8007 試験問題を無料オンラインアクセス

Kurtosis(X) is defined as the fourth centred moment of X, divided by the square of the variance of X.
Assuming X is a normally distributed variable, what is Kurtosis(X)?

• A.3
• B.2
• C.0
• D.1

Which of the following statements about skewness of an empirical probability distribution are correct?
1. When sampling returns from a time series of asset prices, discretely compounded returns exhibit higher skewness than continuously compounded returns
2. When the mean is significantly less than the median, this is an indication of negative skewness
3. Skewness is a sign of asymmetry in the dispersion of the data

• A.Statements 1 and 3 are correct
• B.Statements 2 and 3 are correct
• C.Statements 1 and 2 are correct
• D.All three statements are correct

Assume that 40% of all financial organizations investigated by authorities turn out to be fraudulent.
What is the probability of randomly investigating 2 different organizations and finding that neither is fraudulent; and what is the probability of finding exactly one being fraudulent?

• A.2/5 and 3/5
• B.1/3 and 8/17
• C.2/5 and 1/2
• D.9/25 and 12/25

Consider the following distribution data for a random variable X: What is the mean and variance of X?

• A.3.4 and 3.84
• B.3.5 and 3.45
• C.3.6 and 7.15
• D.None of these

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?

• A.19.23
• B.20.54
• C.18.75
• D.17.33