THE CHINESE UNIVERSITY OF HONG KONG
Department of Mathematics
MATH4210 (2016/17 Term 1)
Financial Mathematics
Assignment 1 solution
Note: If you have any questions about the solution or assignment score, please let
me know by sending an Email to kckchan@m

THE CHINESE UNIVERSITY OF HONG KONG
Department of Mathematics
MATH4210 (2016/17 Term 1)
Financial Mathematics
Assignment 2 solution
Note: If you have any questions about the solution or assignment score, please let
me know by sending an Email to kckchan@m

Financial Mathematics
Homework 3:
Due date: 2 November, 2016
Instructor: Professor I-Liang Chern
1. ([2;p55]) Draw the expiry payoff diagrams for each of the following portfolios:
(a) Short one share, long two calls with exercise price E (this combination

Financial Mathematics
Homework 4:
Instructor: Professor I-Liang Chern
Due date: 25 November, 2016
1. ([8;p104]) (a) Suppose that a forward contract had the additional condition that a premium Z had
to be paid on entering into the contract. How would the f

2015-16 MATH4210 FINANCIAL MATHEMATICS
ASSIGNMENT 6
Due Date is 29th April (Fri), 2016. Please put your assignment in the assignment box opposite to the General Office of the Department of Mathematics (Rm 220, LSB) before 12:00 noon.
In this assignment, T

2015-16 MATH4210 FINANCIAL MATHEMATICS
ASSIGNMENT 2
Due Date is 15th Feb, 2016. Please put your assignment in the assignment box opposite to
the General Office of the Department of Mathematics (Rm 220, LSB) before 12:00 noon.
In this assignment, assume al

2015-16 MATH4210 FINANCIAL MATHEMATICS
ASSIGNMENT 5
Due Date is 6th April (Wed), 2016. Please put your assignment in the assignment box opposite to the General Office of the Department of Mathematics (Rm 220, LSB) before 12:00 noon.
In this assignment, Th

2015-16 MATH4210 FINANCIAL MATHEMATICS
ASSIGNMENT 3
Due Date is 7th March (Mon), 2016. Please put your assignment in the assignment box
opposite to the General Office of the Department of Mathematics (Rm 220, LSB) before 12:00
noon.
In this assignment, Th

2015-16 MATH4210 FINANCIAL MATHEMATICS
ASSIGNMENT 4
Due Date is 21th March (Mon), 2016. Please put your assignment in the assignment box
opposite to the General Office of the Department of Mathematics (Rm 220, LSB) before 12:00
noon.
In this assignment, T

2015-16 MATH4210 FINANCIAL MATHEMATICS
PROGRAMMING ASSIGNMENT
Due Date is 20th April (Wed), 2016. Please put your assignment in the assignment box
opposite to the General Office of the Department of Mathematics (Rm 220, LSB) before 17:00.
Instructions
(1)

Financial Mathematics
Homework 2:
Due date: 7 October, 2016
Instructor: Professor I-Liang Chern
Definition 0.1. Let (, F, P) be a probability space. A collection of random variables z : [0, )
R is called a Brownian motion if
(a) z(, ) is continuous and z

Mathematical Finance
Homework 1
Due date: 21/09/2016
1. (Hull, 1.4, pp.15)
An investor enters into a short cotton futures contract when the futures price is 50 cents per pound.
The contract is for the delivery of 50, 000 pounds. How much does the investor