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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 Pspcfw_Y1 ,.,Yn Yn h .
So without loss of generality we
Psycholox ea. Methods
lW7, Vol L NL). 3,? ll?
Lupyrlght 1997 by the Amcican Psychological AiSDCll-lun lnc
1082-939X/97/53 00
On the Meaning and Use of Kurtosis
Lawrence T. DeCarlo
Fordham University
For symmetric unimodal distributions positive knrtosis i
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=30%, interest
rate r=6%, and no dividends.
Option Pric
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 0.001% annualized. Interest is
compounded annually
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 other students.
1.(10pt) European call and put on a sto
Negative Interest Rates
The Bank of Japan, the European Central Bank and several smaller European authorities have ventured into the once-
uncharted territory of negative interest rates. But what are negative rates,
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 have any difficulties.
1.Matlab option model. Download fro
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 other students.
1. Suppose that the price Xt of Euro in