Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 97
Exercise 24

Evaluate the integral

[2.168]

four different ways:

a. analytically;

b. with a Riemann sum using m = 10;

c. with the trapezoidal rule using m = 10;

d. with Simpson’s rule using m = 10.

Solution

a.

[s1]

b. Applying Riemann sums, we obtain

 

f() Product
[1] [2] [3] [2] [3]
1.0      
1.1 0.90909 .10 0.09091
1.2 0.83333 .10 0.08333
1.3 0.76923 .10 0.07692
1.4 0.71429 .10 0.07143
1.5 0.66667 .10 0.06667
1.6 0.62500 .10 0.06250
1.7 0.58824 .10 0.05882
1.8 0.55556 .10 0.05556
1.9 0.52632 .10 0.05263
2.0 0.50000 .10 0.05000
Total     0.66877

 

c. Applying the trapezoidal rule, we obtain

 
f() Weight Product
[1] [2] [3] [4] [2] [3] [4]
1.0 1.00000 0.5 0.10 0.05000
1.1 0.90909 1.0 0.10 0.09091
1.2 0.83333 1.0 0.10 0.08333
1.3 0.76923 1.0 0.10 0.07692
1.4 0.71429 1.0 0.10 0.07143
1.5 0.66667 1.0 0.10 0.06667
1.6 0.62500 1.0 0.10 0.06250
1.7 0.58824 1.0 0.10 0.05882
1.8 0.55556 1.0 0.10 0.05556
1.9 0.52632 1.0 0.10 0.05263
2.0 0.50000 0.5 0.10 0.02500
Total       0.69377

 

d. Applying Simpson's rule, we obtain

 

 
f() Weight Product
[1] [2] [3] [4] [2] [3] [4]
1.0 1.00000 1/3 0.10 0.03333
1.1 0.90909 4/3 0.10 0.12121
1.2 0.83333 2/3 0.10 0.05556
1.3 0.76923 4/3 0.10 0.10256
1.4 0.71429 2/3 0.10 0.04762
1.5 0.66667 4/3 0.10 0.08889
1.6 0.62500 2/3 0.10 0.04167
1.7 0.58824 4/3 0.10 0.07843
1.8 0.55556 2/3 0.10 0.03704
1.9 0.52632 4/3 0.10 0.07018
2.0 0.50000 1/3 0.10 0.01667
Total       0.69315

 

 

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