Exercise Class 4

27 Setembro 2016, 13:00 • Raquel M. Gaspar

Exercises 

11.1

11.2

Extra exercise on measure chnage and Likelihood processes.

13.3 

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Arbitrage Pricing. Bayes and Girsanov Theorem.

27 Setembro 2016, 09:30 • JOSÉ MANUEL TEIXEIRA SANTOS CRUZ

Exercises from Bjork:

Ex 7.2, 7.3, 9.1

Exercises from chapter 10-12:

1,2,3,5.

 

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Exercise Class 3

20 Setembro 2016, 13:00 • Raquel M. Gaspar

Exercises

9.5

9.10

Extra exercise on no-arbitrage and completeness, based upon 2 GBM with the same wiener process.

Extra - Proof that the product of a stochastic discount factor with a price process is a P-martingale 

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Exercise Class 2

16 Setembro 2016, 13:00 • Raquel M. Gaspar

Exercises

7.4

7.5

8.3

9.1

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Recap and Exercises 1

13 Setembro 2016, 09:30 • Raquel M. Gaspar

Quick recap on stochastic processes.

Exercises

4.1

4.3

4.4

4.8

Extra: The GBM case

5.1

5.5

5.9

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