Unformatted text preview: (Chapter 3) 6. Suppose r is a given function of t , deriving of price formula for couponpaying bonds and ±nd the simple expression if r is a constant and the coupons are paid discretely. Problems: 1*. (Chapter 4) 7. Onefactor models and determination of the market price of risk and inverse problem for a bond equation. Problems: 5*, 6, 10*. (Chapter 4) 8. Pricing European bond options and swaption. Problems: 11*, 12, 15 16*. (Chapter 4) 9. Threefactor model. Problems: 19, 20*, 22, 24. (Chapter 4) 10. Convertible bond. Problems: 27*, 29. (Chapter 4) 1 6070 % of the materials on Test II will be from these problems with *...
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 Spring '10
 Zhu
 Lookback, Closedform solutions

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