Introduction to the Mathematics of Finance. HOMEWORK 1.
Due Monday, February 13, 2017.
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Chapter 5: Prediction of Stationary Processes
5.1 Prediction Equations
Let cfw_Xt be a stationary TS with mean The stationary TS,
Yt =Xt - has mean 0, and by Problem 5.1,
Pspcfw_1, X1 ,., X n X n h P
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On the Meaning and Use of Kurtosis
Lawrence T. DeCarlo
Fordham University
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Greeks or Options Sensitivities.
Delta Hedging.
Hedging of Other Greeks.
The graphs below show call price 6 month, 2 month, and 2
hours before expiration.
The call has strike price K=100, volatility s
The spot rate is 1.1250 USD for 1 Euro, the forward rate is 1.1440 USD for 1 Euro. The 1-year
USD interest rate is 1.50% annualized and Euro interest rate is 0
Introduction to the Mathematics of Finance.
HOMEWORK 2. Due October 10, 2016
Please write a pledge that homework solutions represent your own work and that you did not copy solutions from
the work of
Negative Interest Rates
The Bank of Japan, the European Central Bank and several smaller European authorities have ventured into the once-
uncharted territory of negati
Introduction to the Mathematics of Finance. Take-Home Midterm.
Due October 17, 2016
Please write a pledge that you do not copy solutions from the work of other students. You can consult TAs
if you hav
Introduction to the Mathematics of Finance. HOMEWORK 3. Due November 9, 2016
Please write a pledge that homework solutions represent your own work and that you did not copy solutions from
the work of