[2008] Topic 1: All the Math You Need... And No More 相关习题

aianjie

AIM 1: Understand the natural logarithm, differentiation and Taylor series, and distinguish between expectation and variance.

 

 

1、Consider a portfolio of derivatives on fixed income securities and interest rates. If a Taylor Series approximation is used to estimate the delta normal value at risk for the individual derivatives in the portfolio, which of the following positions will have a substantially improved estimate of value at risk?

1. Interest rate cap on 3-month LIBOR
2. Forward rate agreement on 6-month LIBOR
3. 6-month call option on Treasury bonds

A) I and III.

B) III only.

C) II only.

D) I and II.

serenevein

 好 好 有看有推...

dobino

嘿嘿，谢谢楼主

binnu

顶

sarui

好帖子

maliya

呵呵，谢谢

Jarvia

谢谢！[em78]

aianjie

4、The correct Answer is C

 

All of the statements are correct.

aianjie

3、The correct Answer is A

 

The Taylor series is useful in that it provides an accurate approximation to a function as an infinite, not finite, sum of derivative values.

aianjie

4、Expected values have properties that can be useful to know. Which of the following properties are correct concerning expected values?

1. Expected value of a constant times a random variable is the constant times the expected value of the random variable.
2. Expected value of the sum of random variables is the sum of the expected value of the random variables.
3. If the random variables are independent of each other then the expected value of the product of random variables is the product of the expected values.

A) I and III.

B) I and II.

C) I, II, and III.

D) None are correct.