Mathematical Methods in the Physical Sciences
3rd Edition
ISBN: 9780471198260
Author: Mary L. Boas
Publisher: Wiley, John & Sons, Incorporated
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Chapter 14.1, Problem 1P
Find the real and imaginary parts
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As discussed in Section 8.3, the Markowitz model uses the variance of the portfolio as the measure of risk. However, variance includes deviations both below and above the mean return. Semivariance includes only deviations below the mean and is considered by many to be a better measure of risk.
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For each month of the year, Taylor collected the average high temperatures in Jackson, Mississippi. He used the data to create the histogram shown. Which set of data did he use to create the histogram?
A
55, 60, 64, 72, 73, 75, 77, 81, 83, 91, 91, 92\ 55,\ 60,\ 64,\ 72,\ 73,\ 75,\ 77,\ 81,\ 83,\ 91,\ 91,\ 92 55, 60, 64, 72, 73, 75, 77, 81, 83, 91, 91, 92
B
55, 57, 60, 65, 70, 71, 78, 79, 85, 86, 88, 91\ 55,\ 57,\ 60,\ 65,\ 70,\ 71,\ 78,\ 79,\ 85,\ 86,\ 88,\ 91 55, 57, 60, 65, 70, 71, 78, 79, 85, 86, 88, 91
C
55, 60, 63, 64, 65, 71, 83, 87, 88, 88, 89, 93\ 55,\ 60,\ 63,\ 64,\ 65,\ 71,\ 83,\ 87,\ 88,\ 88,\ 89,\ 93 55, 60, 63, 64, 65, 71, 83, 87, 88, 88, 89, 93
D
55, 58, 60, 66, 68, 75, 77, 82, 86, 89, 91, 91\ 55,\ 58,\ 60,\ 66,\ 68,\ 75,\ 77,\ 82,\ 86,\ 89,\ 91,\ 91 55, 58, 60, 66, 68, 75, 77, 82, 86, 89, 91, 91
Chapter 14 Solutions
Mathematical Methods in the Physical Sciences
Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...
Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.1 - Find the real and imaginary parts u(x,y) and...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21 . Use the Cauchy-Riemann conditions to...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - 1 to 21. Use the Cauchy-Riemann conditions to find...Ch. 14.2 - Using the definition (2.1) of (d/dz)f(z), show...Ch. 14.2 - Using the definition (2.1) of (d/dz)f(z), show...Ch. 14.2 - Prob. 27PCh. 14.2 - Using the definition (2.1) of (d/dz)f(z), show...Ch. 14.2 - Problem 28 is the chain rule for the derivative of...Ch. 14.2 - Problem 28 is the chain rule for the derivative of...Ch. 14.2 - Problem 28 is the chain rule for the derivative of...Ch. 14.2 - Using the definition of ez by its power series...Ch. 14.2 - Using the definitions of sin...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - Using series you know from Chapter 1, write the...Ch. 14.2 - In Chapter 12, equations (5.1) and (5.2), we...Ch. 14.2 - Prob. 44PCh. 14.2 - Prob. 45PCh. 14.2 - Prob. 46PCh. 14.2 - Prob. 47PCh. 14.2 - Using polar coordinates (Problem 46), find out...Ch. 14.2 - Prob. 49PCh. 14.2 - Using polar coordinates (Problem 46), find out...Ch. 14.2 - Prob. 51PCh. 14.2 - Prob. 52PCh. 14.2 - Using polar coordinates (Problem 46), find out...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - Show that the following functions are harmonic,...Ch. 14.2 - It can be shown that, if u(x,y) is a harmonic...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate the following line integrals in the...Ch. 14.3 - Evaluate C(z3)dz where C is the indicated closed...Ch. 14.3 - 01+2iz2dz along the indicated paths:Ch. 14.3 - In Chapter 6, Section 11, we showed that a...Ch. 14.3 - In finding complex Fourier series in Chapter 7, we...Ch. 14.3 - If f(z) is analytic on and inside the circle z=1,...Ch. 14.3 - If f(z) is analytic in the disk z2, evaluate...Ch. 14.3 - Use Cauchys theorem or integral formula to...Ch. 14.3 - Use Cauchys theorem or integral formula to...Ch. 14.3 - Use Cauchys theorem or integral formula to...Ch. 14.3 - Use Cauchys theorem or integral formula to...Ch. 14.3 - Differentiate Cauchys formula (3.9) or (3.10) to...Ch. 14.3 - Use Problem 21 to evaluate the following...Ch. 14.3 - Use Problem 21 to evaluate the following...Ch. 14.3 - Use Problem 21 to evaluate the following...Ch. 14.4 - Show that the sum of a power series which...Ch. 14.4 - Show that equation ( 4.4 ) can be written as...Ch. 14.4 - For each of the following functions find the first...Ch. 14.4 - For each of the following functions find the first...Ch. 14.4 - For each of the following functions find the first...Ch. 14.4 - For each of the following functions find the first...Ch. 14.4 - For each of the following functions find the first...Ch. 14.4 - For each of the following functions find the first...Ch. 14.4 - For each of the following functions, say whether...Ch. 14.4 - For each of the following functions, say whether...Ch. 14.4 - For each of the following functions, say whether...Ch. 14.4 - For each of the following functions, say whether...Ch. 14.5 - If C is a circle of radius about z0, show that...Ch. 14.5 - Verify the formulas (4.3) for the coefficients in...Ch. 14.5 - Obtain Cauchys integral formula ( 3.9 ) from the...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Find the Laurent series for the following...Ch. 14.6 - Show that rule B is correct by applying it to...Ch. 14.6 - Derive (6.2) by using the limit definition of the...Ch. 14.6 - Prove rule C for finding the residue at a multiple...Ch. 14.6 - Prove rule C by using (3.9). Hints: If f(z) has a...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Prob. 33PCh. 14.6 - Find the residues of the following functions at...Ch. 14.6 - Find the residues of the following functions at...Ch. 14.6 - For complex z,Jp(z) can be defined by the series...Ch. 14.6 - The gamma function (z) is analytic except for...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - The values of the following integrals are known...Ch. 14.7 - In Example 4 we stated a rule for evaluating a...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - Using the rule of Example 4 (also see problem 21),...Ch. 14.7 - (a) By the method of Example 2 evaluate 0dx1+x4....Ch. 14.7 - Use the method of Problem 30(c) to evaluate...Ch. 14.7 - Use the method of Problem 30(c) and the contour...Ch. 14.7 - Evaluate the following integrals by the method of...Ch. 14.7 - Evaluate the following integrals by the method of...Ch. 14.7 - Evaluate the following integrals by the method of...Ch. 14.7 - Evaluate the following integrals by the method of...Ch. 14.7 - (a) Show that epx1+exdx=sinp for 0p1. Hint: Find...Ch. 14.7 - Using the same contour and method as in Problem...Ch. 14.7 - Evaluate e2x/3coshxdx. Hint: Use a rectangle as in...Ch. 14.7 - Evaluate 0xdxsinhx. Hint: First find the to ...Ch. 14.7 - The Fresnel integrals, 0usinu2du and 0ucosu2du,...Ch. 14.7 - If F(z)=f(z)/f(z) (a) show that the residue of...Ch. 14.7 - By using theorem (7.8), show that z3+z2+9=0 has...Ch. 14.7 - The fundamental theorem of algebra says that every...Ch. 14.7 - As in Problem 43 find out in which quadrants the...Ch. 14.7 - As in Problem 43 find out in which quadrants the...Ch. 14.7 - As in Problem 43 find out in which quadrants the...Ch. 14.7 - As in Problem 43 find out in which quadrants the...Ch. 14.7 - As in Problem 43 find out in which quadrants the...Ch. 14.7 - As in Problem 43 find out in which quadrants the...Ch. 14.7 - Use (7.8) to evaluate...Ch. 14.7 - Use (7.8) to evaluate z3dz1+2z4 around z=1.Ch. 14.7 - Use (7.8) to evaluate z3+4zz4+8z2+16dz around the...Ch. 14.7 - Use (7.8) to evaluate Csec2(z/4)dz1tan(z/4), where...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - Find the inverse Laplace transform of the...Ch. 14.7 - In equation (7.18), let u(x) be an even function...Ch. 14.8 - Let f(z) be expanded in the Laurent series that is...Ch. 14.8 - (a) Show that if f(z) tends to a finite limit as z...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Find out whether infinity is a regular point, an...Ch. 14.8 - Prob. 13PCh. 14.8 - Evaluate the following integrals by computing...Ch. 14.8 - Evaluate the following integrals by computing...Ch. 14.8 - Observe that in Problems 14 and 15 the sum of the...Ch. 14.9 - In these problems you should be able to make rough...Ch. 14.9 - For each of the following functions w=f(z)=u+iv,...Ch. 14.9 - For each of the following functions w=f(z)=u+iv,...Ch. 14.9 - For each of the following functions w=f(z)=u+iv,...Ch. 14.9 - For each of the following functions w=f(z)=u+iv,...Ch. 14.9 - For each of the following functions w=f(z)=u+iv,...Ch. 14.9 - For each of the following functions w=f(z)=u+iv,...Ch. 14.9 - For each of the following functions w=f(z)=u+iv,...Ch. 14.9 - Describe the Riemann surface for w=z3Ch. 14.9 - Describe the Riemann surface for w=zCh. 14.9 - Describe the Riemann surface for w=lnzCh. 14.9 - If w=f(z)=u(x,y)+iv(x,y),f(z) analytic, defines a...Ch. 14.9 - Verify the matrix equation dudv=Jdxdy, where J is...Ch. 14.9 - We have discussed the fact that a conformal...Ch. 14.9 - Compare the directional derivative...Ch. 14.10 - Prove the theorem stated just after (10.2) as...Ch. 14.10 - Assuming from electricity the equations...Ch. 14.10 - A fluid flow is called irrotational if V=0 where...Ch. 14.10 - Let a flat plate in the shape of a quarter-circle,...Ch. 14.10 - Consider a capacitor made of two very large...Ch. 14.10 - Prob. 6PCh. 14.10 - Use the mapping function w=z2 to find the...Ch. 14.10 - Prob. 8PCh. 14.10 - Find and sketch the streamlines for the flow of...Ch. 14.10 - Find and sketch the streamlines for the indicated...Ch. 14.10 - For w=ln[(z+1)/(z1)], show that the images of u=...Ch. 14.10 - Use the results of Problem 11 to solve the...Ch. 14.10 - Let the figure in Problem 12 represent (the cross...Ch. 14.10 - In the figure in Problem 12, let z=1 be a source...Ch. 14.10 - In Problem 14, the streamlines were the images of...Ch. 14.10 - Two long parallel cylinders form a capacitor. (Let...Ch. 14.11 - In Problems 1 and 2, verify that the given...Ch. 14.11 - In Problems 1 and 2, verify that the given...Ch. 14.11 - Liouvilles theorem: Suppose f(z) is analytic for...Ch. 14.11 - Use Liouvilles theorem (Problem 3 ) to prove the...Ch. 14.11 - In Problems 5 to 8, find the residues of the given...Ch. 14.11 - In Problems 5 to $8,$ find the residues of the...Ch. 14.11 - In Problems 5 to 8, find the residues of the given...Ch. 14.11 - In Problems 5 to $8,$ find the residues of the...Ch. 14.11 - In Problems 9 to 10, use Laurent series to find...Ch. 14.11 - In Problems 9 to $10,$ use Laurent series to find...Ch. 14.11 - Find the Laurent series of f(z)=ez/(1z) for z1 and...Ch. 14.11 - Let f(z) be the branch of z21 which is positive...Ch. 14.11 - In Problems 13 and $14,$ find the residues at the...Ch. 14.11 - In Problems 13 and 14, find the residues at the...Ch. 14.11 - In Problem 15 to 20, evaluate the integrals by...Ch. 14.11 - In Problem 15 to 20, evaluate the integrals by...Ch. 14.11 - In Problem 15 to 20, evaluate the integrals by...Ch. 14.11 - In Problem 15 to $20,$ evaluate the integrals by...Ch. 14.11 - In Problem 15 to 20, evaluate the integrals by...Ch. 14.11 - In Problem 15 to $20,$ evaluate the integrals by...Ch. 14.11 - Verify the formulas in Problem 21 to 27 by contour...Ch. 14.11 - Verify the formulas in Problem 21 to 27 by contour...Ch. 14.11 - Verify the formulas in Problem 21 to 27 by contour...Ch. 14.11 - Verify the formulas in Problem 21 to 27 by contour...Ch. 14.11 - Verify the formulas in Problem 21 to 27 by contour...Ch. 14.11 - Verify the formulas in Problem 21 to 27 by contour...Ch. 14.11 - Verify the formulas in Problem 21 to 27 by contour...Ch. 14.11 - Evaluate 0xlnxdx(1+x)2 by using the contour of...Ch. 14.11 - Evaluate 0(lnx)21+x2dx by using the contour of...Ch. 14.11 - Show that PV0cos(lnx)x2+1dx=2cosh(/2) by...Ch. 14.11 - As in Section 7, find out how many roots the...Ch. 14.11 - As in Section 7, find out how many roots the...Ch. 14.11 - As in Section 7, find out how many roots the...Ch. 14.11 - As in Section 7, find out how many roots the...Ch. 14.11 - Show that the Cauchy-Riemann equations [see (2.2)...Ch. 14.11 - Show that a harmonic function u(x,y) is equal at...Ch. 14.11 - A (nonconstant) harmonic function takes its...Ch. 14.11 - Show that a Dirichlet problem (see Chapter 13,...Ch. 14.11 - Use the following sequence of mappings to find the...Ch. 14.11 - Use L13 of the Laplace transform table to find the...Ch. 14.11 - Evaluate by contour integration 0cos2(/2)122d....
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- In this problem, we consider a Brownian motion (W+) t≥0. We consider a stock model (St)t>0 given (under the measure P) by d.St 0.03 St dt + 0.2 St dwt, with So 2. We assume that the interest rate is r = 0.06. The purpose of this problem is to price an option on this stock (which we name cubic put). This option is European-type, with maturity 3 months (i.e. T = 0.25 years), and payoff given by F = (8-5)+ (a) Write the Stochastic Differential Equation satisfied by (St) under the risk-neutral measure Q. (You don't need to prove it, simply give the answer.) (b) Give the price of a regular European put on (St) with maturity 3 months and strike K = 2. (c) Let X = S. Find the Stochastic Differential Equation satisfied by the process (Xt) under the measure Q. (d) Find an explicit expression for X₁ = S3 under measure Q. (e) Using the results above, find the price of the cubic put option mentioned above. (f) Is the price in (e) the same as in question (b)? (Explain why.)arrow_forwardProblem 4. Margrabe formula and the Greeks (20 pts) In the homework, we determined the Margrabe formula for the price of an option allowing you to swap an x-stock for a y-stock at time T. For stocks with initial values xo, yo, common volatility σ and correlation p, the formula was given by Fo=yo (d+)-x0Þ(d_), where In (±² Ꭲ d+ õ√T and σ = σ√√√2(1 - p). дго (a) We want to determine a "Greek" for ỡ on the option: find a formula for θα (b) Is дго θα positive or negative? (c) We consider a situation in which the correlation p between the two stocks increases: what can you say about the price Fo? (d) Assume that yo< xo and p = 1. What is the price of the option?arrow_forwardThe Course Name Real Analysis please Solve questions by Real Analysisarrow_forward
- We consider a 4-dimensional stock price model given (under P) by dẴ₁ = µ· Xt dt + йt · ΣdŴt where (W) is an n-dimensional Brownian motion, π = (0.02, 0.01, -0.02, 0.05), 0.2 0 0 0 0.3 0.4 0 0 Σ= -0.1 -4a За 0 0.2 0.4 -0.1 0.2) and a E R. We assume that ☑0 = (1, 1, 1, 1) and that the interest rate on the market is r = 0.02. (a) Give a condition on a that would make stock #3 be the one with largest volatility. (b) Find the diversification coefficient for this portfolio as a function of a. (c) Determine the maximum diversification coefficient d that you could reach by varying the value of a? 2arrow_forwardQuestion 1. Your manager asks you to explain why the Black-Scholes model may be inappro- priate for pricing options in practice. Give one reason that would substantiate this claim? Question 2. We consider stock #1 and stock #2 in the model of Problem 2. Your manager asks you to pick only one of them to invest in based on the model provided. Which one do you choose and why ? Question 3. Let (St) to be an asset modeled by the Black-Scholes SDE. Let Ft be the price at time t of a European put with maturity T and strike price K. Then, the discounted option price process (ert Ft) t20 is a martingale. True or False? (Explain your answer.) Question 4. You are considering pricing an American put option using a Black-Scholes model for the underlying stock. An explicit formula for the price doesn't exist. In just a few words (no more than 2 sentences), explain how you would proceed to price it. Question 5. We model a short rate with a Ho-Lee model drt = ln(1+t) dt +2dWt. Then the interest rate…arrow_forwardIn this problem, we consider a Brownian motion (W+) t≥0. We consider a stock model (St)t>0 given (under the measure P) by d.St 0.03 St dt + 0.2 St dwt, with So 2. We assume that the interest rate is r = 0.06. The purpose of this problem is to price an option on this stock (which we name cubic put). This option is European-type, with maturity 3 months (i.e. T = 0.25 years), and payoff given by F = (8-5)+ (a) Write the Stochastic Differential Equation satisfied by (St) under the risk-neutral measure Q. (You don't need to prove it, simply give the answer.) (b) Give the price of a regular European put on (St) with maturity 3 months and strike K = 2. (c) Let X = S. Find the Stochastic Differential Equation satisfied by the process (Xt) under the measure Q. (d) Find an explicit expression for X₁ = S3 under measure Q. (e) Using the results above, find the price of the cubic put option mentioned above. (f) Is the price in (e) the same as in question (b)? (Explain why.)arrow_forward
- 3. Consider the polynomial equation 6-iz+7z² - iz³ +z = 0 for which the roots are 3i, -2i, -i, and i. (a) Verify the relations between this roots and the coefficients of the polynomial. (b) Find the annulus region in which the roots lie.arrow_forwardThe managing director of a consulting group has the accompanying monthly data on total overhead costs and professional labor hours to bill to clients. Complete parts a through c. Question content area bottom Part 1 a. Develop a simple linear regression model between billable hours and overhead costs. Overhead Costsequals=212495.2212495.2plus+left parenthesis 42.4857 right parenthesis42.485742.4857times×Billable Hours (Round the constant to one decimal place as needed. Round the coefficient to four decimal places as needed. Do not include the $ symbol in your answers.) Part 2 b. Interpret the coefficients of your regression model. Specifically, what does the fixed component of the model mean to the consulting firm? Interpret the fixed term, b 0b0, if appropriate. Choose the correct answer below. A. The value of b 0b0 is the predicted billable hours for an overhead cost of 0 dollars. B. It is not appropriate to interpret b 0b0, because its value…arrow_forward3. Consider the polynomial equation 6-iz+7z2-iz³ +z = 0 for which the roots are 3i, -2i, -i, and i. (a) Verify the relations between this roots and the coefficients of the polynomial. (b) Find the annulus region in which the roots lie.arrow_forward
- Write the equation of the trigonometric function shown in the graph. LO 5 4 3 2 1 y -5 -5 4 8 8 500 -1 -2 -3 -4 -5 x 5 15л 5л 25л 15л 35π 5л 4 8 2 8 4 8arrow_forwardc) Using only Laplace transforms solve the following Samuelson model given below i.e., the second order difference equation (where yt is national income): - Yt+2 6yt+1+5y₁ = 0, if y₁ = 0 for t < 0, and y₁ = 0, y₁ = 1 1-e-s You may use without proof that L-1[s(1-re-s)] = f(t) = r² for n ≤tarrow_forward5. 156 m/WXY = 59° 63 E 7. B E 101 C mFE = 6. 68° 8. C 17arrow_forwardarrow_back_iosSEE MORE QUESTIONSarrow_forward_ios
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