8007 Questions and Answers

A typical leptokurtotic distribution can be described as a distribution that is relative to a normal distribution

If the annual volatility of returns is 25% what is the variance of the quarterly returns?

Kurtosis(X) is defined as the fourth centred moment of X, divided by the square of the variance of X. Assuming X is a normally distributed variable, what is Kurtosis(X)?

I have a portfolio of two stocks. The weights are equal. The one volatility is 30% while the other is 40%. The minimum and maximum possible values of the volatility of my portfolio are:

I have a portfolio of two stocks. The weights are 60% and 40% respectively, the volatilities are both 20%, while the correlation of returns is 100%. The volatility of my portfolio is

If a random variable X has a normal distribution with mean zero and variance 4, approximately what proportion of realizations of X should lie between -4 and +4?

Consider two functions f(x) and g(x) with indefinite integrals F(x) and G(x), respectively. The indefinite integral of the product f(x)g(x) is given by

Evaluate the derivative of exp(x2 + 2x + 1) at the point x = -1

Which of the following properties is exhibited by multiplication, but not by addition?

Which of the following statements concerning class intervals used for grouping of data is correct?

When grouping data, attention must be paid to the following with regards to class intervals:

1. Class intervals should not overlap

2. Class intervals should be of equal size unless there is a specific need to highlight data within a specific subgroup

3. The class intervals should be large enough so that they not obscure interesting variation within the group

When calculating the implied volatility from an option price we use the bisection method and know initially that the volatility is somewhere between 1% and 100%. How many iterations do we need in order to determine the implied volatility with accuracy of 0.1%?

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?

I have a portfolio of two stocks. The weights are 60% and 40% respectively, the volatilities are both 20%, while the correlation of returns is 50%. The volatility of my portfolio is

Let A be a square matrix and denote its determinant by x. Then the determinant of A transposed is: