Solution for Homework 1. PDE for Finance, Spring 2012
These solutions are lightly edited versions of ones prepared by prior TA Fan-fu Feng.
1) Denote the generator of the lognormal process by L, i.e,
Solution for Homework 6. PDE for Finance, Spring 2012
These solutions are lightly-edited versions of ones prepared by prior TA Fan-fu Feng.
1) (a) The HJB equation is
0 = ut + min Lu + running cost
=
Solution for Homework 5. PDE for Finance, Spring 2012
These solutions were prepared by Doris Dobi and Fan-fu Feng.
1) (a) The portfolio process is
dy = (1 )rydt + y (dt + dw) = [(1 )r + ]ydt + ydw
Thu
Solution for Homework 4. PDE for Finance, Spring 2012
These solutions were prepared by Doris Dobi, Fan-fu Feng, and Juyoung Lim.
1) For notational convenience we use subscripts to denote partial deriv
Solution for Homework 3. PDE for Finance, Spring 2012
These solutions were prepared by Doris Dobi and Fan-fu Feng.
1) (a) u is the value of a knock-out double-barrier option that pays 1 if the underly
Solution for Homework 2. PDE for Finance, Spring 2012
These solutions are lightly edited versions of ones prepared by prior TA Fan-fu Feng.
1) Recall the solution formula (2) in p.2 of section2 that s
PDE for Finance, Spring 2012 Homework 6
Distributed 4/16/2012, due 4/30/2012.
No extensions. Reminder: nal exam on May 7th in class, usual place and time.
You may bring two sheets of notes (8.5 11, bo
PDE for Finance, Spring 2012 Homework 5
Distributed 4/9/2012, due 4/23/2012.
HW must be turned in by the due date to get credit, unless an extension has been granted.
Comment: this is similar to Bob K
PDE for Finance, Spring 2012 Homework 4
Distributed 3/19/2012, due 4/9/2012.
There is no lecture next week (March 26)! Hence this homework is due in three
weeks instead of two.
HW must be turned in by
PDE for Finance, Spring 2012 Homework 3
Distributed 2/27/2012, due 3/12/2012. HW must be turned in by the due date to get credit,
unless an extension has been granted.
Comment: this is similar to Bob
PDE for Finance, Spring 2012 Homework 2
Distributed 2/13/2012, due 2/27/2012. HW must be turned in by the due date to get
credit, unless an extension has been granted.
Comment: this is similar to Bob
PDE for Finance, Spring 2012 Homework 1
Distributed 1/23/2012, due 2/13/2012. This is three weeks, for the rest of the course
it will be two weeks. HW must be turned in by the due date to get credit,