September 29, 2011
MATH 4k03
Assignment 2
This assignment is due in class on Thursday Oct 20th, 2011.
Shreve Textbook, exercises: 2.7, 2.8, 2.9, 2.10 and 2.14.
1
November 14th, 2013
MATH 3FM3
Assignment 4
This assignment is due in the MATH 3FM3 locker in the basement of Hamilton Hall by
3:00pm on Friday November 29th, 2013.
1. Shreve Textbook, exercise 4.1.
2. Consider the three-period binomial model (N = 3) with
October, 2013
MATH 3FM3
Assignment 3
This assignment is due in the MATH 3FM3 locker in the basement of Hamilton Hall by
3:00pm on Friday November 15th, 2013.
1. Shreve Textbook, exercises: 3.1, 3.2, 3.5 and 3.9.
2. Consider a financial model, where
i) one
September 27, 2013
MATH 3FM3
Assignment 2
This assignment is to be submitted using the lockers on the first floor of Hamilton Hall on
Friday Oct 18th, 2013.
Shreve Textbook, exercises: 2.7, 2.8, 2.9, 2.10 and 2.14.
1
September, 2013
MATH 3FM3
Assignment 1
This assignment is due in class on Friday, Sept 27th, 2013.
1. Shreve Textbook, exercises: 1.3, 1.6, 1.7.
2. In the multi-period binomial model compute the arbitrage free prices at time 0 of
the derivative securities
Math 3FM3 - Assignment 1
To be submitted in a paper form by October 5th, 2015
Please hand in to Math department undergraduate secretaries
by the end of working day
1 P RICING EXOTICS
Consider a 3-period binomial model of stock with S 0 = 4 , u = 2, d = 1/
MATH 3FM3
Assignment 2
October 12, 2015
Shreve Textbook
Chapter 1 exercises: 1.2, 1.6, 1.8
Chapter 2 exercises: 2.2, 2.3, 2.4, 2.5(i) (is martingale), 2.6
Please submit this assignment by the end of working day on October 23rd,
2015. There are 3 lockers
MATH 3FM3
Assignment 3
October 25, 2015
Shreve Textbook
Chapter 2 exercises: 2.5.(ii), 2.9, 2.10, 2.11, 2.13
Please submit the hand written assignment by the end of working day on
November 3rd, 2015. There are 3 lockers across from HH/104 that students s
Practice Problem: For the normal population in the example above, find the probability that a
randomly chosen patient has a heart rate
(a) of 60 or more [Answer: .9803]
(b) of 130 or less [Answer: .9664]
(c) between 75 and 125 [Answer: .8294]
121
Empirica
Percentiles for Normal Random Variables in General
Example 1: Let X be a normal random variable with mean = 100 and standard deviation
10. Find xo where
(a) P(X xo) = .80 [i.e. xo is the 80th percentile of X]
(b) P(X xo) = .025
126
=
The method used in Ex
Practice Problem: Let X be a normal random variable with mean
Find the probability that
(a) X is within 1 standard deviation of the mean [Answer: .6826]
(b) X is within 1.5 standard deviations of the mean [Answer: .8664]
Hints: By the box above
(a) P(X is
October 20th, 2011
MATH 4k03
Assignment 3
This assignment is due in the MATH 4K03 locker in the basement of Hamilton Hall by
3:00pm on Thursday November 17th, 2011.
1. Shreve Textbook, exercises: 3.1, 3.2, 3.5 and 3.9.
2. Consider a nancial model, where
i
September 13, 2011
MATH 4k03
Assignment 1
This assignment is due in class on Monday Sept 26th, 2011.
1. Shreve Textbook, exercises: 1.3, 1.6, 1.7.
2. In the multi-period binomial model compute the arbitrage free prices at time 0 of
the derivative securiti
Math 3FM3 - Mathematical Finance 2012
Dr A. Nguyen Huu ([email protected])
Assignement 2 : solutions
1
European options in the model
Consider the 3-periods binomial model of Fig. 1.2.2. in Shreve textbook, p.9. Consider also
a riskless asset R = 1
Math 3FM3 - Mathematical Finance 2012
Dr A. Nguyen Huu ([email protected])
Assignement 5 : solution
1
Warm up with the textbook
1. Exercises 4.1 :
(a) The American put is worth
116
125
at time 0.
(b) The American call is worth the European call :
(
Math 3FM3 - Mathematical Finance 2012
Dr A. Nguyen Huu ([email protected])
Mid-Term Exam
: solution
Question 1.
1. At time 0, we buy shares of the risky asset. If = 0, then we pay a xed transaction
cost c1cfw_=0 . We then put the rest in the riskle
Math 3FM3 - Mathematical Finance 2012
Dr A. Nguyen Huu ([email protected])
Assignement 1 : solutions
1
Some European options
I won't draw the payos : you can nd them with a quick image search on google. However,
the beear spread option that was giv