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| Section | Weight | Objectives |
|---|---|---|
| Probability Theory | 25% | - Random variables and distributions
|
| Numerical Methods & Financial Mathematics | 15% | - Basics of risk modeling - Root finding and approximation - Time value of money |
| Linear Algebra and Matrix Theory | 20% | - Matrix operations
|
| Calculus and Functions | 20% | - Multivariable calculus
|
| Statistics and Regression Analysis | 20% | - Linear regression
|
Let N(.) denote the cumulative distribution function and suppose that X and Y are standard normally distributed and uncorrelated. Using the fact that N(1.96)=0.975, the probability that X 0 and Y 1.96 is approximately
Correct Answer: C 🗳️
You invest $2m in a bank savings account with a constant interest rate of 5% p.a. What is the value of the investment in 2 years time if interest is compounded quarterly?
Correct Answer: D 🗳️
An option has value 10 when the underlying price is 99 and value 9.5 when the underlying price is 101.
Approximate the value of the option delta using a first order central finite difference.
Correct Answer: C 🗳️
At what point x does the function f(x) = x3 - 4x2 + 1 have a local minimum?
Correct Answer: C 🗳️
Over four consecutive years fund X returns 1%, 5%, -3%, 8%. What is the average growth rate of fund X over this period?
Correct Answer: D 🗳️
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