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M375T=M396C Introduction to Actuarial Financial Mathematics
Spring 2013
University of Texas at Austin
In-Term Exam II
Instructor: Milica Cudina
Notes: This is a closed book and closed notes exam
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M375T/M396C Introduction to Financial Mathematics for Actuarial Applications
Spring 2013
University of Texas at Austin
Sample In-Term Exam II - Solutions
This problem set is aimed at making up the los
Exam MFE/3F Spring 2009
Answer Key
Question #
Answer
1
E
2
B
3
B
4
D
5
E
6
D
7
D
8
B
9
E
10
C
11
C
12
E
13
A
14
E
15
C
16
A
17
A
18
A
19
D
20
C
1
1. Answer: E
We have S0 = 10, = 0.05, = 0.3, r = 0.05,
Name:
Thursday, February 28th
M375T=M396C Introduction to Actuarial Financial Mathematics
Spring 2013, The University of Texas at Austin
In-Term Exam I
Instructor: Milica Cudina
Notes: This is a close
HW: 1
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 3
University of Texas at Austin
HW Assignment 1
Provide a complete solution to the following two problems:
Problem 1.1. (5 points) Four b
HW: 2
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 2
University of Texas at Austin
HW Assignment 2
Bid-ask spread, transaction costs, short-sales
Provide your nal answer only for the follo
HW: 3
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 2
University of Texas at Austin
HW Assignment 3
Forward contracts. European call options. European put options.
Provide your nal answer o
HW: 4
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 3
University of Texas at Austin
HW Assignment 4
Options as insurance. Risk management.
Provide your nal answer only for the following pro
HW: 5
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 2
University of Texas at Austin
HW Assignment 5
Forward price. Prepaid forward price.
Provide your nal answer only for the following prob
HW: 6
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 2
University of Texas at Austin
HW Assignment 6
Put-call parity. Digital options. Exchange options.
Provide your complete solution to the
HW: 7
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 2
University of Texas at Austin
HW Assignment 7
Provide your complete solution to the following problems.
Problem 7.1. (5 points) Suppose
HW: 9
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 2
University of Texas at Austin
HW Assignment 9
Convexity inequalities. Binomial option pricing.
Provide your nal answer only for the fol
HW: 10
Course: M375T/M396C - Intro to Financial Math
Page: 1 of 2
University of Texas at Austin
HW Assignment 10
One-period binomial option pricing
Provide your complete solution the following problem
Problem Set #1: Selected Solutions
M375T: Multivariable Analysis
Here are solutions to some of the problems on Problem Set #1. I have written careful proofs for
the rst problem which you can use as a