Medium Quantitative Finance Practice Questions
204 free medium-difficulty Quantitative Finance questions, drawn live from KomFi's calibrated bank. The exam backbone: the difficulty band where most scoring happens.
- If the risk-free rate is r = 0.05 and the horizon is T = 0.5 years, what is the no-arbitrage forward price F_0
- If the risk-free growth factor is e^rT = 1.02, what is the risk-neutral probability p^* of an upward move?
- What is the value of the d_1 parameter in the Black-Scholes formula?
- Which statistical property describes a time series where the mean, variance, and autocorrelation structure are
- What is the optimal weight w_A for Asset A in the global minimum-variance portfolio?
- If the terminal nodes for the stock are 132.69, 100.00, and 75.36, what is the estimated value of the put toda
- If the coefficients for node i=50 are a=0.4875, b=-0.0005, and c=0.5125, what is the value V_50 at time n?
- What is the estimated OLS beta (slope) of the stock?
- What is the long-run probability of being in the Stressed state?
- Under the geometric Brownian motion model with μ = 0.12, σ = 0.30, and S_0 = 100, what is the median stock pri
- A strategy delivers a sample mean daily return of 0.06% with a sample daily volatility of 1.5% over n = 256 tr
- Calculate the one-year survival probability for a corporate bond with a constant hazard rate of λ = 0.04 per y
- According to the lognormal property, what is the expected stock price at time T = 1 year if the initial price
- What is the minimum stock price move (either direction) required in one day for the trader to break even?
- If the assumed recovery rate in the event of default is 40%, what is the implied annual hazard rate (λ)?
- A trader buys a bull call spread by purchasing a call at K_1… — What is the maximum possible profit for this s
- What is the optimal fraction of wealth to invest in the risky asset?
- If the underlying asset moves by $3 in one day, what is the approximate net profit or loss for the day?
- Consider a European call and put on a non-dividend-paying stock with S_0 = $60, K = $58, T = 0.5, and r = 4%.
- A stock follows geometric Brownian motion dS = μ S dt + σ S dW. Using Itô's Lemma, find the volatility of the
- If the risk-free growth factor over the period is 1.02, what is the risk-neutral probability p^* of an up move
- If the market assumes a recovery rate of 40%, what is the implied annual hazard rate (default intensity) λ?
- Which component of the bid-ask spread compensates the market maker for the risk of trading against a counterpa
- Under Girsanov's theorem, if a stock follows dS_t = μ S_t dt + σ S_t dW_t under the real-world measure mathbbP
- What is the expected price of the stock in one year, E[S_1]?
- Which numerical method for option pricing is generally preferred for high-dimensional contracts, such as an op
- Given a risk-free rate of 3%, which strategy is superior on a risk-adjusted basis according to the Sharpe Rati
- What is the long-run (unconditional) daily volatility of the asset?
- Given S_0 = 50, K = 52, r = 4%, T = 0.5, and a risk-neutral probability of finishing in-the-money of 42%, what
- Using a simple credit spread approximation, what is the implied annual hazard rate λ for a bond trading at a s
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