hw6 - Derivative Securities, Fall 2007 Homework 6....

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Derivative Securities, Fall 2007 – Homework 6. Distributed 11/14/07, due by classtime 12/12/07. Typo in problem 4c corrected 12/2/07. Please note: This problem set includes a question on the Merton model, and one on CDO’s. This material might not be covered in lecture until Wed 11/28. The solutions to this problem set will be discussed in class on Wed 12/12. Therefore you must hand in your homework prior to or at class on 12/12 to get credit. The solution sheet will be posted online 12/13. Our final exam is Wed 12/19, at the normal class meeting time and place. You may bring two 8 . 5 × 11 sheets of notes (both sides, any font), but no other books, notes, or calculators are per- mitted. Students taking the exam 5:10-7pm will not be permitted to leave early. If you’d like to swap timeslots (e.g. take the exam 7:10-9 though you’re registered for 5:10-7) please ask per- mission in advance from your official instructor (kohn@cims.nyu.edu or allen@cims.nyu.edu).
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hw6 - Derivative Securities, Fall 2007 Homework 6....

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