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ACC 770/ACTSC 970, Fall 2013
Midterm Exam, Oct. 24th, 2013
Time: 2:30 pm - 3:50 pm (80 minutes)
1
=10
2
=20
3
=10
1
4
=10
Total
=50
1. Consider an arbitrage-free single-period model with n assets and m states of natur
ACC 770/ACTSC 970 Fall 2013
Instructor: Bin Li
Assignment 2
Due: Oct. 31th (Thursday) in class
1. Let ( ; F ; P) be a probability space. Suppose the sample space has countable elements, i.e.,
f! i gi2N . Given a random variable Z on ( ; F ; P) such that
=
ACC 770/ACTSC 970 Fall 2013
Instructor: Bin Li
Assignment 1
Due: Oct. 10th (Thursday) in class
1. Consider a market with one risk-free asset and one risky asset. Consider a single-period binomial
model with the two states of nature u and d (d u). Suppose
ACC 770/ACTSC 970 Fall 2013
Instructor: Bin Li
Assignment 2
Due: Oct. 31th (Thursday) in class
1. Let ( ; F ; P) be a probability space. Suppose the sample space has countable elements, i.e.,
f! i gi2N . Given a random variable Z on ( ; F ; P) such that
=
Finance 1
ACTSC 970, Fall 2013
Part I: Binomial No-Arbitrage Asset Pricing Model
(Single-Period Binomial Model)
Instructor: Bin Li
September 10, 2013
Outline
Arbitrage
Replication approach and risk-neutral pricing
The rst fundamental theorem of asset pric
ACC 770/ACTSC 970 Fall 2013
Instructor: Bin Li
Assignment 3
Due: Nov. 26th (Tuesday) in class
1. [Steven Shreve II, Exercise 4.9]
2. [Steven Shreve II, Exercise 4.18]
3. [Steven Shreve II, Exercise 4.19]
4. [Steven Shreve II, Exercise 5.1]
5. [Steven Shre
Finance 1
ACTSC 970, Fall 2013
Part 2: General Discrete-Time Asset Pricing Model
Instructor: Bin Li
September 15, 2013
Outline
General single-period model
Multiperiod Binomial Model
Bin Li (University of Waterloo)
ACTSC 970, Finance 1, Fall 2013
2/33
Asse
ACC 770/ACTSC 970 Fall 2013
Instructor: Bin Li
Assignment 1 (Solution)
1. Consider a market with one risk-free asset and one risky asset. Consider a single-period binomial
model with the two states of nature u and d (d < u). Suppose the interest rate of t
Finance 1
ACTSC 970, Fall 2013
Part 3: Basic Probability Theory
Instructor: Bin Li
October 12, 2013
Outline
Basic denitions
Independence
Conditional expectation
Stochastic processes
Bin Li (University of Waterloo)
ACTSC 970, Finance I, Fall 2013
2/38
-al
Finance 1
ACTSC 970, Fall 2013
Part 4: Brownian Motion
Instructor: Bin Li
October 20, 2013
Outline
Random walks
Brownian motion
Properties of Brownian motion
Bin Li (University of Waterloo)
ACTSC 970, Finance I, Fall 2013
2/24
Symmetric random walk
Given
Finance 1
ACTSC 970, Fall 2013
Part 5: Review of Midterm
Instructor: Bin Li
October 22, 2013
Outline
Single-period asset pricing model
Multi-period asset pricing model
Probability theory
Brownian motion
Bin Li (University of Waterloo)
ACTSC 970, Finance I
Finance I
ACC 770/ACTSC 970 - Fall 2013
Instructor: Bin Li
Lectures: 2:30 - 03:50 TTh, AL 105
Office hour: 4:00 5:00 TTh, or by appointment
Office location: M3 3128, ext.31543
Email: [email protected]
Course Description:
Discrete-time model: Financial m