Calculus: Early Transcendentals
4th Edition
ISBN: 9781319050740
Author: Jon Rogawski, Colin Adams, Robert Franzosa
Publisher: W. H. Freeman
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Chapter 11.1, Problem 56E
To determine
To Express:The value of
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The OU process studied in the previous problem is a common model for interest rates.
Another common model is the CIR model, which solves the SDE:
dX₁ = (a = X₁) dt + σ √X+dWt,
-
under the condition Xoxo. We cannot solve this SDE explicitly.
=
(a) Use the Brownian trajectory simulated in part (a) of Problem 1, and the Euler
scheme to simulate a trajectory of the CIR process. On a graph, represent both the
trajectory of the OU process and the trajectory of the CIR process for the same
Brownian path.
(b) Repeat the simulation of the CIR process above M times (M large), for a large
value of T, and use the result to estimate the long-term expectation and variance
of the CIR process. How do they compare to the ones of the OU process?
Numerical application: T = 10, N = 500, a = 0.04, x0 = 0.05, σ = 0.01, M = 1000.
1
(c) If you use larger values than above for the parameters, such as the ones in Problem
1, you may encounter errors when implementing the Euler scheme for CIR. Explain
why.
#8 (a) Find the equation of the tangent line to y = √x+3 at x=6
(b) Find the differential dy at y = √x +3 and evaluate it for x=6 and dx = 0.3
Q.2 Q.4 Determine ffx dA where R is upper half of the circle shown below.
x²+y2=1
(1,0)
Chapter 11 Solutions
Calculus: Early Transcendentals
Ch. 11.1 - Prob. 1PQCh. 11.1 - Prob. 2PQCh. 11.1 - Prob. 3PQCh. 11.1 - Prob. 4PQCh. 11.1 - Prob. 5PQCh. 11.1 - Prob. 6PQCh. 11.1 - Prob. 7PQCh. 11.1 - Prob. 1ECh. 11.1 - Prob. 2ECh. 11.1 - Prob. 3E
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Prob. 54ECh. 11.1 - Prob. 55ECh. 11.1 - Prob. 56ECh. 11.1 - Prob. 57ECh. 11.1 - Prob. 58ECh. 11.1 - Prob. 59ECh. 11.1 - Prob. 60ECh. 11.1 - Prob. 61ECh. 11.1 - Prob. 62ECh. 11.1 - Prob. 63ECh. 11.1 - Prob. 64ECh. 11.1 - Prob. 65ECh. 11.1 - Prob. 66ECh. 11.1 - Prob. 67ECh. 11.1 - Prob. 68ECh. 11.1 - Prob. 69ECh. 11.1 - Prob. 70ECh. 11.1 - Prob. 71ECh. 11.1 - Prob. 72ECh. 11.1 - Prob. 73ECh. 11.1 - Prob. 74ECh. 11.1 - Prob. 75ECh. 11.1 - Prob. 76ECh. 11.1 - Prob. 77ECh. 11.1 - Prob. 78ECh. 11.1 - Prob. 79ECh. 11.1 - Prob. 80ECh. 11.1 - Prob. 81ECh. 11.1 - Prob. 82ECh. 11.1 - Prob. 83ECh. 11.1 - Prob. 84ECh. 11.1 - Prob. 85ECh. 11.1 - Prob. 86ECh. 11.1 - Prob. 87ECh. 11.1 - Prob. 88ECh. 11.1 - Prob. 89ECh. 11.1 - Prob. 90ECh. 11.1 - Prob. 91ECh. 11.1 - Prob. 92ECh. 11.1 - Prob. 93ECh. 11.1 - Prob. 94ECh. 11.1 - Prob. 95ECh. 11.1 - Prob. 96ECh. 11.1 - Prob. 97ECh. 11.1 - Prob. 98ECh. 11.1 - Prob. 99ECh. 11.1 - Prob. 100ECh. 11.1 - Prob. 101ECh. 11.1 - Prob. 102ECh. 11.1 - Prob. 103ECh. 11.1 - 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Prob. 54CRECh. 11 - Prob. 55CRE
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