Show that Cov dL 1 , dL 3 1 L 1 3 L 3 12 23 dt ...

Recall that for independent Brownian ...

Show that Cov[dL 1 , dL 3 ] = 1 L 1 3 L 3

Question:

Show that Cov[dL₁, dL₃] = σ₁L₁σ₃L₃ρ₁₂ρ₂₃dt.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

See More Books

Question Posted: Dec 17, 2018 04:21 AM

See More Questions

Given the assumptions in column 1 of the table, show that the assumptions in column 2 are equivalent to them. Assumptions of the Classical Model (1).................... (2) E(u i \X i )...
Following Friedmans permanent income hypothesis, we may write Y i = Î± + Î²X i where Y i = permanent consumption expenditure and X i = permanent income. Instead of observing...
Show that the risk premium of a security with state contingent payoff |d n is given by Cov[M, d n ]. Use the relation in the process. Cov[X, Y]= E[XY] E[X\E[ Y]
In Exercises show that is strictly monotonic on the given interval and therefore has an inverse function on that interval. f(x) = cos x, [0, ]
Caterpillar Inc. is the world's leading manufacturer of construction and mining equipment. In addition, Birinyi Associates identified Caterpillar as one of the top five companies to repurchase their...
What is the Apache Web server? How much does it cost? What functional ity does it currently have? You may want to look at Wikipedia to answer this question.
Exercise 2.143 introduces a study examining the relationship between football playing and hippocampal volume, in $\mu \mathrm{L}$, in the brain. We use the $n=25$ participants in the control...
Using the information in P4- 6 and P4- 7, perform the following steps for Tides Tea Company: In P4- 6 Tides Tea Company began operations on January 1, 2015. During the first year of business, the...
The unadjusted trial balance as of December 3 1 , 2 0 2 4 , for the Bags Consulting Company appears below. December 3 1 is the company s reporting year - end. Account Title Debits Credits Cash $ 1 1...
Consider an economy that consists of three individuals: Maureen (M), David (D), and Suvarna (S). Two goods are available in the economy, x and y. The marginal rates of substitution for the three...
Prove the second equality in (21.88). (21.88) Vim (To, To)|(1 + AtL(To) (m), V(1, To) = PA(1)-
Use linearity of the DC-operator to prove (21.35). (21.35) |dW$) = \dW) R(DC log(S/U))dt
Following are the balance sheets for the years ended June 30, 2018 and 2017 for Seahorse Inc.: Required: a. Calculate the current ratio and the quick ratio on June 30, 2017 and 2018. b. Assess the...
In 2017 -18, a taxpayer makes a number of disposals, as listed below. Which of these disposals would be exempt from CGT? (a) An antique table sold for 5,000. (b) A watercolour painting sold at...
In September 2008 , Pamela bought a building for business use at a cos t of 150,000. I n September 2017 she sold the building for 261,400 and immediately bought another building, again for business...
Melanie bought a house on 1 June 1986 for 3 1,000. The house was sold on 31 December 2017 for 173,000. Compute the chargeable gain arising in each of the following cases: (a) Melanie occupied the...
Katherine acquired a 40-year lease on a property on 31 August 1999 for 75,000. On 31 August 2017 she assigned the lease to Francesco for 97,500. The property was never Katherine's residence. Compute...
In June 201 6, Walter bought 10 ,000 shares in Ovod plc at a cost of 7 per share. In September 2017 , Rundico plc made a takeover bid for Ovod plc, offering the Ovod shareholders eight Rundico shares...
The number of short-term parking spaces at 15 airports is shown. Find the mean, median, mode, and midrange for the data. 750 3400 1962 260 690 9822 1131 203 750 700 1479 5905 2516 8662 900 9239 2516
Before the 1973 oil embargo and subsequent increases in the price of crude oil, gasoline usage in the United States had grown at a seasonally adjusted rate of 0.57 percent per month, with a standard...
Promotion has been the target of considerable criticism. What specific types of promotion are probably the object of this criticism? Give a particular example that illustrates your thinking.
With direct-response promotion, customers provide feedback to marketing communications. How can a marketing manager use this feedback to improve the effectiveness of the overall promotion blend?
How can a promotion manager aim a message at a certain target market with electronic media (like the Internet) when the customer initiates the communication? Give an example.
Experiential Activity. As domestic companies begin to expand overseas, they face many challenges. Among these is deciding how to compensate the people who fill top management positions in the global...
How could you proceed to find out how many of the eligible people would actually join the new chapter? Be specific about your methods of gathering data.
Discuss the role of linear programming in capacity planning and how it can be used to determine optimal production levels.

Show that Cov[dL 1 , dL 3 ] = 1 L 1 3 L 3

Question:

Step by Step Answer:

Recall that for independent Brownian ...View the full answer

A First Course in Quantitative Finance

Students also viewed these Business questions