Computational Methods in Finance, Fall 2000
Assignment 1.
Given September 6, due September 20. Objective: To explore dynamic programming. This is a qualitative model. It is unrealistic in several ways in order to be as simple as possible. We suppose that
Computational Methods in Finance, Fall 2000
Assignment 2.
Given September 20, due October 4. Objective: To practice the basics of finite difference computations. We are interested in the solution of the heat equation in the interval [0, 6] with Dirichlet
Computational Methods in Finance, Fall 2000
Assignment 3.
Given October 11, due October 25. Objective: A more practical example of PDE based pricing. We want to price an American style call option on a stock with the following extra feature: the holder ma
Computational Methods in Finance, Fall 2000
Assignment 4.
Given November 2, due November 8. Objective: Sampling random variables. We often have to deal with "heavy tailed" random variables. These are random variabes whose probability density goes to zero
Computational Methods in Finance, Fall 2000
Assignment 5.
Given November 15, due November 29. Objective: Simulate a stochastic process We want to include default risk in pricing a simple zero coupon corporate bond. In this model, we say taht the company d
Computational Methods in Finance, Fall 2000
Assignment 6.
Given November 29, due December 13. Objective: Experiment with sensitivity analysis Refer to assignment 5. We want to estimate the following sensitivities to within 5%: = = = For each Greek, try th
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