24/07/2018 Probability and Stochastics for finance - - Unit 3 - Week 2

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Unit 3 - Week 2

Course
outline Assignment 2
The due date for submitting this assignment has passed. Due on 2016-02-09, 23:55 IST.
How to access
the portal Submitted assignment

Week 1
1) 2 points
Week 2 −3
I f  f (x|y) = 6x(y − x)y ,  0 ≤ x ≤ y,  then
X|Y

Conditional
Expectation-I

Conditional E(X |Y ) = X + 2
Expectation-II

Martingales
E(X |Y ) = Y
Brownian
Motion-I

Brownian Y
Motion-II E(X |Y ) =
2

Quiz :
Assignment 2
2
Y
E(X |Y ) =
Week 3 2

No, the answer is incorrect.

Week 4 Score: 0
Accepted Answers:
Assignment
Solutions Y
E(X |Y ) =
2

2) 2 points
Let (Y , F ) be a M artingale,  then which of  the f ollowing is true

E(Y n+m |Fn ) = Y m ,  ∀n, m ≥ 0

E(Y n+m |Fn ) = Y n ,  ∀n, m ≥ 0

E(Y n+m |Fn ) = Y 0 ,  ∀n, m ≥ 0

E(Y n+m |Fn ) = Y n+m ,  ∀n, m ≥ 0

No, the answer is incorrect.

Score: 0

https://onlinecourses.nptel.ac.in/noc16_ma02/unit?unit=27&assessment=33 1/3
24/07/2018 Probability and Stochastics for finance - - Unit 3 - Week 2
Accepted Answers:

E(Y n+m |Fn ) = Y n ,  ∀n, m ≥ 0

3) 2 points
I f  Y , Z  are random variables and f  is a f unction,  then

E(f (Z )Y |Z ) = f (E(Z Y |Z ))

E(f (Z )Y |Z ) = E(f (Z Y )|Z )

E(f (Z )Y |Z ) = f (Z )E(Y )

E(f (Z )Y |Z ) = f (Z )E(Y |Z )

No, the answer is incorrect.

Score: 0
Accepted Answers:

E(f (Z )Y |Z ) = f (Z )E(Y |Z )

4) 2 points
2
Let Z (t) = (W (t)) − t,  where W (t) is Brownian M otion,  then Z (t) is

Brownian M otion

M artingale

Exponential M artingale

none of  these

No, the answer is incorrect.

Score: 0
Accepted Answers:

M artingale

5) 2 points
E(exp(σ W (t) − W (s))) =. . . . . . . .

2
σ /4(t−s)
e

2
σ /2t
e

2
σ (t−s)
e

2
σ /2(t−s)
e

https://onlinecourses.nptel.ac.in/noc16_ma02/unit?unit=27&assessment=33 2/3
24/07/2018 Probability and Stochastics for finance - - Unit 3 - Week 2
No, the answer is incorrect.
Score: 0
Accepted Answers:

2
σ /2(t−s)
e

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