Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/f/f2/a/solution

The th partial derivative is the limit . For a nonzero vector , use the directional convention , without normalizing . Differentiability means for a linear map .
For the given example take . If , then , so its directional difference quotient tends to zero. If , the function vanishes along that line. Thus . However along with , one has , while . Hence the function is neither continuous nor differentiable at zero. Existence of all directional derivatives, even with a linear dependence on the direction, does not by itself imply total differentiability.

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