PSTAT W 182T
Homework Assignment #3
Summer 2015
Homework 3:
Instructions: Solutions to these problems should be submitted in pdf format on class Gaucho Space
by 11:30pm on Sunday, 8/15/2015. Please write full solutions. Try all problems and include
partia

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Q&A
Quants golden age
Quants received a lot of flak for the crisis, but the profession is on the cusp of a golden age, according to
Myron Scholes, co-inventor of the Black-Scholes pricing model. In an interview with Laurie Carver, he
also criticises post-

Mathematical Methods in Finance
Homework Assignment #1
Due: In class, two weeks after distribution
1
Normal and Log-normal Random Variables
1. Show that the moment generating function of normal X N (, 2 ) is
1 2 2
() = EeX = exp
+ .
2
2. By differentiati

Mathematical Methods in Finance
Homework Assignment #6
Due: In class, two weeks after distribution
1
Shreve Vol. II Exercise 4.5
2
Continuing with Shreve Vol. II Exercise 4.5
Suppose S(t) is employed to model a foreign exchange rate. What is the stochasti

Mathematical Methods in Finance
Homework Assignment #5
Due: In class, two weeks after distribution
1
Scaling Property of Brownian Motion
Given that cfw_W (t) is a standard Brownian motion, prove that B(t) =
Brownian motion.
2
1 W (at)
a
is also a standard

Mathematical Methods in Finance
Homework Assignment #4
Due: In class, two weeks after distribution
1
One-Period Binomial Lattice Model
Suppose there is a risky asset S and a risk-free asset B. On the second day, the risky asset will be worth
S1 = uS0 with

Supplementary Notes on Mathematical Methods in Finance
Chenxu Li
Department of Business Statistics
and Econometrics
Guanghua School of Management
Peking University
Saturday 3rd October, 2015
Abstract
In this set of notes, we provide some technical details

Trends
l
Finding a job in finance
Emanuel Derman gives careers advice to those seeking a job in todays finance markets.
Youll have to have plenty of education, and intuition too
n 1985, when I joined Goldman Sachs, there
were scores of places to work and

Uncommon Interview with Mark Carhart The Chicago Maroon
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Uncommon Interview with Mark Carhart
The Maroon caught up wi

Mathematical Methods in Finance
Homework Assignment #7
Due: In class, two weeks after distribution
1
The Geometric Mean-Reversion Process
The geometric mean-reversion process is specified as
dS(t) = S(t)[ log S(t)]dt + S(t)dW (t),
S(0) = s0 .
1. Use Itos

Mathematical Methods in Finance
Homework Assignment #2
Due: In class, two weeks after distribution
1
Bernoulli Trials and Conditional Expectation
Let X1 , X2 , . be independent identically distributed random variables with Bernoulli distribution, i.e.
P(X

PSTAT W 182T
Homework #4
Summer 2015
Homework 4: Transformations of Single Random Variables.
Instructions: Solutions to these problems should be submitted in pdf format on class Gaucho Space
by 11:30pm on Wednesday, 8/19/2015. Please write full solutions.

PSTAT W 182T
Solutions for Homework #5
Summer 2015
Homework 5: Important Distributions Part 1.
Instructions: Solutions to these problems should be submitted in pdf format on class Gaucho Space
by 11:30pm on Sunday, 8/24/2015. Please write full solutions.

July 2006 l volatility arbitrage supplement
THE VOICE OF THE ALTERNATIVE INVESTMENT INDUSTRY
In association with
Volatility Arbitrage:
The non-correlated alternative
BEGINNERS GUIDE:
FUND PROFILES:
INTELLECTUAL PROPERTY:
PAY DAY:
From delta to gamma
Fimat

Black-Litterman
Topic The Black-Litterman Model
and its Applications in
Investment Management
00928144
2013 4
i
Black-Litterman
Black-Litterman
Black-Litterman

American Economic Review 101 (October 2011): 27232753
http:/www.aeaweb.org/articles.php?doi=10.1257/aer.101.6.2723
The Chinese Warrants Bubble
By Wei Xiong and Jialin Yu*
In 20052008, over a dozen put warrants traded in China went so
deep out of the money

LIBRARY
OF THE
MASSACHUSETTS INSTITUTE
OF TECHNOLOGY
Digitized by the Internet Archive
in
2011 with funding from
Boston Library Consortium IVIember Libraries
http:/www.archive.org/details/optimumconsumptiOOmert
Optimum Consumption and Portfolio Pvules
in

The Journal of Portfolio Management 2004.30.5:42-54. Downloaded from www.iijournals.com by NEW YORK UNIVERSITY on 05/12/11.
It is illegal to make unauthorized copies of this article, forward to an unauthorized user or to post electronically without Publis

ANNUAL
REVIEWS
Further
Annu. Rev. Fin. Econ. 2010.2:1-23. Downloaded from www.annualreviews.org
by Peking University on 06/14/12. For personal use only.
Click here for quick links to
Annual Reviews content online,
including:
Other articles in this volume

SPECIAL REPORT CHINA
The National Association of Financial Market Institutional Investors published new guidelines
last year that pave the way for the launch of a credit derivatives market in China. What are the
hurdles to growth? By Benjamin Liu, Chin-Ch

Quantitative Strategies
Research Notes
Goldman
Sachs
Regimes of Volatility
January 1999
Some Observations on the Variation of
S&P 500 Implied Volatilities
Three-Month Implied Volatilities of SPX Options
65
1200
1150
1100
1050
1000
950
900
850
800
750
700

CHINA CDS
Faltering growth
China launched its version of the credit default swap market nearly 18 months ago yet activity
has almost ground to a halt due to a combination of inflexible rules, lack of standardisation and an
approach to the concept of credi