Free PRMIA 8007 Practice Exam with Questions & Answers | Set: 3

Let X be a random variable distributed normally with mean 0 and standard deviation 1. What is the expected value of exp(X)?

An indefinite integral of a polynomial function is

The gradient of a function f(x, y, z) = x + y2 - x y z at the point x = y = z = 1 is

Suppose 60% of capital is invested in asset 1, with volatility 40% and the rest is invested in asset 2, with volatility 30%. If the two asset returns have a correlation of -0.5, what is the volatility of the portfolio?

A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Modified Duration of the bond?

Which of the following statements is not correct?

An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?

For the function f(x) =3x-x3 which of the following is true?

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

In a portfolio there are 7 bonds: 2 AAA Corporate bonds, 2 AAA Agency bonds, 1 AA Corporate and 2 AA Agency bonds. By an unexplained characteristic the probability of any specific AAA bond outperforming the others is twice the probability of any specific AA bond outperforming the others. What is the probability that an AA bond or a Corporate bond outperforms all of the others?