculus review. Options | futuresarbitragecost-of-carry | |
| ✓ | E | Calibrate binomial to lognormal A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 4 · Lognormal random variables. Risk-neutral pricing | binomial-treelognormalcalibrationcrr |