IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Homework Set 10
Due Apr. 24
Reading
Lecture notes
[H] Chapter 17: Section 1-12; Chapter 20: Section 1-4, 6-9.
Assignment
1. A company uses delta hedging to hedge a portfolio of long
IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Homework Set 8
Due Apr. 5
Typos in Lecture Notes
In Slides 21 and 23 in Lecture NotesOptions: More on B-S-M Model,
2
e2(r)t (et 1) should be e2(r)t (e t 1).
In Slides 34 in Lecture
IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Homework Set 7
Due Mar. 29
Reading
Lecture notes;
[L] Ch10: Section 1-4 and 6-7; Ch13: Section 1-4.
[H] Ch2; Ch5; Ch13: Section 5-9, Section 12 (those related to European options),
A
IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Homework Set 6
Due Mar. 1
Reading
Lecture notes;
[L] Ch11: Section 6,7,8;
[H] Ch12: Section 2, 3 excluding Monte carlo Simulation, Section 5, 6; Ch13: Section
1-3
Assignment
1. A sto
IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Homework Set 4
Due Feb. 17 (Friday) 9am, submitted in recitation class;
Q7 and Q8 are NOT required and will NOT count in your grade
Reading
[L] Ch6: Section 8-9; Ch7: 1-7.
Assignment
IEOR E4700 Introduction to Financial Engineering
Xuedong He, Spring 2012
Homework Set 3
Due Feb. 9
Reading
[L] Ch6: Section 1-7.
Assignment
1. [L] Chapter 6: Exercise 2
(Dice product) Two dice are rolled and the two resulting values are multiplied
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