第 47 / 87 页
非代码面试题
显示 20 / 1721 道匹配题目
答题状态：未尝试未正确已正确
ID题目领域难度题型进度权限
3671Expected Exit Time from [0,5] Starting at 2Brownian motion starts at 2 and stops on first exit from [0,5]. Using OST on W t 2-t, what is E[tau]?随机过程中等derivation未尝试面试订阅3672Expected Exit Time from [-2,4] Starting at 1Brownian motion starts at 1 and stops on first exit from [-2,4]. Using OST on W t 2-t, what is E[tau]?随机过程中等derivation未尝试面试订阅3673Symmetric Half-Width for Mean Exit Time 12Brownian motion starts at 2 inside [-L,L]. Using OST on W t 2-t, what L makes E[tau] = 12?随机过程中等derivation未尝试面试订阅3674Upper Barrier for Mean Exit Time 6 from x=1.5Brownian motion starts at 1.5 with lower barrier 0 and upper barrier b. Using OST on W t 2-t, what b makes E[tau] = 6?随机过程中等derivation未尝试面试订阅3675Average Exit Time with Uniform Start on [0,6]The starting point X is uniform on [0,6]. Brownian motion starts at X and stops on first exit from [0,6]. What is E[tau] on average?随机过程中等derivation未尝试面试订阅3678Start Needed for a 60% Drifted Upper-Hit ProbabilityA drifted Brownian motion satisfies dX t = 0.4dt + dW t and stops on first exit from [0,6]. For what start x does the upper-exit probability equal 0.6?随机过程中等derivation未尝试面试订阅3679Upper Barrier Needed for an 85% Drifted Hit ProbabilityA drifted Brownian motion satisfies dX t = 0.7dt + dW t, starts at 1, and stops on first exit from [0,b]. What upper barrier b makes the upper-exit probability equal 0.85?随机过程中等derivation未尝试面试订阅3681Upper-Hit Probability with Drift and Nonunit VolatilityA diffusion satisfies dX t = 0.4dt + 1.5dW t, starts at 1.5, and stops on first exit from [0,5]. What is the probability it exits through 5?随机过程中等derivation未尝试面试订阅3683Start Needed for a Drifted Hit Probability with Nonunit VolatilityA diffusion satisfies dX t = 0.3dt + 1.2dW t and stops on first exit from [0,6]. For what start x does the upper-exit probability equal 0.65?随机过程中等derivation未尝试面试订阅3684Barrier Needed for a 90% Drifted Hit Probability with Sigma OneA diffusion satisfies dX t = 0.5dt + 1dW t, starts at 2, and stops on first exit from [0,b]. What upper barrier b makes the upper-exit probability equal 0.9?随机过程中等derivation未尝试面试订阅3691Density Tilt Making an Energy Factor Slow Down Under QUnder P, a factor satisfies dX t = 1.1 dt + 0.5 dW t. A new measure Q is defined by W t Q = W t + theta t. What theta makes the drift of X under Q equal 0.2?随机过程中等derivation未尝试面试订阅3692Density Tilt Turning a Positive Drift into a Mild Negative OneUnder P, a factor satisfies dX t = 0.4 dt + 0.8 dW t. A new measure Q is defined by W t Q = W t + theta t. What theta makes the drift of X under Q equal -0.08?随机过程中等derivation未尝试面试订阅3693Density Tilt Removing Carry from a Basis ProcessUnder P, a factor satisfies dX t = 0.9 dt + 0.3 dW t. A new measure Q is defined by W t Q = W t + theta t. What theta makes the drift of X under Q equal 0?随机过程中等derivation未尝试面试订阅3694Density Tilt Lifting a Negative Drift Above ZeroUnder P, a factor satisfies dX t = -0.2 dt + 0.4 dW t. A new measure Q is defined by W t Q = W t + theta t. What theta makes the drift of X under Q equal 0.1?随机过程中等derivation未尝试面试订阅3701Linear Desk PnL Drift Target from a Shared DriverUnder P, dX t = 0.8dt + 0.4dW t and dY t = 0.3dt + 0.2dW t share the same Brownian motion. Let L t = 2X t + 1Y t. If Q is chosen so that L has drift 0.6 under Q, what theta is required and what is the resulting Q-drift of X?随机过程中等derivation未尝试面试订阅3702Spread Drift Target via One Girsanov TiltUnder P, dX t = 0.7dt + 0.5dW t and dY t = 0.2dt + 0.4dW t share the same Brownian motion. Let L t = 1X t + -1Y t. If Q is chosen so that L has drift -0.1 under Q, what theta is required and what is the resulting Q-drift of X?随机过程中等derivation未尝试面试订阅3766Half-Life of a Moderately Mean-Reverting SpreadAn OU deviation decays in mean like e (-kappa t) with kappa = 0.35. What is its half-life?随机过程中等derivation未尝试面试订阅3771Speed Implied by a 40% Gap After One YearIn an OU model, the expected deviation from the long-run mean shrinks by a factor 0.4 over 1 years. What kappa does this imply?随机过程中等derivation未尝试面试订阅3773Speed Implied by a 60% Gap After Half a YearIn an OU model, the expected deviation from the long-run mean shrinks by a factor 0.6 over 0.5 years. What kappa does this imply?随机过程中等derivation未尝试面试订阅3776Diffusion Strength from a Stationary Variance TargetAn OU process has mean-reversion speed kappa = 0.8 and stationary variance 0.5. What diffusion coefficient sigma is implied?随机过程中等derivation未尝试面试订阅