AS 2503/5106
Solutions, Chapter C
Fall 2016
C-5
Solution:
By the put-call parity:
500.00 + 18.64 = 66.59 + e0.061 K ,
and thus K = 480 .
C-6
Solution:
Answer: E. There are (at least) two ways to think
AS 2503/5106
Exercises, Chapter B
[B]
Fall 2016
Introduction to Forwards & Options (M, Ch. 2)
B-1
Farmer Tom planted 100 acres of corn. He is concerned that the corn price will go down by the
time he
AS 2503/5106
Solutions, Chapter B
Fall 2016
B-5
Solution:
I only. The purchaser has no choice in the transaction except to accept delivery of the
asset or make a financial settlement. (A forward contr
AS 2503/5106
Exercises, Chapter D
[D]
Fall 2016
Intro to Risk Management (M, Ch. 4)
D-1
A firm has a 70% chance of making a $800 profit, and a 30% change of suffering a $500 loss
next year. The approp
AS 2503/5106
Exercises, Chapter A
[A]
Fall 2016
Introduction to Derivatives (M, Ch. 1)
A-1
ABC stock has a bid price of $40.95 and an ask price of $41.05. Assumer the brokerage fee is
quoted as 0.3% o
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 Actuarial Modeling II
SPRING 2016
EXAM #2
DR. KRUPA S. VISWANATHAN
Please answer the questions in order, write neatly, and circle your final answers. S
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #4
Due Friday, October 28, 2016
DR. KRUPA S. VISWANATHAN
Show all work.
1.
You are given the followi
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 Actuarial Modeling II
Spring 2016
EXAM #1
DR. KRUPA S. VISWANATHAN
Show all work. Answer the questions in order, write neatly, and circle your final
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #3
Due Wednesday, October 19, 2016
DR. KRUPA S. VISWANATHAN
Show all work.
1.
You are given a three-
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #1
Due Friday, September 16, 2016
DR. KRUPA S. VISWANATHAN
Show all work and circle your final answe
TEMPLE UNIVERSITY
FOX SCHOOL OF BUSINESS
AS 3502 / AS 5103 Actuarial Modeling II
FALL 2016
HOMEWORK #2
Due Monday, September 26, 2016
DR. KRUPA S. VISWANATHAN
Show all work.
1.
A fully discrete 3-year
AS 5105
Actuarial Economics
Exam 3
Professor Sfekas
You may use any written, audio, or video sources you want to complete this exam.
Cite all sources.
Work on your own, without consulting classmates o
AS 5105 Actuarial Economics, Fall 2012
Exam #1
Dr. Andrew Sfekas
Directions: This is an open-book take-home exam. You may not consult anyone else when
completing this exam, but you may use sources out
AS 5105 Actuarial Economics, Fall 2015
Exam #2
Dr. Andrew Sfekas
Directions: This is an open-book take-home exam. You may not consult anyone else when
completing this exam, but you may use sources out
AS2101 Actuarial Probability & Statistics
Spring 2016
HW #2
Due Fri 2/12/2016
Multiple Choice: 3pts.
Long answer: 5pts.
Show all work, regardless.
1) The Cumulative Distribution Function of a random v
AS2101 Actuarial Probability & Statistics
Spring 2016
HW #1
Due Fri 2/5/2016
Multiple Choice: 3pts.
Long answer: 5pts.
Show all work, regardless.
1) The probability density function of a random variab
We let d represent an arbitrary policy and represent the set of all policies. Then
Xt random variable for the state of MDP at the beginning of period t (for
example, X2, X3, . . . , Xn)
X1 given state
Thus, if a $3 reward were earned each period, the total reward earned during an innite number of periods would be unbounded, but the average reward per period would equal $3.
In our discussion of inni
VB 490.23. These values agree with those found via the policy iteration method. The
LINDO output also indicates that the rst, second, fourth, and seventh constraints have
no slack. Thus, the optimal p
not an optimal policy. In this case, modify d so that the decision in each state i is the decision attaining the minimum in (16) for Td (i). This yields a new stationary policy d for
which Vd(i) Vd (i
SUMMARY
Key to Formulating Probabilistic Dynamic
Programming Problems (PDPs)
Suppose the possible states during period t 1 are s1, s2, . . . sn, and the probability that
the period t 1 state will be s
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