Mathematical Methods in the Physical Sciences
3rd Edition
ISBN: 9780471198260
Author: Mary L. Boas
Publisher: Wiley, John & Sons, Incorporated
expand_more
expand_more
format_list_bulleted
Concept explainers
Videos
Textbook Question
Chapter 5.4, Problem 16P
Find the Jacobians
Expert Solution & Answer
Want to see the full answer?
Check out a sample textbook solution
Students have asked these similar questions
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
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.)
Problem 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?
Chapter 5 Solutions
Mathematical Methods in the Physical Sciences
Ch. 5.1 - 2sincocd=sin2or-cos2or-12cos2. Hint: Use trig...Ch. 5.1 - dxx2+a2=sinh1xaorInx+x2+a2. Hint:To find the sinh1...Ch. 5.1 - dyy2a2=cosh1yaorIny+y2a2. Hint: See Problem 2...Ch. 5.1 - ...Ch. 5.1 - Kdr1k2r2=sinh1Kror-cos1Krortan1Kr1k2r2 Hints:...Ch. 5.1 - Kdrrr2k2cos1krorsec1rkor-sin1kror-tan1Kr2k2Ch. 5.2 - In the problems of this section, set up and...Ch. 5.2 - In the problems of this section, set up and...Ch. 5.2 - In the problems of this section, set up and...Ch. 5.2 - In the problems of this section, set up and...
Ch. 5.2 - In the problems of this section, set up and...Ch. 5.2 - In the problems of this section, set up and...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 7 to 18 evaluate the double integrals...Ch. 5.2 - In Problems 19 to 24, use double integrals to find...Ch. 5.2 - In Problems 19 to 24, use double integrals to find...Ch. 5.2 - In Problems 19 to 24, use double integrals to find...Ch. 5.2 - In Problems 19 to 24, use double integrals to find...Ch. 5.2 - In Problems 19 to 24, use double integrals to find...Ch. 5.2 - In Problems 19 to 24, use double integrals to find...Ch. 5.2 - In Problems 25 to 28, sketch the area of...Ch. 5.2 - In Problems 25 to 28, sketch the area of...Ch. 5.2 - In Problems 25 to 28, sketch the area of...Ch. 5.2 - In Problems 25 to 28, sketch the area of...Ch. 5.2 - In Problems 29 to 32, observe that the inside...Ch. 5.2 - In Problems 29 to 32, observe that the inside...Ch. 5.2 - In Problems 29 to 32, observe that the inside...Ch. 5.2 - In Problems 29 to 32, observe that the inside...Ch. 5.2 - A lamina covering the quarter disk x2+y24,x0,y0,...Ch. 5.2 - A dielectric lamina with charge density...Ch. 5.2 - A triangular lamina is bounded by the coordinate...Ch. 5.2 - A partially silvered mirror covers the square area...Ch. 5.2 - In Problems 37 to 40, evaluate the triple...Ch. 5.2 - In Problems 37 to 40, evaluate the triple...Ch. 5.2 - In Problems 37 to 40, evaluate the triple...Ch. 5.2 - In Problems 37 to 40, evaluate the triple...Ch. 5.2 - Find the volume between the planes...Ch. 5.2 - Find the volume between the planes...Ch. 5.2 - Find the volume between the surfaces...Ch. 5.2 - Find the mass of the solid in Problem 42 if the...Ch. 5.2 - Find the mass of the solid in Problem 43 if the...Ch. 5.2 - Find the mass of a cube of side 2 if the density...Ch. 5.2 - Find the volume in the first octant bounded by the...Ch. 5.2 - Find the volume in the first octant bounded by the...Ch. 5.2 - Find the volume in the first octant bounded by the...Ch. 5.2 - Find the mass of the solid in Problem 48 if the...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - Prob. 4PCh. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - The following notation is used in the problems:...Ch. 5.3 - Prove the following two theorems of Pappus: The...Ch. 5.3 - Prove the following two theorems of Pappus: An arc...Ch. 5.3 - Prove the following two theorems of Pappus: Use...Ch. 5.3 - Prove the following two theorems of Pappus: Use...Ch. 5.3 - Prove the following two theorems of Pappus: Let a...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - In Problems 17 to 30, for the curve y=x, between...Ch. 5.3 - Revolve the curve y=x1, from x=1 to x=, about the...Ch. 5.3 - Use a computer or tables to evaluate the integral...Ch. 5.3 - Verify that (3.10) gives the same result as (3.8).Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - As needed, use a computer to plot graphs of...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Prob. 23PCh. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Find the Jacobians x,y/u,v of the given...Ch. 5.4 - Prob. 28PCh. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.5 - For these problems, the most important sketch is...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...Ch. 5.6 - As needed, use a computer to plot graphs and to...
Additional Math Textbook Solutions
Find more solutions based on key concepts
Mathematical Connections Explain why a number and a numeral are considered different.
A Problem Solving Approach To Mathematics For Elementary School Teachers (13th Edition)
1. How many solutions are there to ax + b = 0 with ?
College Algebra with Modeling & Visualization (5th Edition)
1. combination of numbers, variables, and operation symbols is called an algebraic______.
Algebra and Trigonometry (6th Edition)
The four flaws in the given survey.
Elementary Statistics
Suppose you toss one coin three times in a row and get heads, tails, heads (HTH). If you are interested in the ...
Using and Understanding Mathematics: A Quantitative Reasoning Approach (6th Edition)
Chain Rule using a table Let h(x)= f(g(x)) and p(x) = g(f(x)). Use the table to compute the following derivativ...
Calculus: Early Transcendentals (2nd Edition)
Knowledge Booster
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, subject and related others by exploring similar questions and additional content below.Similar questions
- The Course Name Real Analysis please Solve questions by Real Analysisarrow_forwardWe 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_forward
- 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_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_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_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_forwardWrite 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_forwardScoring: MATH 15 FILING /10 COMPARISON /10 RULER I 13 Express EMPLOYMENT PROFESSIONALS NAME: SKILLS EVALUATION TEST- Light Industrial MATH-Solve the following problems. (Feel free to use a calculator.) DATE: 1. If you were asked to load 225 boxes onto a truck, and the boxes are crated, with each crate containing nine boxes, how many crates would you need to load? 2. Imagine you live only one mile from work and you decide to walk. If you walk four miles per hour, how long will it take you to walk one mile? 3. Add 3 feet 6 inches + 8 feet 2 inches + 4 inches + 2 feet 5 inches. 4. In a grocery store, steak costs $3.85 per pound. If you buy a three-pound steak and pay for it with a $20 bill, how much change will you get? 5. Add 8 minutes 32 seconds + 37 minutes 18 seconds + 15 seconds. FILING - In the space provided, write the number of the file cabinet where the company should be filed. Example: File Cabinet #4 Elson Co. File Cabinets: 1. Aa-Bb 3. Cg-Dz 5. Ga-Hz 7. La-Md 9. Na-Oz 2. Bc-Cf…arrow_forwardpart 3 of the question is: A power outage occurs 6 min after the ride started. Passengers must wait for their cage to be manually cranked into the lowest position in order to exit the ride. Sine function model: where h is the height of the last passenger above the ground measured in feet and t is the time of operation of the ride in minutes. What is the height of the last passenger at the moment of the power outage? Verify your answer by evaluating the sine function model. Will the last passenger to board the ride need to wait in order to exit the ride? Explain.arrow_forwardarrow_back_iosSEE MORE QUESTIONSarrow_forward_ios
Recommended textbooks for you
Algebra & Trigonometry with Analytic GeometryAlgebraISBN:9781133382119Author:SwokowskiPublisher:Cengage
Elementary Linear Algebra (MindTap Course List)AlgebraISBN:9781305658004Author:Ron LarsonPublisher:Cengage Learning
Algebra & Trigonometry with Analytic Geometry
Algebra
ISBN:9781133382119
Author:Swokowski
Publisher:Cengage
Elementary Linear Algebra (MindTap Course List)
Algebra
ISBN:9781305658004
Author:Ron Larson
Publisher:Cengage Learning
01 - What Is an Integral in Calculus? Learn Calculus Integration and how to Solve Integrals.; Author: Math and Science;https://www.youtube.com/watch?v=BHRWArTFgTs;License: Standard YouTube License, CC-BY