第 1 / 1 页
非代码面试题
显示 13 / 13 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
2117Variance-Swap Sampling Intuition 22A quarter has only two very large overnight gap moves and otherwise tiny close-to-close returns. Why can realized variance still end up far above what a smooth diffusion intuition would suggest?数理金融困难essay未尝试面试订阅2311Jump-Risk Trading Intuition 1Why do negative jumps create downside skew even when the diffusion part is symmetric?数理金融中等essay未尝试面试订阅2312Jump-Risk Trading Intuition 2Why can a Black-Scholes delta hedge look fine most days and still fail violently under jump risk?数理金融中等essay未尝试面试订阅2313Jump-Risk Trading Intuition 3Why are short-dated out-of-the-money options especially sensitive to jump assumptions?数理金融中等essay未尝试面试订阅2314Jump-Risk Trading Intuition 4Why can calibration struggle to distinguish jump frequency from jump size?数理金融中等essay未尝试面试订阅2315Jump-Risk Trading Intuition 5Why are jump models and stochastic-vol models complements rather than simple substitutes?数理金融中等essay未尝试面试订阅2316Jump-Risk Trading Intuition 6Why is exact jump simulation straightforward once the jump count is sampled?数理金融困难essay未尝试面试订阅2317Jump-Risk Trading Intuition 7Why can Monte Carlo variance explode for tail-heavy payoffs under jump-diffusion even if vanilla prices are stable?数理金融困难essay未尝试面试订阅2318Jump-Risk Trading Intuition 8Why do positive and negative jumps change the volatility smile in different ways even if jump variance is the same?数理金融困难essay未尝试面试订阅2319Jump-Risk Trading Intuition 9Why can a jump-risk model still be useful even if it does not fit every strike perfectly?数理金融困难essay未尝试面试订阅2320Jump-Risk Trading Intuition 10Why does the smile effect of jumps often decay with maturity more differently than the smile effect of plain stochastic volatility?数理金融困难essay未尝试面试订阅5012Jump-Risk Intuition 22Why can discrete jumps make the simple diffusion-based variance-swap replication less exact?金融与交易困难essay未尝试面试订阅5890Jump Contribution to Realized VarianceOver a 252-day window, 251 days each have a squared log-return of 0.0001, and a single jump day has a log-return of -0.10. Realized variance is annualized as RV = (252/252) * sum r i 2 (i.e. RV = sum of squared daily log-returns, since there are 252 observations). What annualized realized variance results, and what would it have been without the jump day (give both as decimals)?数理金融中等数值题未尝试面试订阅