CALCULUS: EARLY TRANS 4TH ED W/ ACCESS
4th Edition
ISBN: 9781319309671
Author: Rogawski
Publisher: MAC HIGHER
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Question
Chapter 16.4, Problem 18E
To determine
To calculate: for the given surface and function.
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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 16 Solutions
CALCULUS: EARLY TRANS 4TH ED W/ ACCESS
Ch. 16.1 - Prob. 1PQCh. 16.1 - Prob. 2PQCh. 16.1 - Prob. 3PQCh. 16.1 - Prob. 4PQCh. 16.1 - Prob. 1ECh. 16.1 - Prob. 2ECh. 16.1 - Prob. 3ECh. 16.1 - Prob. 4ECh. 16.1 - Prob. 5ECh. 16.1 - Prob. 6E
Ch. 16.1 - Prob. 7ECh. 16.1 - Prob. 8ECh. 16.1 - Prob. 9ECh. 16.1 - Prob. 10ECh. 16.1 - Prob. 11ECh. 16.1 - Prob. 12ECh. 16.1 - Prob. 13ECh. 16.1 - Prob. 14ECh. 16.1 - Prob. 15ECh. 16.1 - Prob. 16ECh. 16.1 - Prob. 17ECh. 16.1 - Prob. 18ECh. 16.1 - Prob. 19ECh. 16.1 - Prob. 20ECh. 16.1 - Prob. 21ECh. 16.1 - Prob. 22ECh. 16.1 - Prob. 23ECh. 16.1 - Prob. 24ECh. 16.1 - Prob. 25ECh. 16.1 - Prob. 26ECh. 16.1 - Prob. 27ECh. 16.1 - Prob. 28ECh. 16.1 - Prob. 29ECh. 16.1 - Prob. 30ECh. 16.1 - Prob. 31ECh. 16.1 - Prob. 32ECh. 16.1 - Prob. 33ECh. 16.1 - Prob. 34ECh. 16.1 - Prob. 35ECh. 16.1 - Prob. 36ECh. 16.1 - Prob. 37ECh. 16.1 - Prob. 38ECh. 16.1 - Prob. 39ECh. 16.1 - Prob. 40ECh. 16.1 - Prob. 41ECh. 16.1 - Prob. 42ECh. 16.1 - Prob. 43ECh. 16.1 - Prob. 44ECh. 16.1 - Prob. 45ECh. 16.1 - Prob. 46ECh. 16.1 - Prob. 47ECh. 16.1 - Prob. 48ECh. 16.1 - Prob. 49ECh. 16.1 - Prob. 50ECh. 16.1 - Prob. 51ECh. 16.1 - Prob. 52ECh. 16.1 - Prob. 53ECh. 16.1 - Prob. 54ECh. 16.1 - Prob. 55ECh. 16.1 - Prob. 56ECh. 16.1 - Prob. 57ECh. 16.2 - Prob. 1PQCh. 16.2 - Prob. 2PQCh. 16.2 - Prob. 3PQCh. 16.2 - Prob. 4PQCh. 16.2 - Prob. 1ECh. 16.2 - Prob. 2ECh. 16.2 - Prob. 3ECh. 16.2 - Prob. 4ECh. 16.2 - Prob. 5ECh. 16.2 - Prob. 6ECh. 16.2 - Prob. 7ECh. 16.2 - Prob. 8ECh. 16.2 - Prob. 9ECh. 16.2 - Prob. 10ECh. 16.2 - Prob. 11ECh. 16.2 - Prob. 12ECh. 16.2 - Prob. 13ECh. 16.2 - Prob. 14ECh. 16.2 - Prob. 15ECh. 16.2 - Prob. 16ECh. 16.2 - Prob. 17ECh. 16.2 - Prob. 18ECh. 16.2 - Prob. 19ECh. 16.2 - Prob. 20ECh. 16.2 - Prob. 21ECh. 16.2 - Prob. 22ECh. 16.2 - Prob. 23ECh. 16.2 - Prob. 24ECh. 16.2 - Prob. 25ECh. 16.2 - Prob. 26ECh. 16.2 - Prob. 27ECh. 16.2 - Prob. 28ECh. 16.2 - Prob. 29ECh. 16.2 - Prob. 30ECh. 16.2 - Prob. 31ECh. 16.2 - Prob. 32ECh. 16.2 - Prob. 33ECh. 16.2 - Prob. 34ECh. 16.2 - Prob. 35ECh. 16.2 - Prob. 36ECh. 16.2 - Prob. 37ECh. 16.2 - Prob. 38ECh. 16.2 - Prob. 39ECh. 16.2 - Prob. 40ECh. 16.2 - Prob. 41ECh. 16.2 - Prob. 42ECh. 16.2 - Prob. 43ECh. 16.2 - Prob. 44ECh. 16.2 - Prob. 45ECh. 16.2 - Prob. 46ECh. 16.2 - Prob. 47ECh. 16.2 - Prob. 48ECh. 16.2 - Prob. 49ECh. 16.2 - Prob. 50ECh. 16.2 - Prob. 51ECh. 16.2 - Prob. 52ECh. 16.2 - Prob. 53ECh. 16.2 - Prob. 54ECh. 16.2 - Prob. 55ECh. 16.2 - Prob. 56ECh. 16.2 - Prob. 57ECh. 16.2 - Prob. 58ECh. 16.2 - Prob. 59ECh. 16.2 - Prob. 60ECh. 16.2 - Prob. 61ECh. 16.2 - Prob. 62ECh. 16.2 - Prob. 63ECh. 16.2 - Prob. 64ECh. 16.2 - Prob. 65ECh. 16.2 - Prob. 66ECh. 16.2 - Prob. 67ECh. 16.2 - Prob. 68ECh. 16.2 - Prob. 69ECh. 16.2 - Prob. 70ECh. 16.2 - Prob. 71ECh. 16.2 - Prob. 72ECh. 16.2 - Prob. 73ECh. 16.2 - Prob. 74ECh. 16.2 - Prob. 75ECh. 16.3 - Prob. 1PQCh. 16.3 - Prob. 2PQCh. 16.3 - Prob. 3PQCh. 16.3 - Prob. 4PQCh. 16.3 - Prob. 1ECh. 16.3 - Prob. 2ECh. 16.3 - Prob. 3ECh. 16.3 - Prob. 4ECh. 16.3 - Prob. 5ECh. 16.3 - Prob. 6ECh. 16.3 - Prob. 7ECh. 16.3 - Prob. 8ECh. 16.3 - Prob. 9ECh. 16.3 - Prob. 10ECh. 16.3 - Prob. 11ECh. 16.3 - Prob. 12ECh. 16.3 - Prob. 13ECh. 16.3 - Prob. 14ECh. 16.3 - Prob. 15ECh. 16.3 - Prob. 16ECh. 16.3 - Prob. 17ECh. 16.3 - Prob. 18ECh. 16.3 - Prob. 19ECh. 16.3 - Prob. 20ECh. 16.3 - Prob. 21ECh. 16.3 - Prob. 22ECh. 16.3 - Prob. 23ECh. 16.3 - Prob. 24ECh. 16.3 - Prob. 25ECh. 16.3 - Prob. 26ECh. 16.3 - Prob. 27ECh. 16.3 - Prob. 28ECh. 16.3 - Prob. 29ECh. 16.3 - Prob. 30ECh. 16.3 - Prob. 31ECh. 16.3 - Prob. 32ECh. 16.3 - Prob. 33ECh. 16.3 - Prob. 34ECh. 16.3 - Prob. 35ECh. 16.4 - Prob. 1PQCh. 16.4 - Prob. 2PQCh. 16.4 - Prob. 3PQCh. 16.4 - Prob. 4PQCh. 16.4 - Prob. 5PQCh. 16.4 - Prob. 6PQCh. 16.4 - Prob. 1ECh. 16.4 - Prob. 2ECh. 16.4 - Prob. 3ECh. 16.4 - Prob. 4ECh. 16.4 - Prob. 5ECh. 16.4 - Prob. 6ECh. 16.4 - Prob. 7ECh. 16.4 - Prob. 8ECh. 16.4 - Prob. 9ECh. 16.4 - Prob. 10ECh. 16.4 - Prob. 11ECh. 16.4 - Prob. 12ECh. 16.4 - Prob. 13ECh. 16.4 - Prob. 14ECh. 16.4 - Prob. 15ECh. 16.4 - Prob. 16ECh. 16.4 - Prob. 17ECh. 16.4 - Prob. 18ECh. 16.4 - Prob. 19ECh. 16.4 - Prob. 20ECh. 16.4 - Prob. 21ECh. 16.4 - Prob. 22ECh. 16.4 - Prob. 23ECh. 16.4 - Prob. 24ECh. 16.4 - Prob. 25ECh. 16.4 - Prob. 26ECh. 16.4 - Prob. 27ECh. 16.4 - Prob. 28ECh. 16.4 - Prob. 29ECh. 16.4 - Prob. 30ECh. 16.4 - Prob. 31ECh. 16.4 - Prob. 32ECh. 16.4 - Prob. 33ECh. 16.4 - Prob. 34ECh. 16.4 - Prob. 35ECh. 16.4 - Prob. 36ECh. 16.4 - Prob. 37ECh. 16.4 - Prob. 38ECh. 16.4 - Prob. 39ECh. 16.4 - Prob. 40ECh. 16.4 - Prob. 41ECh. 16.4 - Prob. 42ECh. 16.4 - Prob. 43ECh. 16.4 - Prob. 44ECh. 16.4 - Prob. 45ECh. 16.4 - Prob. 46ECh. 16.4 - Prob. 47ECh. 16.4 - Prob. 48ECh. 16.4 - Prob. 49ECh. 16.4 - Prob. 50ECh. 16.4 - Prob. 51ECh. 16.5 - Prob. 1PQCh. 16.5 - Prob. 2PQCh. 16.5 - Prob. 3PQCh. 16.5 - Prob. 4PQCh. 16.5 - Prob. 5PQCh. 16.5 - Prob. 6PQCh. 16.5 - Prob. 7PQCh. 16.5 - Prob. 1ECh. 16.5 - Prob. 2ECh. 16.5 - Prob. 3ECh. 16.5 - Prob. 4ECh. 16.5 - Prob. 5ECh. 16.5 - Prob. 6ECh. 16.5 - Prob. 7ECh. 16.5 - Prob. 8ECh. 16.5 - Prob. 9ECh. 16.5 - Prob. 10ECh. 16.5 - Prob. 11ECh. 16.5 - Prob. 12ECh. 16.5 - Prob. 13ECh. 16.5 - Prob. 14ECh. 16.5 - Prob. 15ECh. 16.5 - Prob. 16ECh. 16.5 - Prob. 17ECh. 16.5 - Prob. 18ECh. 16.5 - Prob. 19ECh. 16.5 - Prob. 20ECh. 16.5 - Prob. 21ECh. 16.5 - Prob. 22ECh. 16.5 - Prob. 23ECh. 16.5 - Prob. 24ECh. 16.5 - Prob. 25ECh. 16.5 - Prob. 26ECh. 16.5 - Prob. 27ECh. 16.5 - Prob. 28ECh. 16.5 - Prob. 29ECh. 16.5 - Prob. 30ECh. 16.5 - Prob. 31ECh. 16.5 - Prob. 32ECh. 16.5 - Prob. 33ECh. 16.5 - Prob. 34ECh. 16.5 - Prob. 35ECh. 16.5 - Prob. 36ECh. 16.5 - Prob. 37ECh. 16.5 - Prob. 38ECh. 16 - Prob. 1CRECh. 16 - Prob. 2CRECh. 16 - Prob. 3CRECh. 16 - Prob. 4CRECh. 16 - Prob. 5CRECh. 16 - Prob. 6CRECh. 16 - Prob. 7CRECh. 16 - Prob. 8CRECh. 16 - Prob. 9CRECh. 16 - Prob. 10CRECh. 16 - Prob. 11CRECh. 16 - Prob. 12CRECh. 16 - Prob. 13CRECh. 16 - Prob. 14CRECh. 16 - Prob. 15CRECh. 16 - Prob. 16CRECh. 16 - Prob. 17CRECh. 16 - Prob. 18CRECh. 16 - Prob. 19CRECh. 16 - Prob. 20CRECh. 16 - Prob. 21CRECh. 16 - Prob. 22CRECh. 16 - Prob. 23CRECh. 16 - Prob. 24CRECh. 16 - Prob. 25CRECh. 16 - Prob. 26CRECh. 16 - Prob. 27CRECh. 16 - Prob. 28CRECh. 16 - Prob. 29CRECh. 16 - Prob. 30CRECh. 16 - Prob. 31CRECh. 16 - Prob. 32CRECh. 16 - Prob. 33CRECh. 16 - Prob. 34CRECh. 16 - Prob. 35CRECh. 16 - Prob. 36CRECh. 16 - Prob. 37CRECh. 16 - Prob. 38CRECh. 16 - Prob. 39CRECh. 16 - Prob. 40CRECh. 16 - Prob. 41CRECh. 16 - Prob. 42CRECh. 16 - Prob. 43CRECh. 16 - Prob. 44CRECh. 16 - Prob. 45CRECh. 16 - Prob. 46CRECh. 16 - Prob. 47CRECh. 16 - Prob. 48CRECh. 16 - Prob. 49CRECh. 16 - Prob. 50CRECh. 16 - Prob. 51CRECh. 16 - Prob. 52CRECh. 16 - Prob. 53CRECh. 16 - Prob. 54CRECh. 16 - Prob. 55CRECh. 16 - Prob. 56CRECh. 16 - Prob. 57CRECh. 16 - Prob. 58CRECh. 16 - Prob. 59CRECh. 16 - Prob. 60CRECh. 16 - Prob. 61CRE
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