423 Mathematics of Finance, Fall 2016.
Homework 2 Solution
1. In anticipation of the new iPhone and Galaxy Note, you decide to invest some of your $100,000 savings in
the Apple and Samsung stocks. The
423 Mathematics of Finance, Fall 2016.
Homework 5 Solution
1. Consider a binomial model with the effective interest rate of 1% per period, the initial stock price
S0 = $120, and parameters u = 1.2 and
Math 423 Mathematics of Finance, Homework 4
Due Tuesday, Nov/20/12
Problem 1. (8 pts )
Consider a two step binomial tree with the following parameters: S (0) = 100, U = 10%,
D = 10% and R = 3%. Find t
423 Mathematics of Finance, Fall 2016.
Homework 2
Due: Thursday 6 October 2016, NO LATER than 1pm.
You may hand in your work during the class or put your solution in the dropbox on my office door. Ple
Math 423.120 Spring 2012: Midterm Solution
UMID:
Name:
This is a closed book exam. You are allowed one 3 5 note card and a calculator if you
wish. No others materials or devices (including cell phones
COMPUTER ASSIGNMENT I
Due Date: Thursday March 11, 2010 (by 5pm)
Math 423, Mathematics of Finance
Dr. Ahmet Duran, University of Michigan, Department of Mathematics
1. How many dierent values does the
Math 423 Mathematics of Finance, Homework 3
Due Thursday, Nov/08/12
Problem 1. (4 pts )
A gap call option is a European call option which at maturity T pays o S (T ) K1 when
S (T ) > K2 , or nothing w
Solution to Midterm
423-W17
Sections 2 and 4
1. James holds a saving account. He checks his balance on the first day of every month. He does not
invest nor withdraw money from the account if the balan
Math 423 Mathematics of Finance, Homework 3
Due Thursday, Oct/25/12
Problem 1. (4 pts)
A gap call option is a European call option which at maturity T pays off S(T ) K1 when
S(T ) > K2 , or nothing wh
Solution to Practice Midterm
423-W17
1. a) What is the accumulated value of $1 after 2 years assuming a semi-annual compounding at 10%?
Solution: 1 (1 + 0.1/2)22 = 1.21.
b) What is the continuous comp
Math 423 Mathematics of Finance, Homework 1
Due Tuesday, 09.25.12
Problem 1. (4 pts)
In a simple market model under the No Arbitrage Assumption, prove that: The price of call
option C(0) is a convex f
Math 423, Mathematics of Finance, Quiz 1
Solutions
Problem 1: (5 pts) In a simple market model, find todays price of a call option with strike
price K = 90 if bond price B(0) = 100, B(T ) = 110, stock
Math 423,
Practice Midterm Exam,
Name:
Fall 2012
Uniquename
Problem 1. (10 pts)
A 10 year coupon bond with coupon C1 and face value F1 sells for $90. Another 10 year
coupon bond with coupon C2 and fac
Math 423, Practice Quiz with Solutions
Name:
Section
$55 with probability 0.7,
$45 with probability 0.3.
Design a portfolio with initial wealth $10,000 split 40% and 60% between stock and bonds. Compu
Math 423 Mathematics of Finance, Homework 2
Solutions
Problem 1. (4 pts)
Given X = 4.06%, use the following data to find the risk of the portfolio X .
Scenario
1
2
Probability
0.4
0.6
Return R1
-5%
8%
Math 423 Mathematics of Finance, Homework 2
Due Thursday, Oct/11/12
Problem 1. (4 pts)
Given X = 4.06%, use the following data to find the risk of the portfolio X .
Scenario
1
2
Probability
0.4
0.6
Re
Kyle Beyer
ANTHROBIO 368: Section 002 Lecture 001
Taxonomy and Conservation
Taxonomy and Conservation
Let us begin with the taxonomy of the Bornean orangutan scientifically labeled
Pongo Pygmaeus. The
Beyer, 1
Kyle Beyer
Anthro 368, Section 02
Final Paper
The Bornean Orangutan (Pongo Pygmaeus)
Taxonomy
The Bornean orangutan is scientifically labeled Pongo Pygmaeus. The orangutan
originates from Kin
Kyle Beyer
ANTHROBIO 368: Section 002 Lecture 001
Feeding and Spacing
Feeding and Spacing
Bornean orangutans are primarily frugivores. About sixty percent of their diet
relies on fruit while the remai
Equation Sheet for Fin 480, April 2017
F0 = S0erT
F0 = (S0 I )erT
f = (F0K)erT
VFRA=L(RK RF)(T2-T1)e-R2T2
F0 = S0e
( r r f )T
(rq+uy )T
F0 = S0 e
h = S
F
V
A
VF
R
Rc = m ln1 + m
m
Rm = m(e R / m 1
Math 423 Mathematics of Finance, Homework 1
Solutions
Problem 1. (4 pts)
In a simple market model under the No Arbitrage Assumption, prove that: the price of call
option C(0) is a convex function of t
Lecture 2: Risk-Free Assets
Xiang Yu
Department of Mathematics
University of Michigan
September 6, 2012
1. Time Value of Money
We are now particularly interested in the following two questions
I
What
Solution to Practice Final
423-W17
1. Prove that if the interest rate is deterministic, the futures price is equal to the forward price.
Solution: See page 186 of the book or the corresponding part in
Formulas
1. The forward price of a stock S at time t > 0 is
F (t) = S(t) + U (t) D(t) er(T t) ,
where T is the maturity, S(t) is the price of the stock at time t, D(t) is the present value at time t o
423 Mathematics of Finance, Winter 2017.
Homework 2 Solution
The maximum number of points you can receive for this homework is 40.
1. In anticipation of the new iPhone and Galaxy Note, you decide to i
Class Assignment 2.
423-W17 -001
You have 15 minutes
1. Consider a contract of a long position in a forward on a stock S signed at time 0,
with maturity date is T = 2 years, and S(0) = 100. After half
423 Mathematics of Finance, Winter 2017.
Homework 3
Due: Thursday 16 February 2017, NO LATER than 1pm.
You may hand in your work during the class or put your solution in the dropbox on my office door
423 Mathematics of Finance, Winter 2017.
Homework 4
Due: Thursday March 23rd 2017, NO LATER than 1:00pm.
You may hand in your work during the class or put your solution in the dropbox on my office doo
B
20% KM
HW7
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Kyle Beyer
ANTHROBIO 368: Section 002 Lecture 001
Feeding and Spacing
Mating System
The mating system of the Bornean orangutan is polygyny meaning males mate
multiple females. Females reach sexual mat
1) We see that the implied vola1lity for calls are generally higher than puts for most
strike prices. Since American style op1ons allow early exercise, put-call parity will not
hold for American op1
University of Michigan
Literature, Science and the Arts (LSA)
Department of Math
Winter 2016
Math 423 Section 101
Mathematics of Finance
General Info Version 4.0
6/5/2016
B. Roger Natarajan, PhD, FSA