Ultimate life table
Annuity factor
Principle
Annuity price
9.7386
10,000.00
97,386.08
Single decrement
Mortality probability version (from Appendix 2A of Bowers et al, 2nd edition)
I've deleted the fi
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 3 part 2 Solutions
Problems 1 and 2 are due April 2. Problem 3 is now due April 9. You should
write your solutions down a
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 4 Solutions
Due April 9. For the last problem, send me your simulation by e-mail.
t
1. Find Xt = 0 Bt dBt , where Bt is a
MATH 5370 3.0MW (Winter 2015)
Financial Mathematics for Teachers - Course
outline
Description:
The world of finance is increasingly mathematical. This potentially affects a broad
spectrum of secondary
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 3 complete
Problems 1 and 2 are due April 2. Problem 3 is now due April 9. You should
write your solutions down and submi
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 1
Due January 29, 2015 (in class or e-mailed to [email protected])
1. Suppose that interest rates are constant, and that the
Amer call
Binomial Tree
Stock model: CRR calibration
Option: American call
Q-prob
138.62 I del
233.62 S v
H B
Calibration
r (int rate)
q (div rate)
sigma (vol)
initial S
Strike
T
n
delta t
Node values
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 2 Solutions
Due February 12, 2015 (in class or e-mailed to [email protected])
Do one or the other of the following problems (
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 1 - Solutions
Due January 29, 2015 (in class or e-mailed to [email protected])
1. Suppose that interest rates are constant, a
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 3, part 1 Solutions
Problems 1 and 2 are due April 2. Problem 3 is now due April 9. You should
write your solutions down
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 2 (modied)
Due February 12, 2015 (in class or e-mailed to [email protected])
Do one or the other of the following problems (f
Qami
W
1 &t§6&%x°§ QMK QM? M £33
QKmewkfzi-v » . iv
7 y? a F b E i
N aw msg r/dg 2% avéfxrwmk
Nhggmw 'kaiiCJ'ié/ié {3% mi aag have kW mi; 3&3
a": %m\g £33 Ca\Cm§a\+{v% "Pgkaldli
E++Vms~> m
Binomialpricing:Europeancall(nodividends)
T
S0
r
sigma
K
periods
dt
u
d
R
p
s
del
v
d1
d2
BSMprice
Binomialprice
2
12
4%
20%
15
6
0.3333333333
1.1224009024
0.8909472523
1.0134226186
0.5291572038
Weuse
Binomialpricing:Europeancall(nodividends)
T
S0
r
sigma
K
periods
dt
u
d
R
p
s
del
v
d1
d2
BSMprice
(att=0)
1
10
4%
15%
9.5
6
0.1666666667
1.06315111
0.940600062
1.0066889384
0.539276305
Weuseu=e^(sigm
M 0k+(/\ 537 c? U
Nag km? aduso aux:
aha/3 a 3 ' and 61qu QM um
W9 QUQ" mam +\r\ 9 " QEAW
' Pxvwwkc-Q {1A CMWCVJMW) C COL Mm+k
ch ) err W1 [1&0 . 392.)
Cm\S{§+S (931t SWWFQ me?ouv\ok inkAPS!
lifexpectancy=function(age, m, b, hor, reps)
cfw_ # Monte Carlo simulator, to find life expectancy
# typical call: lifexpectancy(age=30, m=90, b=12, hor=120, reps=1000000 )
# If this file is saved a
York University
MATH 5370 3.00MW Financial Mathematics for Teachers
Assignment 4
Due April 9. For the last problem, send me your simulation by e-mail.
t
1. Find Xt = 0 Bt dBt , where Bt is a Brownian