Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 105
Exercise 25

Evaluate the integral

[2.201]

two different ways:

a. analytically;

b. with quadrature using the product rule and Simpson’s rule. Use mi = 6 for each component partition.

Solution

a.

[s1]

b. A solution by quadrature is provided as an Excel spreadsheet.
 

website: http://www.contingencyanalysis.com
value-at-risk direct link: http://www.value-at-risk.net
copyright © Contingency Analysis, 2003