Problemset
23 / 689 problems
Filters
| # | Name | Tags | Difficulty | Solved by | |
|---|---|---|---|---|---|
| ✓ | dn_s26_q011 | Why (dW)^2 = dt 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q012 | Expectation of W*dW 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q013 | Variance of W*dW 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q014 | Ito integrals of W and W^2 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q015 | Distribution of integral of t dW 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q016 | Mean and variance of integral W^2 dW 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q017 | Variance of stochastic integral with sqrt(t) 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q018 | E[e^(cW_t)] 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q019 | Variance of integral with deterministic integrand 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q020 | X_t = integral W^2 ds martingale? 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q021 | Ito process 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q022 | Ito's lemma 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q023 | X_t = W_t^3 - 3tW_t martingale check 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q024 | N_t = W_t^2 - 2tW_t martingale? 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q025 | Girsanov's theorem 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q026 | Martingale representation theorem 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q027 | Solve dX = (a + bX)dt + sdW 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q028 | Solve two SDEs 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q029 | Heston model 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q031 | 2D BM hitting line and inner/outer circle 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | dn_s26_q032 | Density under change of measure 150 Most Frequently Asked Questions on Quant Interviews (Stefanica, Radoicic, Wang) · Ch 2 · Questions | x0 | ||
| ✓ | rb_ch02_q029 | Integral of w(t) dt Brownian Red Book (Heard on the Street) · Ch 2 · Derivatives Questions | x0 | ||
| ✓ | rb_ch02_q030 | Integral of w(t) dw(t) Brownian Red Book (Heard on the Street) · Ch 2 · Derivatives Questions | x0 |