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consider the function f x x3 - 2x 4 on the interval -2 2 with h 025 use the forward backward andcentered finite
you are asked to design a covered conical pit to store 50 m3 of waste liquid assume excavation costs at 100m3 side
exercise 1 heat distributionpart of monitoring a structure is determining its heat distribution this may help to avoid
discuss how a geometric mean asian option would be priced by the auxiliary variable method and by monte carlo the
suppose an option pays the maximum value of spot minus the minimum value of spot across a number of dates discuss how
let st btnbspbe as in the black-scholes model with st non-dividend paying an option p allows the holder to sell the
for the weak static replication of a discrete barrier option approximately how many price evaluations will be required
suppose we are a dollar investor the stock we wish to buy is priced in pounds how would we price a call option on the
you are an au bank an investor purchases a call option to buy a us share for 10 us how would you price and hedge this
consider a forward which gives the right and obligation to buy a stock at a fixed price k during a period t1 t2 thus is
the perpetual american call option is a call option that can be exercised at any time in the future and never expires
suppose we have american options a and b and b has half the notional of a but is otherwise identical consider a
suppose we have a forward contract with one year expiry with the additional property that either party can cancel the
a trigger fra is a fra that comes into existence if and only if the forward rate is above h at the start of the fra
suppose we decide that all the trouble in the bgm model is caused by the non-tradability of the rates and therefore
every three months an inverse floater pays max 2l - k 0tau - l tau where l is the three-month libor rate for the
suppose a stock follows a process in the risk-neutral world which involves time-dependent parameters for the pricing of
suppose we wish to price an asian option by monte carlo using a jump-diffusion model with log-normal jumps if the
suppose a stock st follows a jump-diffusion process such that jumps can only occur in the time period from 0 to t1 an
show that if spot and volatility are uncorrelated then the risk-neutral density of spot can be written as an integral
a gilt and a corporate bond have the same principal and the same coupons and coupon dates how will their prices
each of the following products pays a function of the spot price s of a non-dividend-paying stock one year from now if
let p be a digital put struck at k1nbspand c be a digital call struck at k2 a digital put pays 1 if spot is below the
if interest rates increase how will the forward price of an asset change how will the value of a forward contract
suppose no-arbitrage bounds for an option price show that the price lies between l1 and l2 in a world without