In the following Exercises, use a suitable change of variables to determine the indefinite integral. 287. ∫ ( sin 2 θ − 2 sin θ ) ( sin 3 θ − 3 sin 2 θ ) 3 cos θ d
In the following Exercises, use a suitable change of variables to determine the indefinite integral. 287. ∫ ( sin 2 θ − 2 sin θ ) ( sin 3 θ − 3 sin 2 θ ) 3 cos θ d
In the following Exercises, use a suitable change of variables to determine the indefinite integral.
287.
∫
(
sin
2
θ
−
2
sin
θ
)
(
sin
3
θ
−
3
sin
2
θ
)
3
cos
θ
d
With differentiation, one of the major concepts of calculus. Integration involves the calculation of an integral, which is useful to find many quantities such as areas, volumes, and displacement.
A random variable X takes values 0 and 1 with probabilities q and p, respectively, with q+p=1. find the moment generating function of X and show that all the moments about the origin equal p. (Note- Please include as much detailed solution/steps in the solution to understand, Thank you!)
1 (Expected Shortfall)
Suppose the price of an asset Pt follows a normal random walk, i.e., Pt =
Po+r₁ + ... + rt with r₁, r2,... being IID N(μ, o²).
Po+r1+.
⚫ Suppose the VaR of rt is VaRq(rt) at level q, find the VaR of the price
in T days, i.e., VaRq(Pt – Pt–T).
-
• If ESq(rt) = A, find ES₁(Pt – Pt–T).
2 (Normal Distribution)
Let rt be a log return. Suppose that r₁, 2, ... are IID N(0.06, 0.47).
What is the distribution of rt (4) = rt + rt-1 + rt-2 + rt-3?
What is P(rt (4) < 2)?
What is the covariance between r2(2) = 1 + 12 and 13(2) = r² + 13?
• What is the conditional distribution of r₁(3) = rt + rt-1 + rt-2 given
rt-2 = 0.6?
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