Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Fall 2012 Homework 4. Distributed 10/24, due 11/7.
Corrective footnote added to Problem 7 is new as of 11/7. Problem 5a corrected 11/7. Typo
in comment after Problem 4 corrected 11/11.
Problems 15 reinforce our discussion of SDEs an
Derivative Securities, Fall 2012 Homework 5. Distributed 11/15, due 11/28.
(1) Suppose the LIBOR discount rates B(0, t) are given by the table below. Consider a 3-year
swap whose floating payments are at the then-current LIBOR rate, and whose fixed paymen
Derivative Securities, Fall 2012 Homework 3. Distributed 10/10. This HW set is
long, so Im allowing 3 weeks: it is due by classtime on 10/31. Typos in pbm 3 (ambiguity
in the payoff of a squared call) and pbm 6 (inconsistent notation for the dividend rate
Derivative Securities
MATH-GA 2791.001, Fall 2012
Wednesdays 7:10-9:00pm
16-18 Waverly, room G-08
Revised 10/17 by changing homework plan
Location: 16-18 Waverly is the new Genomics & Systems Biology building, near the corner
of Waverly and Mercer. Be sur
Derivative Securities, Fall 2012 Homework 2. Revised 9/27/2012, changing problem 6.
Originally distributed 9/20/2012. Due by classtime on 10/3/2012.
(1) Which functions f (ST ) can be the value-at-maturity of a portfolio of calls? By this I mean
a portfol
Derivative Securities, Fall 2012 Homework 1. Distributed at Lecture 1. Due in
class at Lecture 3 (9/19/12).
1. The present exchange rate between US dollars and Euros is 1.34 $/Euro. The price
of a domestic 180-day Treasury bill is $99.50 per $100 face val
Derivative Securities Fall 2012 Section 1
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
Forwards, puts, calls, and other contingent claims. This section discusses the most
basic examples of cont
Derivative Securities Fall 2012 Section 5. Implied vol example corrected 10/18.
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
The Black-Scholes formula and its applications. This Section deduces
Derivative Securities, Fall 2012 Homework 6. Distributed Thurs 11/29, due by 5pm
Fri 12/14, NO EXTENSIONS.
Please note:
Our last class is Wed 12/5. (Wed 12/12 is a Legislative Day at NYU; classes meet on a
Monday schedule.)
You may turn in HW6 by (a) pu
Derivative Securities Fall 2012 Final Exam Guidance
Extended version includes full semester
Our exam is Wednesday, December 19, at the normal class place and time.
You may bring two sheets of notes (8.5 11, both sides, any font). No books, calculators,
Exotic Options
Some explicit and semi-explicit pricing formulas
Pricing formulas under BS (log-normal) model
for barrier options
Exotic options can sometimes be priced using explicit or semi-explicit formulas
Due to the delicate sensitivity of price on
Derivatives Securities Assignment 4: Exotic options
Problem 1: Barrier options
On November 17, 2016 at 12:00 noon, we observed that the SPDR S&P500 ETF is trading at
SPY=218.78/218.79, and that the term structure of ATM options is
Expiration Date
ATM Vola
Homework 2 Derivative Securities (Alireza Javeheri)
Due Date: March 20 (Drop a physical in M.Ortega mail box behind the security guard desk
before 9:00 pm)
14.3. A companys cash position, measured in millions of dollars, follows a generalized Wiener
proce
Derivative Securities Homework 1
Alireza Javaheri
Due Date: Tuesday, February 21
1.4. Explain carefully the difference between selling a call option and buying a put option.
1.6. A trader enters into a short cotton futures contract when the futures price
Homework 3 Derivative Securities
Alireza Javaheri
Due Date: April 24 (Drop a physical copy on M.Ortega mail box behind the security guard desk
before 9:00 pm)
From Hulls Options, Futures, and Other Derivatives 9th Edition , provide detailed answers for
th
Derivative Securities Fall 2012 Section 11
Notes by Steve Allen, updated and improved by Robert V. Kohn.
Courant Institute of Mathematical Sciences.
This is the first of two lectures on credit-based instruments. Here we focus on singlename instruments (bo
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Derivative Securities Fall 2012 Section 4
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
Lognormal price dynamics and passage to the continuum limit. After a brief
recap of our recent achievement
Derivative Securities Fall 2012 Section 8
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
This section begins a segment on interest-based instruments. In Hull, the corresponding
material is in Cha
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
Derivative Securities, Courant Institute, Fall 2010
http:/www.math.nyu.edu/faculty/goodman/teaching/DerivSec10/index.html
Always check the class bboard on the blackboard site from home.nyu.edu (click on academics, then
on Derivative Securities) before doi
A Short History of Derivative Security Markets
Ernst Juerg Weber
Business School
University of Western Australia
Crawley WA 6009
Australia
[email protected]
June 2008
Electronic copy available at: http:/ssrn.com/abstract=1141689
Abstract
Contracts fo
Derivative Securities Fall 2012 Section 7
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
Reprise and some consequences of the continuous time viewpoint, then a return
to pricing options on trees.
Derivative Securities Fall 2012 Section 2
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
Binomial and trinomial one-period models. This section explores the implications of
arbitrage for the pric
Derivative Securities Fall 2012 Section 3
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
Multiperiod Binomial Trees. We turn to the valuation of derivative securities in a
time-dependent setting.
Derivative Securities Fall 2012 Section 9
Notes by Robert V. Kohn, extended and improved by Steve Allen.
Courant Institute of Mathematical Sciences.
This section discusses the pricing of options on interest-based instruments i.e. pricing of
bond options,