Practice Questions
Operations and Production Management
Spring 2017
Chapter 1
1. What is the difference between a service and a good?
A service is an intangible process (you cant hold it in your hands), while a good is the physical output of a
process. So
Practice Questions
Operations and Production Management
Spring 2017
Chapter 1  3 Part 2
Chapter 1
1. What is the difference between a service and a good?
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2. List three Operations Management
Software Development with C++ for Quantitative Finance
MAFS 5240

Fall 2016
Springer
Springer Finance
Editorial Board
M. Avellaneda
G. BaroneAdesi
M. Broadie
M.H.A. Davis
E. Derman
C. Klppelberg
E. Kopp
W. Schachermayer
Springer Finance
Springer Finance is a programme of books addressing students, academics and
practitioners wo
Software Development with C++ for Quantitative Finance
MAFS 5240

Fall 2016
MAFS 5030  Quantitative Modeling of Derivative Securities
Topic 3 BlackScholesMerton framework and Martingale
Pricing Theory
3.1 Review of stochastic processes and Ito calculus
3.2 Change of measure Girsanovs Theorem
3.3 Riskless hedging principle and
Software Development with C++ for Quantitative Finance
MAFS 5240

Fall 2016
MAFS 5030
Quantitative Modeling of Derivatives Securities
Midterm Test Fall 2015
Time allowed: 90 minutes
Course Instructor: Prof. Yue Kuen Kwok
[points]
1. Explain why the optimal policy adopted by the holder of a exible notional currency forward is
to
Software Development with C++ for Quantitative Finance
MAFS 5240

Fall 2016
MAFS 5030
Quantitative Modeling of Derivative Securities
Solution to Homework Two
Course Instructor: Prof. Y.K. Kwok
1. part: The trading strategy H with V0 < 0 and V1 () 0, , dominates
b This is because the terminal value under
the does nothing strategy
Software Development with C++ for Quantitative Finance
MAFS 5240

Fall 2016
MAFS 5030
Quantitative Modeling of Derivative Securities
Homework Two
Course Instructor: Prof. Y.K. Kwok
1. Show that a dominant trading strategy exists if and only if there exists a trading strategy satisfying V0 < 0
and V1 () 0 for all .
Hint: Consider
MAFS5030 Quantitative Modeling of Derivative Securities
Course objective
This course is directed to those students who would like to acquire an introduction to the
pricing theory of financial derivatives. The course starts with the exposition of basic
der
MAFS 5030
Quantitative Modeling of Derivative Securities
Midterm Test Fall 2014
Time allowed: 80 minutes
Course instructor: Prof Yue Kuen Kwok
_
1. Consider a forward contract maturing at time T whose underlying asset pays discrete
dividend di at time ti
MAFS 5030
Quantitative Modeling of Derivatives Securities
Final Examination Fall 2014
Time allowed: 135 minutes
Course Instructor: Prof. Y. K. Kwok
[points]
1. Assume that the dynamics of the asset price process is governed by the following Geometric
Brow