Due:
MATH 4FM3: Assignment 2
Beginning of class, Thursday, February 27, 2014
For full credit on any question, you must show all your work.
1. What would be the boundary conditions to be used when solving the Black-Scholes
PDE for the price of a 4 month Eu
Due:
MATH 4FM3: Assignment 1
Beginning of class, Thursday, February 6, 2014
For full credit on any question, you must show all your work.
1. A stock follows a geometric Brownian motion process of the form:
dS = Sdt + Sdz
Consider the function
G = S 3 e0.1
Due:
MATH 4FM3: Assignment 3
Beginning of class, Thursday, March 27, 2014
For full credit on any question, you must show all your work.
1. a) The instantaneous, continuously-compounding short rate is given by
r(t) =
5% t 2
8% 2 < t
Find the price of a bon
Due:
MATH 4FM3: Assignment 3
Beginning of class, Thursday, March 13, 2014
For full credit on any question, you must show all your work. However, for several of the
questions this time, you will be solving implicit equations for parameter values, and so
wi
MATH 4FM3 - Sample Problems
Chapter 12 review
1. Why do higher risk instruments oer higher expected returns (on average)?
2. How do real world probabilities aect option prices (and they do)?
3. If risk-neutral probabilities arent real, how is that we wind
Tables
McMaster University Math4FM3 Winter 2013
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McMaster University Math4FM3 Winter 2013
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Tables
McMaster University Math4FM3 Winter 2013
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McMaster University Math4FM3 Winter 2013
Some helpful formulas.
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