Mathematical Methods for Quantitative Finance

Practice Problems 2

1. Compute the following antiderivatives.
(a)

x3 log(...
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Practice Problems 2

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Transcript of "Practice Problems 2"

  1. 1. Mathematical Methods for Quantitative Finance Practice Problems 2 1. Compute the following antiderivatives. (a) x3 log(x) dx (b) x2 ex dx 2 (c) log(x) dx 2. Compute the following definite integrals. 7 x5 log(x) dx (a) 4 ∞ (b) 0 1 dx (1 + x)2 3. Let K, T , σ, and r be positive constants and let 1 g(x) = √ 2π where b(x) = 1 √ σ T log x K + r+ σ2 2 b(x) y2 e− 2 dy 0 T . Compute g (x). http://computational-finance.uw.edu

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