You invest $2m in a bank savings account with a constant interest rate of 5% p.a. What is the value of the investment in 2 years time if interest is compounded quarterly?
A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Modified Duration of the bond?
In a 2-step binomial tree, at each step the underlying price can move up by a factor of u = 1.1 or down by a factor of d = 1/u. The continuously compounded risk free interest rate over each time step is 1% and there are no dividends paid on the underlying. Use the Cox, Ross, Rubinstein parameterization to find the risk neutral probability and hence find the value of a European put option with strike 102, given that the underlying price is currently 100.
Let N(.) denote the cumulative distribution function and suppose that X and Y are standard normally distributed and uncorrelated. Using the fact that N(1.96)=0.975, the probability that X ≤ 0 and Y ≤ 1.96 is approximately
Which of the following statements are true about Maximum Likelihood Estimation?
(i) MLE can be applied even if the error terms are not i.i.d. normal.
(ii) MLE involves integrating a likelihood function or a log-likelihood function.
(iii) MLE yields parameter estimates that are consistent.
What is the indefinite integral of the function f(x) = ln(x), where ln(x) denotes the natural logarithmic function?
Exploring a regression model for values of the independent variable that have not been observed is most accurately described as…
What can be said about observations of random variables that are i.i.d. a normally distributed?
If a time series has to be differenced twice in order to be transformed into a stationary series, the original series is said to be:
TESTED 22 Feb 2025
