KTH Mathematics

Exercises Below you will find a preliminary plan for what will be done during the exercises. It will be updated as time passes. Exercise 1 and solutions. Solutions to some of the problems solved at exercise 2. Exercise number Solved during class Recommended to solve at home 1 12.16 12.19 (12.20) 12.24 (12.19) 18.3 (20.2) 2 II.1 II.2 IX.2 IX.4 5.9 5.29 (5.27) II.3 18.11 (20.12) 18.18 (20.27) 3 II.7 18.10 13.26 13.19 13.27 15.10 12.18 (12.21) 13.4 (14.4) 13.5 (14.5) 15.6 (16.6) 15.7 (16.7) 12.17 (12.15) 4 15.24 II.8 trading strategy 13.12 delta hedge (similar to what you find in Table 17.2 and 17.3 in Hull) 5.10 II.4 II.5 II.10 5 15.25 18.16 16.14 16.15 16.20 V.6 17.2 (18.2) 17.3 (18.3) 18.10 (20.11) 16.7 (17.7) 16.26 (17.25) 6 4.8 4.11 4.12 4.16 II.6 V.1 4.3 4.5 4.14 7 4.15 7.9 7.10 7.11 7.12 4.6 7.1 7.2 7.3 7.4 8 Old exam Old exam Exercises beginning with a roman number are from the lecture notes of Harald Lang Lectures on Financial Mathematics, and exercises beginning with an arabic number are from "Fundamentals of Futures and Options Markets" and "Options, Futures and Other Derivatives" by John C. Hull. Whenever the numbers of the exercise differ the number for "Options, Futures and Other Derivatives" are in parenthesis (so far only the ones recommended to do at home are available for "Options, Futures and Other Derivatives"). To Mathematical Statistics To Mathematical Statistics Courses

Published by: Filip Lindskog Updated: 15/01-2008