Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 67
Exercise 4

Consider three points (x[k], y[k]) = (1,2), (4,2), (5,3). Interpolate a quadratic polynomial of the form

[2.50]

Solution

Let

  • f1(x) = 1

  • f2(x) = x

  • f3(x) = x2

Then

[s1]

and

[s2]

We seek

[s3]

such that

[2.48]

This is obtained as

[s4]

Our interpolated polynomial is

[s5]

 
 

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