Mathematical Methods in the Physical Sciences
3rd Edition
ISBN: 9780471198260
Author: Mary L. Boas
Publisher: Wiley, John & Sons, Incorporated
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Chapter 5.6, Problem 9MP
As needed, use a computer to plot graphs and to check values of integrals.
Find the centroid of the area above
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3. A market consists of two risky assets with rates of return R₁ and R2 and no risk-free
asset. From market data the following have been estimated: ER₁ = 0.25, ER2 = 0.05,
Var R₁ = 0.01, Var R2 = 0.04 and the correlation between R1 and R2 is p = -0.75.
(i) Given that an investor is targeting a total expected return of μ = 0.2. What
portfolio weights should they choose to meet this goal with minimum portfolio
variance? Correct all your calculations up to 4 decimal points.
(ii) Determine the global minimum-variance portfolio and the expected return and
variance of return of this portfolio (4 d.p.).
(iii) Sketch the minimum-variance frontier in the μ-σ² plane and indicate the efficient
frontier.
(iv) Without further calculation, explain how the minimum variance of the investor's
portfolio return will change if the two risky assets were independent.
2. A landlord is about to write a rental contract for a tenant which lasts T months. The
landlord first decides the length T > 0 (need not be an integer) of the contract, the
tenant then signs it and pays an initial handling fee of £100 before moving in. The
landlord collects the total amount of rent erT at the end of the contract at a continuously
compounded rate r> 0, but the contract stipulates that the tenant may leave before T,
in which case the landlord only collects the total rent up until the tenant's departure
time 7. Assume that 7 is exponentially distributed with rate > 0, λ‡r.
(i) Calculate the expected total payment EW the landlord will receive in terms of T.
(ii) Assume that the landlord has logarithmic utility U(w) = log(w - 100) and decides
that the rental rate r should depend on the contract length T by
r(T)
=
λ
√T
1
For each given λ, what T (as a function of X) should the landlord choose so as to
maximise their expected utility? Justify your answer.
Hint. It might be…
Please solving problem2
Problem1
We consider a two-period binomial model with the following properties: each period lastsone (1) year and the current stock price is S0 = 4. On each period, the stock price doubleswhen it moves up and is reduced by half when it moves down. The annual interest rateon the money market is 25%. (This model is the same as in Prob. 1 of HW#2).We consider four options on this market: A European call option with maturity T = 2 years and strike price K = 5; A European put option with maturity T = 2 years and strike price K = 5; An American call option with maturity T = 2 years and strike price K = 5; An American put option with maturity T = 2 years and strike price K = 5.(a) Find the price at time 0 of both European options.(b) Find the price at time 0 of both American options. Compare your results with (a)and comment.(c) For each of the American options, describe the optimal exercising strategy.
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...
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