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Unformatted text preview: Continuous Time Finance Semester Review, Spring 2004 The final exam will be Wednesday May 5, in the usual class location and timeslot. You may use two sheets of notes (any font, both sides) but no other books, notes, or materials. Expect the exam to be about 1/3 on Segment 1, 1/2 on Segment 2, and 1/6 on Segment 3. All material covered through 4/14 or on any homework is fair game; there will be no questions on stochastic volatility (the 4/21 lecture). This Semester Review is intended to help you see the “big picture” and to give you some idea what kind of questions might be on the exam. (Not everything here will be on the exam, and there may be things on the exam which are not mentioned here.) SEGMENT 1: Continuous-time methods in the equity-based setting (Sections 1-3 and Homeworks 1-2) Topics included: understanding pricing and hedging via the Black-Scholes PDE and via the martingale representation theorem; understanding the market price of risk and its relation to the existence and uniqueness of the risk-neutral measure; forward measures associated...
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This note was uploaded on 01/02/2012 for the course FINANCE 347 taught by Professor Bayou during the Fall '11 term at NYU.
- Fall '11