FINM345A09Homework6 - FINM345/STAT390 Stochastic Calculus...

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Unformatted text preview: FINM345/STAT390 Stochastic Calculus Hanson Autumn 2009 Lecture 6 Homework (HW6): Marked Jump-Diffusions Stochastic Calculus Continued (Due by Lecture 7 in Chalk FINM345 Assignment Submenu) { Note: Dropped the Digital Dropbox } You must show your work, code and/or worksheet for full credit. There are 10 points per question if correct answer and negative points for missing homework sets. Corrections are in Red as are comments, November 7, 2009 1. Simulate X ( t ) for the log-normally distributed jump amplitude case with mean j = E[ Q ] = . 274 (was 2.74) and variance 2 j = Var[ Q ] = . 138 (was 1.38) for the lin- ear jump-diffusion SDE model for a population in a seasonal environment ( t ) = . 1085 sin(2 t- . 75 ), ( t ) = 0 . 0485- . 0233 sin(2 t- . 75 ), ( t ) = 3 . 98- . 0115 sin(2 t- . 75 ) per year, ( t,Q ) = exp( Q )- 1 with Q normally distributed, X (0) = 0 . 5, t = 0, final time T = 2 . 0 years, N = 2 , 000 time-steps per state for M = 4 states.000 time-steps per state for M = 4 states....
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This note was uploaded on 04/19/2010 for the course FIN 390 taught by Professor Hansen during the Fall '09 term at University of Illinois, Urbana Champaign.

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FINM345A09Homework6 - FINM345/STAT390 Stochastic Calculus...

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