Start Discovering Solved Questions and Your Course Assignments
TextBooks Included
Active Tutors
Asked Questions
Answered Questions
consider a policy maker who uses and instrument kt to control the path followed by some target variable y the policy
suppose the stock discussed above pays dividends assume all parameters are the same consider these three forms of
suppose you are given the following databull risk-free interest rate is 6bull the stock price followsdst must
suppose you are given the following sde for the instantaneous spot ratedrt sigmar1dwtwhere the wt is a wiener process
consider again the setup of question 1 suppose we want to price three european style call options written on one period
suppose at time t 0 we are given four zero-coupon bond prices b1 b2 b3 b4 that mature at times t 1 2 3 4 this forms
consider the equation below that gives interest rate dynamics in a setting where the time axis 0 t is subdivided into
suppose at time t 0 you are given four default-free zero-coupon bond prices pt t with maturities from 1 to 4
suppose you are given the following information on the spot rate rtthe rt followsdt murt sigmart dwrthe annual drift
which ones of the following are assets traded in financial marketsa 6-month liborb a 5-year treasury bondc a fra
plot the payoff diagrams fur the following instrumentsa a caplet with cap rate rcap 675 written on 3-wonth libor lt
in this exercise we work with the black-scholes setting applied to foreign currency denominated assets we will see a
assume that the return rt of a stock has the following log-normal distribution for fixed tlog rt nmu sigma2suppose we
consider a random variable x with the following values and the corresponding probabilitiesdeltax 1 pdeltax 1 3deltax
considernbspwhere xt is an exponential wiener processa calculate the expected value of the increment dztb is zt a
this exercise deals with obtaining martingales suppose xt is a geometric process with drift mu and diffusion parameter
the exercises in this section prepare the reader for the next three chapters instead of dealing with the pdes an
a function fx z y t of four variables x z y t that satisfy the following pde is called the heat equationwhere a is a
you are given a function fx z y of three variables x z y the following pde is called laplaces equationaccording to this
consider the linear sde that represents the dynamics of a security pricedst 01 stdt 05 stdwtwith s0 1 givensuppose a
consider the geometric sdedst mustdt sigmastdwtwhere st is assumed to represent an equity index the current value of
let h be a wiener process consider the geometric process s againa calculate dstb what is the expected rate of change of
we consider the random process st which plays a fundamental role in biack-scholes analysesst s0emu1sigmawtwhere wt is
you are given the representationwhere the equality holds given the sequence of information sets it the underlying
let wf be a wiener process and t denote the time are the following stochastic