INTRODUCTION TO FINANCIAL MATHEMATICS: MATH 262.
HOMEWORK 4
Please complete questions 1 to 4 and hand in your solutions by next Friday
1st March 2013 at 12AM. The set work for this module will contribute to 10%
of the nal mark.
(1) If you pay for a certai
MATH 262: HOMEWORK 5
Please complete questions 1 to 6 and hand in your solutions by next Friday
8th March 2013 at 12AM. The set work for this module will contribute to 10%
of the nal mark.
(1) Draw the payo diagrams for each of the following portfolios.
(
MATH 262: Introduction to Financial Mathematics
Examiner: Dr. Radu Tatar, Extension 54927.
Time allowed: Two and a half hours
Answer all of Section A and THREE questions from Section B. The marks shown
against questions, or parts of questions, indicate th
PAPER CODE NO. EXAMINER: Dr. R. Tatar, TELNO. 54927
' A T 2 DEPARTMENT: Mathematical Sciences
1!? UNIVERSITY OF
5; LIVERPOOL
MAY 2012 EXAMINATIONS
Introduction to Financial Mathematics
TIME ALLOWED: Two and a half hours
INSTRUCTIONS TO CANDIDATES: You may
PAPER CODE NO. EXAMINER: Dr. 0. MenoukeuPamen, TEL.NO.
MATH 262 MOCK-EXAM DEPARTMENT: Mathematical Sciences
y? UNIVERSITY OF
1? LIVERPOOL
MO CK EXAM PAPER
INTRODUCTION TO FINANCIAL MATHEMATICS II
TIME ALLOWED: Two and a half hours
INSTRUCTIONS TO CANDID
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Introduction to Modern Portfolio Theory
Second semester 2013, Chapter I
IFAM
Introduction
Will you be able to buy a house?
Possible answer: I am concerned about nishing my studies and get a job, not
buying a house.
The Knowledge of this situation could he
Introduction to Financial Markets and Financial Products
MATH 262
Second semester 2013, Chapter II
IFAM
What is a market? What is a nancial market? What are derivatives securities?
A market is one of many varieties of systems, institutions, procedures, so
Mathematical Finance in Discrete Time
MATH 262
04 March 2013
1 / 63
Binomial Trees
We shall model price movement of nancial assets in discrete time.
We shall introduce models describing the price movements of stocks.
We shall start with a simple market mo
INTRODUCTION TO FINANCIAL MATHEMATICS: MATH 262.
HOMEWORK 2
Please complete questions 1 to 3 and hand in your solutions by next Friday
22 February 2013 at 12AM. The set work for this module will contribute to
10% of the nal mark.
th
(1) A manager has a po
INTRODUCTION TO FINANCIAL MATHEMATICS: MATH 262.
HOMEWORK 1
OLIVIER MENOUKEU PAMEN
Please complete questions 1 to 4 and hand in your solutions by next Friday
8th February 2013 at 10AM. The set work for this module will contribute to
10% of the nal mark.
(
INTRODUCTION TO FINANCIAL MATHEMATICS: MATH 262.
HOMEWORK 2
OLIVIER MENOUKEU PAMEN
Please complete questions 1 to 4 and hand in your solutions by next Friday
15 February 2013 at 10AM. The set work for this module will contribute to
10% of the nal mark.
th
MATH 262: HOMEWORK 7
Please complete questions 1 to 3 and hand in your solutions by next Friday
22nd March 2013 at 12AM. The set work for this module will contribute to 10%
of the nal mark.
(1) A stock price is currently 60GBP. Over each of the next two 2
MATH 262: HOMEWORK 8
Please complete questions 1 to 5 and hand in your solutions by next Friday
19th April 2013 at 12AM. The set work for this module will contribute to 10%
of the nal mark.
(1) A random variable X is distributed according to a normal dist
MATH 262: HOMEWORK 6
Please complete questions 1 to 4 and hand in your solutions by next Friday
15th March 2013 at 12AM. The set work for this module will contribute to 10%
of the nal mark.
(1) Using no-arbitrage argument, one can prove that the following
MATH 262: HOMEWORK 9
Please complete questions 1 to 4 and hand in your solutions by next Friday
26th April 2013 at 12AM. The set work for this module will contribute to 10%
of the nal mark.
(1) The following table shows possible sequence of stock prices d
MATH 262: HOMEWORK 10
Please complete questions 1 to 4 and hand in your solutions by next Friday
3rd May 2013 at 12AM. The set work for this module will contribute to 10% of
the nal mark.
Assume the explicit solution of the Black-Scholes equation for the
MATH 262.
SOLUTION TO HOMEWORK 1
(1) The amount available at the 18th birthday of her niece is given by :
r nm
)
.
m
Here, m = 4; n = 18, r = 5% and P V = 100, 000 GBP, hence
0.05 418
)
F V18 =P V (1 +
4
=244, 592.03GBP.
F Vn = P V (1 +
The eective annual