Task Advanced Master Quantitative Finance

Jeroen Kerkhof

February 8, 2017

1 Differentiation

1. Compute the derivative f ′ (x) of the following functions:

f (x) = 15x2 (1)

4
f (x) = ax (2)
f (x) = log(x) (3)
f (x) = cos(x) (4)
x
f (x) = e (5)
√
f (x) = 9x (6)
x
f (x) = a (7)
x
f (x) = x (8)
∫x
f (x) = g(y)dy (9)
0
∫∞
f (x) = g(y)dy (10)
x

2 Integration
∫
1. Compute the indefinite integral f (x)dx of the following functions:

f (x) = 15x2 (11)

4
f (x) = ax (12)
√
f (x) = 9x (13)
1
f (x) = (14)
x
f (x) = cos(x) (15)
x
f (x) = e (16)

1
3 Statistics / Probability
1. If the Covariance matrix of X, Y is given by
[ ]
4 4
Σ= (17)
4 16
2. What are the standard deviations of X and Y , σX , σY ?
3. What is the correlation coefficient, ρ?
4. If X ∼ N (µ, σ 2 ), what are the mean and variance of 5X?
5. if Y ∼ N (µ, 50σ 2 ) independent from X, what is the probability of X < Y ?
6. If X ∼ N (µ, σ 2 ), what is the expectation of eX ?
y = Xβ + ε (18)

7. What is the OLS estimator for β in the regression model given by (18)?
8. What is the covariance matrix for the OLS estimator of β?

4 Linear Algebra
[ ]
−1 3
A= (19)
2 −4
[ ]
−4 3
B= (20)
−2 4

1. Compute the eigenvalues of A?

2. Compute the trace of A?
3. Compute A′ × B?

5 Options
1. If ST denotes the value of a stock at time T what is the payout of a call option with a strike
price equal to K at time T .

c(T ) = (21)

2. If ST denotes the value of a stock at time T what is the payout of a put option with a strike
price equal to K at time T .

p(T ) = (22)

2
6 Valuation

1. What happens to bond prices when interest rates rise?

2. What happens to a call option price when volatility increases?

3. What happens to a put option price when volatility increases?

7 Economics

1. What is inflation?

2. Who sets the short-term interest rates in Euro, USD, GBP, respectively?

8 Programming

You can use any programming language, but Python (our choice), Matlab, or R will be most
appropriate. We have a vector of numbers, called v.

1. Write a program that computes the average of v.

2. Write a program that computes the standard deviation of v.

3. Write a program that finds all unique numbers in v and the number of their occurrences.
Order the vector by having the most frequent number first.