Illustrates example of mathematics in Quantitative Finance
Give an example of different types of mathematics found in Quantitative Finance?
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Example of different types of mathematics found in Quantitative Finance:
For option pricing the classical model can be written as a partial differential equation. Though, the same model also has a probabilistic interpretation in form of expectations.
Explain the term Serial Autocorrelation.
Given: price of Nokia shares on the Helsinki stock exchange=12 euros, exchange rate=$1.3/euro, price of the ADR on the NYSE=$15 and each foreign share translates into 1 ADR. Show the actions you would take to make risk free arbitrage profits.
Explain the concept of the risk–return relationship.
What happens if the correlation coefficient for two variables is -1 or 0 or +1?
How is absolute risk aversion function defined?
What are the Greeks?
What is volatility in finance?
Describe long position in a futures (or forward) contract?A futures (or forward) contract is a vehicle for purchasing or selling a stated amount of foreign exchange at a stated price per unit at a particular time in the future. If the long hold
Explain the term FIGARCH as of the GARCH’s family.
Define agent and his responsibilities.
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