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| Section | Weight | Objectives |
|---|---|---|
| Topic 1: Probability Theory | 25% | - Random variables and distributions
|
| Topic 2: Statistics and Regression Analysis | 20% | - Linear regression
|
| Topic 3: Numerical Methods & Financial Mathematics | 15% | - Root finding and approximation - Basics of risk modeling - Time value of money |
| Topic 4: Linear Algebra and Matrix Theory | 20% | - Matrix operations
|
| Topic 5: Calculus and Functions | 20% | - Multivariable calculus
|
1. A linear regression gives the following output:
Figures in square brackets are estimated standard errors of the coefficient estimates.
What is the value of the test statistic for the hypothesis that the coefficient of is less than 1?
A) 1.92
B) 0.96
C) 0.32
D) 0.64
2. You work for a brokerage firm that charges its client x per share. The volume of trade of a client of type A depends on the per share commission in the following manner. If the commission is x, the client of type A will trade e-ax shares on average each week. What is the optimal commission x that maximizes the income from client A, noting that a is greater than zero?
A) 42
B) a
C) 1
D) a2
3. Which of the provided answers solves this system of equations?
2y - 3x = 3y +x
y2 + x2 = 68
A) x = 1; y = square root of 67
B) x = 2; y = 8
C) x = -2; y = -8
D) x = 2; y = -8
4. A 95% confidence interval for a parameter estimate can be interpreted as follows:
A) The probability that the estimated value of the parameter is outside this interval is 95%.
B) The probability that the real value of the parameter is outside this interval is 95%.
C) The probability that the real value of the parameter is within this interval is 95%.
D) The probability that the estimated value of the parameter is within this interval is 95%.
5. A typical leptokurtotic distribution can be described as a distribution that is relative to a normal distribution
A) peaked and thin at the center and with heavy (fat) tails
B) peaked and thin at the center and with thin tails
C) flat and thick at the center and with heavy (fat) tails
D) flat and thick at the center and with thin tails
Solutions:
| Question # 1 Answer: D | Question # 2 Answer: A | Question # 3 Answer: D | Question # 4 Answer: C | Question # 5 Answer: A |
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