Test of Financial Mathematics, Jaunuary 12, 2015

Name:......................................Surname:................................. Matriculation number:........................

1. Study the definition of the following quadratic form on R3 : q(x, y, z) = x2 + 2y 2 + 4z 2 − 2xy − 4yz;

2. Determine the nature of the stationary points of the following function: f (x, y) = x2 − 2xy + 3x;

3. Determine (in the exponential regime) the three-months interest rate i[4] corresponding to four-
months interest rate i[3] = 0.015.

4. Determine the present value at t = 0 of a perpetuity paying 100 euros at 2, 3, 4, 5, ... if the annual
interest rate in the regime of the compound interest is i = 3%.

5. The amortization of a debt D at t = 0 is made by means of the payment of 10 instalments alternatively

equal to 100 and 200 euros (the first is due after one year) payed every year. Determine the debt D
in case that the annual interest rate is i = 4%.

6. Let f : (R2 ⊃)D −→ R be a real function of 2 real variables. Then a point x0 ∈ D is:

(a) a point of strict relative maximum if the gradient at x0 is D1 f (x0 ) = 0;

(b) a saddle point of f if the hessian matrix D2 f (x0 ) is indefinite of sign;
(c) a point of strict relative maximum if the gradient at x0 is D1 f (x0 ) = 0 and the hessian matrix
D2 f (x0 ) is negative definite;
(d) none of the previous assertions is true.

7. Let q(x) be a quadratic form on Rn and let A be the symmetric matrix associate to q(x). Then

(a) q(x) is positive definite if there is a positive principal minor;

(b) q(x) is positive definite if det(A1 ) > 0 and det(A3 ) > 0;
(c) q(x) is negative definite if there is a negative principal minor;
(d) none of the previous assertions is true.

8. Consider the regime of the compound interest corresponding to a force of interest δ (annual interest
rate i). Then the future value an amount F after t years is

(a) C = F teδt ;
(b) C = F (1 + i)δt ;
(c) C = F (1 + i)t ;
(d) none of the previous assertions is true.

9. Consider the regime of the compound interest and let δ be the force of interest and i the annual
interest rate. Then

(a) δ = log(i);
(b) eδ = 1 − i;
(c) δ = log(1 + i);
(d) none of the previous assertions is true.

10. Consider the following assertions.

(a) The regime of the compound interest does satisfy time divisibility;
(b) The regime of the linear interest satisfies time divisibility;
(c) The regime of the commercial discount does not satisfy homogeneity with respect to the amount;
(d) none of the previous assertions is true.