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| # | Name | Tags | Difficulty | Solved by | |
|---|---|---|---|---|---|
| ✓ | dn_s21_q015 | Derive Black-Scholes PDE 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | gb_ch06_q005 | Black-Scholes-Merton differential equation Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q008 | Derive Black-Scholes by solving the PDE Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch07_q022 | Finite difference methods Green Book · Ch 7 · Algorithms and Numerical Methods | x0 | ||
| ✓ | pr_ch01_q010 | Heat equation solution u(x,t) A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 1 · Calculus review. Options | x0 | ||
| ✓ | pr_ch06_q010 | Plain vanilla call satisfies BS PDE A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch06_q011 | Forward contract value f(S, t) satisfies BS PDE A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 6 · Finite Differences. Black-Scholes PDE | x0 | ||
| ✓ | pr_ch07_q004 | 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 | x0 | ||
| ✓ | pr_ch07_q005 | Show boundary condition satisfied A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 7 · Multivariable calculus: chain rule, integration by substitution, extrema. Barrier options | x0 | ||
| ✓ | pr_ch07_q006 | Asian option PDE change of variables A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 7 · Multivariable calculus: chain rule, integration by substitution, extrema. Barrier options | x0 |