|MATH4091: Financial Calculus||Homepage|
This is the home page for MATH4091 Financial Calculus for Semester 1, 2004. The Coordinator is Dr B. Thompson. You may like to check this page, and the associated links, with some frequency. Most information about the subject will be made available on these pages.
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Assignment 3 Due 12th May
Assignment 4 Due 2nd June
Assignment two submission date extension:
Assignment one submission date extension:
MATH4091/7091 Semester 1 2004 Assignment 1 (Due 17th March)
Note: The y in Question 4 of Chapter 3 should not contain the discount factor e-rT and so should read y =V0-fs0
Questions 1,2,3 from Chapter 2 and Questions 3 and 4 from Chapter 3 of the Notes. Also price an American Put with strike $100 on the tree given in Figure 3.1
A binary tree exercise:
A stock price is currently $50. Over each of the next two three month periods it is expected to go up by 6% or go down by 5%. The risk free rate of interest is 5% per annum with continuous compounding. Price a 6 month European call option on the stock if the strike price is $51.
If the contract had been an American put option would it ever be optimal to exercise it early. If so at which node should early exercise occur?
For information on the course including, content and texts as well as lecture and tutorial times read the Course Profile
For past exam papers and other course resources visit the Resources page
|Lecturer: Dr B. Thompson, Email: firstname.lastname@example.org, Office: 67-651, Phone: 3365 3252, Consultation hours|
MATH4091 Web Page. Last updated
Mach 17, 2004
Contact the lecturer Dr Thompson