PRMIA 8007 Mathematical Foundations of Risk Measurement – 2015 Edition Exam Practice Test

In a multiple linear regression, the significance of R2 can be tested using which distribution?

Evaluate the derivative of ln(1+ x2) at the point x = 1

Suppose that f(x) and g(x,y) are functions. What is the partial derivative of f(g(x,y)) with respect to y?

Identify the type and common element (that is, common ratio or common difference) of the following sequence: 6, 12, 24

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European put option has a strike of 105 and a maturity of 90 days. Its Black-Scholes price is 7.11. The options sensitivities are: delta = -0.59; gamma = 0.03; vega = 19.29. Find the delta-gamma approximation to the new option price when the underlying asset price changes to 105

If the annual volatility of returns is 25% what is the variance of the quarterly returns?

I have a portfolio of two stocks. The weights are equal. The one volatility is 30% while the other is 40%. The minimum and maximum possible values of the volatility of my portfolio are: