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Question 1
Let f(x,y)=sin(xy). Compute fx.
Answer for Question 1
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y*cos(x*y)
Total
Score
Correct
Explanation
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Question Explanation
To compute the partial derivative wrt x, treat y as a constant and take the derivative of f as a function of a single variable x.
Question 2
Let f(x,y)=sin(xy). Compute 2fxy.
Answer for Question 2
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cos(x*y)-(y*x*sin(x*y))
Score
Correct
Total
Explanation
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Question Explanation
Take the partial derivative of f wrt y then take the partial derivative of fy wrt x.
Question 3
Compute the Hessian of the function f(x,y)=sin(xy) and evaluate it at the point (,). How many unique values are there?
Your Answer
Score
Correct
1.00
Total
Question Explanation
The Hessian is the array of second order partial derivatives.
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Explanation
Question 4
Let f(x,y)=x2+y2, x=sin(), and y=cos(). Compute dfd.
Answer for Question 4
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Score
Correct
Total
Explanation
1.00
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Question Explanation
Short cut: substitute x=sin() and y=cos() into the expression for f to see that f(x,y)=1. Make sure you understand the chain rule
formula though. (please provide answer as a numerical response.)
Question 5
Let F(x,y)=cos(x)sin(y)14=0. Compute dydx.
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Your Answer
tan(x)*tan(y)
Total
Score
Correct
Explanation
1.00
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Question Explanation
Use implicit differentiation.
Question 6
vega(P)=vega(C)
Your Answer
Score
Explanation
True
Correct
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False
Total
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Question Explanation
Take the partial derivative of the put-call parity relation wrt .
Question 7
Does an increase in S have a positive or negative effect on the price of a European call option?
Your Answer
Positive
Score
Correct
1.00
Explanation
Negative
Total
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Question Explanation
Is (C) greater than or less than zero?
Question 8
Does an increase in S have a positive or negative effect on the Delta () of a European call option?
Your Answer
Positive
Negative
Score
Correct
1.00
Explanation
Total
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Question Explanation
Is greater than or less than zero?
Question 9
Does a positive change in r have a positive or negative effect on the price of a European call option?
Your Answer
Positive
Score
Correct
1.00
Negative
Total
Question Explanation
Is greater than or less than zero?
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Explanation
Question 10
Does a positive change in t have a positive or negative effect on the price of a European call option (assume that the underlying asset does
not pay a dividend, i.e., that q=0)?
Your Answer
Score
Positive
Negative
Total
Question Explanation
Is greater than or less than zero?
Correct
1.00
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Explanation