8002 Practice Questions

A.  

1 / (x+y)

B.  

(∆x + ∆y) / (x+y)

C.  

-∆x/(x+y) - ∆y/(x+y)

D.  

ln(x+y) ∆x + ln(x+y) ∆y

A.  

Finding parameter estimates of a given density function

B.  

Estimating the solution of a partial differential equation

C.  

Solving a portfolio optimization problem

D.  

Estimating the implied volatility of a simple European option

A.  

the change in price (dS) is normally distributed

B.  

1/S is normally distributed

C.  

ln(dS/S) is normally distributed

D.  

ln(1+dS/S) is normally distributed

A.  

One dependent variable, many independent variables, one error variable

B.  

Many dependent variables, one independent variable, one error variable

C.  

One dependent variable, one independent variable, many error variables

D.  

Many dependent variables, many independent variables, many error variables

A.  

0.02

B.  

0.14

C.  

0.25

D.  

0.50

A.  

A technique that is applied in regression models to improve the accuracy of the coefficient estimates

B.  

A numerical method for finding portfolio weights to minimize the variance of a portfolio that has a given expected return

C.  

A numerical method for finding the variance of the underlying that is implicit in a market price of an option

D.  

A method for reducing the number of simulations required in a Monte Carlo simulation

A.  

F(x)G(x)

B.  

F(x)g(x) + f(x)G(x)

C.  

F(x)g(x) - ∫F(x)g'(x)dx

D.  

f(x)G(x) - ∫F(x)g'(x)dx

A.  

90 degrees

B.  

180 degrees

C.  

57 degrees

D.  

45 degrees

A.  

peaked and thin at the center and with heavy (fat) tails

B.  

peaked and thin at the center and with thin tails

C.  

flat and thick at the center and with heavy (fat) tails

D.  

flat and thick at the center and with thin tails