Fundamentals of Biostatistics
Fundamentals of Biostatistics
8th Edition
ISBN: 9781305268920
Author: Bernard Rosner
Publisher: Cengage Learning
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Chapter 6.5, Problem B.3RE

What is the difference between a standard deviation and a standard error?

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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 6 Solutions

Fundamentals of Biostatistics

Ch. 6 - The data in Table 6.10 concern the mean triceps...Ch. 6 - The data in Table 6.10 concern the mean triceps...Ch. 6 - Refer to the data in Table 2.13. Regard this...Ch. 6 - Refer to the data in Table 2.13. Regard this...Ch. 6 - Refer to the data in Table 2.13. Regard this...Ch. 6 - Refer to the data in Table 2.13. Regard this...Ch. 6 - Refer to the data in Table 2.13. Regard this...Ch. 6 - Refer to the data in Table 2.13. Regard this...Ch. 6 - Refer to the data in Table 2.13. Regard this...Ch. 6 - A nine-laboratory cooperative study was performed...Ch. 6 - A nine-laboratory cooperative study was performed...Ch. 6 - A nine-laboratory cooperative study was performed...Ch. 6 - A nine-laboratory cooperative study was performed...Ch. 6 - A nine-laboratory cooperative study was performed...Ch. 6 - A study of psychological and physiological health...Ch. 6 - A study of psychological and physiological health...Ch. 6 - A study is conducted to test the hypothesis that...Ch. 6 - A study is conducted to test the hypothesis that...Ch. 6 - Suppose a clinical trial is conducted to test the...Ch. 6 - Suppose a clinical trial is conducted to test the...Ch. 6 - Suppose a clinical trial is conducted to test the...Ch. 6 - Suppose we want to estimate the concentration...Ch. 6 - Suppose we want to estimate the concentration...Ch. 6 - Suppose we want to estimate the concentration...Ch. 6 - Much discussion has taken place concerning...Ch. 6 - Much discussion has taken place concerning...Ch. 6 - Much discussion has taken place concerning...Ch. 6 - A new assay is developed to obtain the...Ch. 6 - A new assay is developed to obtain the...Ch. 6 - A new assay is developed to obtain the...Ch. 6 - A new assay is developed to obtain the...Ch. 6 - Suppose 100 hypertensive people are given an...Ch. 6 - Suppose 100 hypertensive people are given an...Ch. 6 - Suppose 100 hypertensive people are given an...Ch. 6 - Suppose we decide a better measure of the...Ch. 6 - Suppose we decide a better measure of the...Ch. 6 - Suppose we decide a better measure of the...Ch. 6 - Suppose we decide a better measure of the...Ch. 6 - Draw six random samples of size 5 from the data in...Ch. 6 - Draw six random samples of size 5 from the data in...Ch. 6 - Draw six random samples of size 5 from the data in...Ch. 6 - Draw six random samples of size 5 from the data in...Ch. 6 - Draw six random samples of size 5 from the data in...Ch. 6 - Figure 6.4b (p. 172) plotted the sampling...Ch. 6 - Figure 6.4b (p. 172) plotted the sampling...Ch. 6 - Figure 6.4b (p. 172) plotted the sampling...Ch. 6 - Figure 6.4b (p. 172) plotted the sampling...Ch. 6 - The etiology of high blood pressure remains a...Ch. 6 - The etiology of high blood pressure remains a...Ch. 6 - The etiology of high blood pressure remains a...Ch. 6 - Data Set SEXRAT.DAT, at www.cengagebrain.com,...Ch. 6 - A cohort of hemophiliacs is followed to elicit...Ch. 6 - A cohort of hemophiliacs is followed to elicit...Ch. 6 - A cohort of hemophiliacs is followed to elicit...Ch. 6 - We have previously described Data Set LEAD.DAT (at...Ch. 6 - We have previously described Data Set LEAD.DAT (at...Ch. 6 - We have previously described Data Set LEAD.DAT (at...Ch. 6 - Data Set NIFED.DAT (at www.cengagebrain.com) was...Ch. 6 - Data Set NIFED.DAT (at www.cengagebrain.com) was...Ch. 6 - Data Set NIFED.DAT (at www.cengagebrain.com) was...Ch. 6 - Suppose that there are 6 deaths due to bladder...Ch. 6 - Suppose that there are 4 deaths due to stomach...Ch. 6 - The value of mammography as a screening test for...Ch. 6 - The value of mammography as a screening test for...Ch. 6 - The value of mammography as a screening test for...Ch. 6 - The value of mammography as a screening test for...Ch. 6 - On the computer, draw 1000 bootstrap samples of...Ch. 6 - On the computer, draw 1000 bootstrap samples of...Ch. 6 - A study was performed to investigate the...Ch. 6 - A study was performed to investigate the...Ch. 6 - Refer to Data Set BONEDEN.DAT at...Ch. 6 - Refer to Data Set BONEDEN.DAT at...Ch. 6 - Prob. 88PCh. 6 - Prob. 89PCh. 6 - Prob. 90PCh. 6 - Prob. 91PCh. 6 - Prob. 92PCh. 6 - Prob. 93PCh. 6 - Prob. 94PCh. 6 - Prob. 95PCh. 6 - Prob. 96PCh. 6 - A patient who is taking antihypertensive...Ch. 6 - A patient who is taking antihypertensive...Ch. 6 - A patient who is taking antihypertensive...Ch. 6 - A patient who is taking antihypertensive...Ch. 6 - A patient who is taking antihypertensive...Ch. 6 - Injuries are common in football and may be related...Ch. 6 - Injuries are common in football and may be related...Ch. 6 - A hypertensive patient has been on...Ch. 6 - A hypertensive patient has been on...Ch. 6 - A hypertensive patient has been on...Ch. 6 - A hypertensive patient has been on...Ch. 6 - A radiologist investigates whether a new (less...Ch. 6 - A radiologist investigates whether a new (less...Ch. 6 - The estimation of allele probabilities is...Ch. 6 - The estimation of allele probabilities is...Ch. 6 - The estimation of allele probabilities is...Ch. 6 - As an experiment, 10,000 people are completely...Ch. 6 - As an experiment, 10,000 people are completely...Ch. 6 - Which of the following sample results yields a 95%...Ch. 6 - Suppose we observe 30 cases of colon cancer over...
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