Probability and Statistics for Engineers and Scientists
9th Edition
ISBN: 9780321629111
Author: Ronald E. Walpole, Raymond H. Myers, Sharon L. Myers, Keying Ye
Publisher: Prentice Hall
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Chapter 4.1, Problem 1E
The probability distribution of X, the number of imperfections per 10 meters of a synthetic fabric in continuous rolls of uniform width, is given in Exercise 3.13 on page 92 as
Find the average number of imperfections per 10 meters of this fabric.
3.13 The probability distribution of X, the number of imperfections per 10 meters of a synthetic fabric in continuous rolls of uniform width, is given by
Construct the cumulative distribution
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Students have asked these similar questions
Problem 3. Pricing a multi-stock option the Margrabe formula
The purpose of this problem is to price a swap option in a 2-stock model, similarly as
what we did in the example in the lectures. We consider a two-dimensional Brownian
motion given by W₁ = (W(¹), W(2)) on a probability space (Q, F,P). Two stock prices
are modeled by the following equations:
dX
=
dY₁ =
X₁ (rdt+
rdt+0₁dW!)
(²)),
Y₁ (rdt+dW+0zdW!"),
with Xo
xo and Yo =yo. This corresponds to the multi-stock model studied in class,
but with notation (X+, Y₁) instead of (S(1), S(2)). Given the model above, the measure
P is already the risk-neutral measure (Both stocks have rate of return r). We write
σ = 0₁+0%. We consider a swap option, which gives you the right, at time T, to
exchange one share of X for one share of Y. That is, the option has payoff
F=(Yr-XT).
(a) We first assume that r = 0 (for questions (a)-(f)). Write an explicit expression for
the process Xt.
Reminder before proceeding to question (b): Girsanov's theorem…
Problem 1. Multi-stock model
We consider a 2-stock model similar to the one studied in class. Namely, we consider
=
S(1)
S(2)
=
S(¹) exp (σ1B(1) + (M1 - 0/1 )
S(²) exp (02B(2) + (H₂-
M2
where (B(¹) ) +20 and (B(2) ) +≥o are two Brownian motions, with
t≥0
Cov (B(¹), B(2)) = p min{t, s}.
"
The purpose of this problem is to prove that there indeed exists a 2-dimensional Brownian
motion (W+)+20 (W(1), W(2))+20 such that
=
S(1)
S(2)
=
=
S(¹) exp (011W(¹) + (μ₁ - 01/1) t)
롱)
S(²) exp (021W (1) + 022W(2) + (112 - 03/01/12) t).
where σ11, 21, 22 are constants to be determined (as functions of σ1, σ2, p).
Hint: The constants will follow the formulas developed in the lectures.
(a) To show existence of (Ŵ+), first write the expression for both W. (¹) and W (2)
functions of (B(1), B(²)).
as
(b) Using the formulas obtained in (a), show that the process (WA) is actually a 2-
dimensional standard Brownian motion (i.e. show that each component is normal,
with mean 0, variance t, and that their…
The scores of 8 students on the midterm exam and final exam were as follows.
Student
Midterm
Final
Anderson
98
89
Bailey
88
74
Cruz
87
97
DeSana
85
79
Erickson
85
94
Francis
83
71
Gray
74
98
Harris
70
91
Find the value of the (Spearman's) rank correlation coefficient test statistic that would be used to test the claim of no correlation between midterm score and final exam score. Round your answer to 3 places after the decimal point, if necessary.
Test statistic: rs =
Chapter 4 Solutions
Probability and Statistics for Engineers and Scientists
Ch. 4.1 - The probability distribution of X, the number of...Ch. 4.1 - The probability distribution of the discrete...Ch. 4.1 - Find the mean of the random variable T...Ch. 4.1 - Prob. 4ECh. 4.1 - Prob. 5ECh. 4.1 - Prob. 6ECh. 4.1 - Prob. 7ECh. 4.1 - Prob. 8ECh. 4.1 - A private pilot wishes to insure his airplane for...Ch. 4.1 - Prob. 10E
Ch. 4.1 - The density function of coded measurements of the...Ch. 4.1 - Prob. 12ECh. 4.1 - Prob. 13ECh. 4.1 - Find the proportion X of individuals who can be...Ch. 4.1 - Prob. 15ECh. 4.1 - Prob. 16ECh. 4.1 - Let X be a random variable with the following...Ch. 4.1 - Find the expected value of the random variable...Ch. 4.1 - Prob. 19ECh. 4.1 - Prob. 20ECh. 4.1 - Prob. 21ECh. 4.1 - The hospitalization period, in days, for patients...Ch. 4.1 - Suppose that X and Y have the following joint...Ch. 4.1 - Prob. 24ECh. 4.1 - Prob. 25ECh. 4.1 - Prob. 26ECh. 4.1 - In Exercise 3.27 on page 93, a density function is...Ch. 4.1 - Prob. 28ECh. 4.1 - Prob. 29ECh. 4.1 - Prob. 30ECh. 4.1 - Prob. 31ECh. 4.1 - Prob. 32ECh. 4.2 - Use Definition 4.3 on page 120 to find the...Ch. 4.2 - Let X be a random variable with the following...Ch. 4.2 - Prob. 35ECh. 4.2 - Prob. 36ECh. 4.2 - Prob. 37ECh. 4.2 - Prob. 38ECh. 4.2 - Prob. 39ECh. 4.2 - Referring to Exercise 4.14 on page 117, find for...Ch. 4.2 - Prob. 41ECh. 4.2 - Prob. 42ECh. 4.2 - Prob. 43ECh. 4.2 - Prob. 44ECh. 4.2 - Find the covariance of the random variables X and...Ch. 4.2 - Prob. 46ECh. 4.2 - Prob. 47ECh. 4.2 - Prob. 48ECh. 4.2 - Prob. 49ECh. 4.2 - Prob. 50ECh. 4.2 - For the random variables X and Y in Exercise 3.39...Ch. 4.2 - Random variables X and Y follow a joint...Ch. 4.4 - Referring to Exercise 4.35 on page 127, find the...Ch. 4.4 - Using Theorem 4.5 and Corollary 4.6, find the mean...Ch. 4.4 - Suppose that a grocery store purchases 5 cartons...Ch. 4.4 - Prob. 56ECh. 4.4 - Prob. 57ECh. 4.4 - The total time, measured in units of 100 hours,...Ch. 4.4 - Prob. 59ECh. 4.4 - Prob. 60ECh. 4.4 - Prob. 61ECh. 4.4 - Prob. 62ECh. 4.4 - Prob. 63ECh. 4.4 - Prob. 64ECh. 4.4 - Prob. 65ECh. 4.4 - Prob. 66ECh. 4.4 - Prob. 67ECh. 4.4 - Prob. 68ECh. 4.4 - Prob. 69ECh. 4.4 - Prob. 70ECh. 4.4 - Prob. 71ECh. 4.4 - Prob. 72ECh. 4.4 - Prob. 73ECh. 4.4 - Prob. 74ECh. 4.4 - Prob. 75ECh. 4.4 - Prob. 76ECh. 4.4 - Prob. 77ECh. 4.4 - Compute P(μ − 2σ < X < μ + 2σ), where X has the...Ch. 4.4 - Prob. 79RECh. 4.4 - Prob. 80RECh. 4.4 - Prob. 81RECh. 4.4 - Prob. 82RECh. 4.4 - Prob. 83RECh. 4.4 - Prob. 84RECh. 4.4 - Prob. 85RECh. 4.4 - Prob. 86RECh. 4.4 - Prob. 87RECh. 4.4 - Prob. 88RECh. 4.4 - Prob. 89RECh. 4.4 - Prob. 90RECh. 4.4 - Prob. 91RECh. 4.4 - Prob. 92RECh. 4.4 - Prob. 93RECh. 4.4 - Prob. 94RECh. 4.4 - Prob. 95RECh. 4.4 - Prob. 96RECh. 4.4 - Prob. 97RECh. 4.4 - Prob. 98RECh. 4.4 - Prob. 99RECh. 4.4 - Prob. 100RECh. 4.4 - Prob. 101RECh. 4.4 - Project: Let X = number of hours each student in...
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