Primer Contest 22
Duration
1h 0m
Problems
5
Total difficulty
7500
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | Buy 1000 calls strike 90 hedging delta A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 3 · Probability concepts. Black-Scholes formula. Greeks and Hedging | optionsdelta-hedginglognormal | |
| ✓ | B | Taylor approximations of sqrt(1+x) and e^x A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 1 · Calculus review. Options | calculustaylorlhopital | |
| ✓ | C | Yield of 2-year semiannual coupon bond A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | bondsyield | |
| ✓ | D | Butterfly spread payoff and limit A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | optionsbutterflylimitsarrow-debreu | |
| ✓ | E | Central finite difference of f at a third derivative A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | finite-differencecentralhigher-order |