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QBA Review Topics

The document outlines topics to review for the Quant Background Assessment for the Baruch MFE program. It includes 4 sections that cover calculus, probability, linear algebra, and finance review topics. The calculus section lists topics such as gradients, Hessians, implicit differentiation, and Newton's method. The probability section covers probability distributions, independence, expectations, and the central limit theorem. The linear algebra section lists topics like eigenvalues, determinants, matrices, and orthogonality. Finally, the finance section discusses compound interest, options strategies, portfolio returns, and value at risk.

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Sahil Sheth
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489 views2 pages

QBA Review Topics

The document outlines topics to review for the Quant Background Assessment for the Baruch MFE program. It includes 4 sections that cover calculus, probability, linear algebra, and finance review topics. The calculus section lists topics such as gradients, Hessians, implicit differentiation, and Newton's method. The probability section covers probability distributions, independence, expectations, and the central limit theorem. The linear algebra section lists topics like eigenvalues, determinants, matrices, and orthogonality. Finally, the finance section discusses compound interest, options strategies, portfolio returns, and value at risk.

Uploaded by

Sahil Sheth
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Quant Background Assessment – Baruch MFE Program

Topics to Review

QBA – Calculus Review Topics

• Gradients and Hessian matrices of multivariable functions


• Gradients of vector valued functions
• Implicit differentiation
• Infinite Series
• Jacobian matrices
• Limits; l'Hôpital's rule
• Local and global minima and maxima
• Newton's method recursion
• Partial derivatives
• Volumes of three dimensional objects

QBA – Probability Review Topics

• Axioms and basic properties of a probability measure


• Basic properties of commonly used distributions (Bernoulli, Binomial, Geometric, Negative
Binomial, Poisson, Uniform, Normal, Exponential, Gamma)
• Central limit theorem and applications
• Computations involving multivariate normal distributions
• Computations using Cumulative Distribution Functions (CDF)
• Computations using Moment Generating Functions (MGF)
• Computations using Probability Density Functions (PDF)
• Conditional probabilities, independence of events
• Covariance and correlation
• Expectation, Mean, Variance, and higher moments of random variables
• Independence of random variables
• Joint distribution of several random variables
• Laws of large numbers (weak and strong)
• Random variables and their distributions

QBA – Linear Algebra Review Topics

• Characteristic polynomial
• Covariance and correlation matrices
• Determinant and trace of a matrix
• Diagonal form of a matrix
• Eigenvalues, mutiplicities, eigenvectors
• Existence of linear systems solutions
• Inner products and vector norms
• Matrix rank
• Orthogonal vectors and matrices
• Symmetric positive definite matrices

QBA - Finance Review Topics

• Compounding interest
• Convexity of option values and arbitrage
• Daily, monthly, yearly portfolio returns
• Maximum return portfolios and minimum variance portfolios
• Payoffs at maturity and PnL of options strategies (straddles, strangles, butterflies, bull spreads,
bear spreads
• Plain vanilla European call and put options
• Put-Call parity and arbitrage
• Value at Risk
• Weighted average portfolio returns

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