IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2011
Midterm Examination
(Part I; 75 minutes)
Return this problem sheet with your solutions. The number in the round bracket
at the end of each problem is the points assigned to this problem.
IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Midterm Review
Scope for midterm exam:
Lecture notes
Cash-ow analysis; exclude slides on Free Cash Flow (last three slides)
Mean-variance analysis
Options: binomial tree model
O
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2011
Midterm Examination
(150 minutes)
Return this problem sheet with your solutions. The number in the round bracket
at the end of each problem is the points assigned to this problem.
1. Con
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2011
Midterm Examination
(Part II; 75 minutes)
Return this problem sheet with your solutions. The number in the round bracket
at the end of each problem is the points assigned to this problem
IEOE E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Final Review
Scope for nal exam:
Lecture notes
Black-Scholes-Merton Model, starting from Hedging of a European Option
More on B-S-M Model:
the analysis of the goodness of the est
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2011
Final Examination
(150 minutes)
Return this problem sheet with your solutions. The number in the round bracket
at the end of each question is the points assigned to it. Please explain th
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2010
Final Examination
(150 minutes)
Return this problem sheet with your solutions. The number in the round bracket
at the end of each problem is the points assigned to this problem.
1. Consi
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2010
Suggested Solutions to Final Examination
1. Suppose at time t the number of shares invested into the stock to hedge the
option is H (t), then the gain or loss of this position in (t, t +
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2010
Suggested Solutions to Midterm Examination
1. (a) The monthly payment is
100000 0.09/12
100000 0.09/12
=
= $899.73.
1 (1 + 0.09/12)240
1 0.407942
(b) The remaining principal is
899.73
89
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2010
Midterm Examination
(Part II; 75 minutes)
Return this problem sheet with your solutions. The number in the round bracket
at the end of each problem is the points assigned to this problem
IE4700 Introduction to Financial Engineering
Xuedong He, Spring 2010
Midterm Examination
(Part I; 75 minutes)
Return this problem sheet with your solutions. The number in the round bracket
at the end of each problem is the points assigned to this problem.
IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Some Notes on Matrices and Vectors
1
Matrices and Vectors
An n-by-m matrix A consists of nm entries aligned in n rows and m columns, i.e.,
a
a1,2
1 ,1
a
a2,2
2 ,1
.
.
.
A= .
.
.
an