Karnataka State Open University (KSOU) 2010 M.B.A Third Semester - Computational Finance and Stochastic Calculus - Question Paper
Illllllllllll MFE 32
III Semester M.B.A. (F.E.) Examination, June/July 2010 COMPUTATIONAL FINANCE AND STOCHASTIC CALCULUS (OS)
Time : 3 Hours Max. Marks : 80
SECTION - A
Answer the following. Each question carries 2 marks : (2x5=10)
1. a) Define warrant pricing.
b) What do you mean by Martingale ?
c) What is Gaussian process ?
d) What is Dependent Event ?
e) What is simulation ?
SECTION - B
Answer any five questions. Each question carries seven marks : (7x5=35)
2. Illustrate probability distribution.
3. Explain Bayes theorem.
4. Write a note on spatial Poisson process.
5. Explain valuation of real options and option games.
6. Describe hitting time formulas for fixed barrier.
7. Explain Risk-Neutral simulations.
8. Describe briefly Dutch auction.
9. Describe expected discount factor.
10. Explain Monte Carlo simulation of mean Reversion Model I.
11. Explain Arithmetic Brownian model for the logarithm of the prices.
12. Explain the concept of sensitivity analysis.
SECTION - D
Answer any one, carrying 15 marks : (1x15=15)
13. Illustrater the application of X = {x(t), t, T}.
14. Explain Poisson process as limit of Bernoulli process.
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