Processing math: 100%

2021年3月6日 星期六

國立臺灣大學一百一拾學年度研究所碩士班入學考試試題:微積分(C)

※注意:請於試卷內之「非選擇題作答區」依序作答,並應註明作答之大題及小題題號。
※Please show the detailed calculation process for the questions whenever necessary.
※If the answers are with decimal numbers, please round to the second decimal place, e.g., 99.37 or 2.43%.

  1. (10%) Find k such that f(x)=kx2 is a probability density function over the interval [2,5]. Then write the probability density function.
  2. 訣竅按照機率密度的定義求解即可。
    解法按照定義可知

    1=52f(x)dx=k52x2dx=k3x3|52=39k.

    因此 k=139,如此機率密度函數為 f(x)={x239,if x[2,5],0,otherwise.

  3. (10%) Find the area of the region E bounded by the ellipse x2a2+y2b2=1.
  4. 訣竅利用對稱性可計算第一象限的面積,其中需運用三角代換法處理之。
    解法整理方程式考慮在第一象限的曲線為 y=b1x2a2,如此所求的面積可表達為

    A=4a0b1x2a2dx.

    x=asinθ,那麼
    • x=0 時有 θ=0
    • x=a 時有 θ=π2
    • 求導有 dx=acosθdθ
    據此所求的面積可改寫並計算如下

    A=4bπ201sin2θacosθdθ=2abπ20(1+cos2θ)dθ=2abπ2=πab.


  5. (10%) Solve dydx+yx=e2x.
  6. 訣竅運用積分因子法求解微分方程即可。
    解法對給定的方程同乘以 x 後可得

    ddx(xy)=xdydx+y=xe2x

    如此取不定積分可得

    xy=12xe2x14e2x+C4

    同除以 x 後得所求函數為

    y=2xe2xe2x+C4x


  7. (10%) Suppose that the real-valued function f:IR is integrable, where I=[a,b]×[c,d] is a rectangle in the plane R2. To use Fubini's Theorem to calculate the integral If, what conditions are required? State and explain Fubini's Theorem in details.
  8. 訣竅回憶關於 Fubini 定理的敘述。
    解法fI 上可積分且對每個 x[a,b] 而言,函數 f(x,)[c,d] 上可積、對每個 y[c,d] 而言,函數 f(,y)[a,b] 上可積,則有

    If=badcf(x,y)dydx=dcbaf(x,y)dxdy.


  9. (10%) What are metric spaces? When is a mapping between two metric spaces called continuous?
  10. 訣竅根據賦距空間以及連續函數的定義回答即可。
    解法我們稱 (X,d) 為賦距空間,意指雙變數函數 d:X×XR 滿足下列條件
    • 對任何 xX 恆有 d(x,x)=0
    • d(x,y)=0,則 x=y
    • 對任何 x,yX 恆有 d(x,y)=d(y,x)
    • 對任何 x,y,zX 恆有 d(x,y)d(x,z)+d(z,x)
    (X,d)(Y,τ) 為兩個賦距空間而 f:XY 為連續函數,其定義為:「對任何 ε>0,存在 δ>0 使得當 d(x,y)<δ 時有 τ(f(x),f(y))<ε」。

  11. (10%) In February 2021, an automobile manufacturer sells in America, Europe, and Asia, charging a different price in each of the three markets. The price function for cars sold in America is p=200.2x (for 0x100), the price function for cars sold in Europe is q=160.1y (for 0y160), and the price function for cars sold in Asia is r=120.1z (for 0z120), all in thousands of dollars, where x, y, and z are the numbers of cars sold in America, Europe, and Asia, respectively. The company's production cost function is C=22+4(x+y+z) thousand dollars.
    1. (2%) Find the company's profit function P(x,y,z), which should be the sum of the revenues from different markets minus production costs, and each revenue is price times quantity.
    2. (8%) Suppose the automobile manufacturer's productivity capacity is 100 cars in this month. How many cars should be sold in each market to maximize profit and what is the maximized profit?
  12. 訣竅依據題意設定出獲利函數。隨後根據限制條件使用 Lagrange 乘子法求解。
    解法
    1. 公司的獲利函數 P 可表達如下

      P(x,y,z)=xp+yq+zrC=16x0.2x2+12y0.1y2+8z0.1z222.

    2. 根據題意知生產限制為 x+y+z100,如此加入鬆弛變量 t 使得 x+y+z+t2=100。因此我們考慮 Lagrange 乘子函數為

      F(x,y,z,t,λ)=16x0.2x2+12y0.1y2+8z0.1z222+λ(x+y+z+t2100).

      據此解下列的聯立方程組

      {Fx(x,y,z,t,λ)=160.4x+λ=0,Fy(x,y,z,t,λ)=120.2y+λ=0,Fz(x,y,z,t,λ)=80.2z+λ=0,Ft(x,y,z,t,λ)=2λt=0,Fλ(x,y,z,t,λ)=x+y+z+t2100=0.

      由第四式,可知 λ=0t=0
      • λ=0 時則有 x=40y=60z=40,但這就表明 x+y+z=140>100,矛盾。
      • t=0 時便有 x+y+z=100。那麼將第二式乘以 2 與第三式乘以 2 後將前三式相加便得 λ=165,如此解得 (x,y,z)=(32,44,24)
      因此當美國賣 32 輛、歐洲賣 44 輛而亞洲賣 24 輛時會有最大利潤。此時利潤為 P(32,44,24)=754 千元。

  13. (10%) A company's marginal cost function is MC(x)=xex/2 and fixed costs are 200, where x is a nonnegative real number that denotes the amount of units produced. Find its cost as a function of x. (Hint: Marginal cost is the cost added by producing one additional unit of a product or service.)
  14. 訣竅根據邊際成本的數學定義使用分部積分法計算即可。
    解法按照微積分基本定理可知

    C(x)=C(0)+x0MC(t)dt=200+x0tet/2dt=200+(2tet/24et/2)|x0=2042xex/24ex/2.


  15. (30%) Consider a power call or put option with the payoff at the maturity T as

    CT=max(SiTXi,0) and PT=max(XiSiT,0),

    respectively, where St is the stock price at time t, i is a positive-integer exponent, and Xi denotes the strike price. Under the Black-Scholes framework, their respective value functions toady (t=0) are

    C0=ΠSi0N(di)exp(rT)XiN(d0),

    P0=exp(rT)XiN(d0)ΠSi0N(di),

    where Π=Π(i,r,σ,T)=exp(rT+irT+(i2i)σ2T/2), di=ln(S0X)+(rσ22)T+iσ2TσT, d0=ln(S0X)+(rσ22)TσT, r is the risk-free interest rate, σ is the stock price volatility, and N() is the cumulative distribution function of the standard normal distribution defined as

    N(d)=dn(x)dx=d12πex22dx,

    where n() is the probability density function of the standard normal distribution.
    1. (10%) Prove that ΠSi0n(di)=exp(rT)Xin(d0).
    2. (8%) Derive and express C0S0 and P0S0 as AN(B) and CN(D), respectively. What are A, B, C, and D?
    3. (8%) Derive and express 2C0S20 and 2P0S20 as EN(F)+Gn(H) and IN(J)+Kn(L), respectively. What are E, F, G, H, I, J, K, and L?
    4. (4%) In what condition does 2C0S20 equal 2P0S20?
  16. 訣竅運用多變數函數的連鎖律求解即可。
    解法
    1. 首先可以發現

      d0+di2=ln(S0/X)+(rσ2/2)T+iσ2T/2σT

      接著同乘以 did0 便有

      d2id202=ln(S0/X)+(rσ2/2)T+iσ2T/2σTiσ2TσT=ln(Si0Xi)+(iriσ22)T+i2σ2T2.

      隨後取自然指數便有

      ed2id202=Si0Xiexp((iriσ22)T+i2σ2T2)

      移項並同乘以 exp(rT)2π 便有

      exp(rT)Xin(d0)=exp(rT)Xi12πed202=exp(rT)Si0exp((iriσ22)T+i2σ2T2)12πed2i2=exp(rT+irT+(i2i)σ2T2)Si0n(di)=ΠSi0n(di).

    2. 首先將 C0S0 求導可得

      C0S0=iΠSi10N(d0)+ΠSi0n(di)diS0exp(rT)Xin(d0)d0S0=iΠSi10N(d0)+1S0σT[ΠSi0n(di)exp(rT)Xin(d0)]=iΠSi10N(d0).

      因此 A=iΠSi10B=d0。另一方面,將 P0S0 求偏導可得

      P0S0=exp(rT)Xin(d0)d0S0iΠSi10N(di)ΠSi0n(di)diS0=1S0σT[exp(rT)Xin(d0)ΠSi0n(di)]iΠSi10N(di)=iΠSi10N(di),

      其中我們用了 n(x)=n(x)。因此 C=iΠSi10D=di
    3. 進一步由前一小題的結果計算二階偏導函數。首先有

      2C0S20=iΠS0(Si10N(d0))=i(i1)ΠSi20N(d0)+iΠSi10n(d0)1S0σT=i(i1)ΠSi20N(d0)+iΠSi20σTn(d0).

      因此 E=i(i1)ΠSi20F=d0G=iΠSi20σTH=d0。另一方面則有

      2P0S20=iΠS0(Si10N(di))=i(i1)ΠSi20N(di)iΠSi10n(di)1S0σT=i(i1)ΠSi20N(di)+iΠSi20σTn(di).

      因此 I=i(i1)ΠSi20J=diK=iΠSi20σTL=di
    4. 要使 2C0S20=2P0S20,這等價於

      i(i1)ΠSi20[N(d0)+N(di)]+iΠSi20σT[n(d0)n(di)]=0.

      由於 iΠSi20 恆不為零,故等價於

      (i1)[N(d0)+N(di)]+n(d0)n(di)σT=0.

1 則留言:

  1. 是不是有寫錯呀 8的b B應該是di之後好像也都錯了?

    回覆刪除