Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 93
Exercise 19

Use Newton’s method with seed value = 0 to solve the equation:

[2.164]

Solution

Newton's method employs the recursive formula

[2.142]

For this exercise,

[s1]
   
[s2]

Starting with seed value = 0, we apply [2.142] recursively. Results are indicated below.

f()
1 0.00000 1.00000
2 -1.00000 -2.63212
3 -0.58666 -0.47631
4 -0.46980 -0.03702
5 -0.45905 -0.00031
6 -0.45896 0.00000
7 -0.45896 0.00000

 

 

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