IOE 552 FE I. Winter 2012
Homework 4
IOE 552 Financial Engineering I
Homework 4 SOLUTION
Problem 1. The value process is a linear combination of the two underlying asset prices S (t)
and (t). Hence
dV (t) = d(hS (t)S (t) + h (t)(t)
= hS (t)dS (t) + S (t)d

IOE 552 FE I. Winter 2012
Homework 1 Solution
IOE 552 Financial Engineering I
Homework 1 Solution
Problem 1. One method of solving this is to calculate risk neutral probabilities and use them
to calculate the discounted expected value. We know from the pr

IOE 552 FE I. Winter 2012
Homework 2 Solution
IOE 552 Financial Engineering I
Homework 2 Solution
Problem 1. Commentary : Lecture 2 introduced stochastic integrals, like
t
0
sdW (s). The
dW term is interesting to analyze because the W -trajectories are of

IOE 552/Math 542
Home Work 9
Incomplete Markets and Exchange Derivatives
Due Thursday April 16, 2015.
1. Assume you have an asset priced as the function F (t):
dF (t) = (t)F (t)dt + (t)F (t)dW P (t).
(a) Dene the Girsanovs Kernel such that the expected re