Exam Exercises

13 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

• Solved Exercise 2 from 10/11/2009 Exam
• Solved Exercise 4 from 27/06/2008 Exam
• Solved Exercises 1 and 3 from December 2009 Exam

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Exam Exercises

10 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

• 22 November 2010 Exam: Solved Exercises 1, 2, 3, 4

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Stochastic Optimal Control

6 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

Solved Exercises from "Arbitrage Theory" book: 19.1, 19.3, 19.6

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Future and Forwards

3 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

Summary about the differences between Forward and Future Contracts:

Solved an exercise for Futures from 2006 Exam, exercise 5.

Solved Forward exercises from "Arbitrage Theory" book: 29.1, 29.2, 29.3

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Change of Numeraire

29 Setembro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA

Exercise: Find an exact expression for the Likelihood process L(t) when changing measure from Q to Q ^s

Solved Exercise 26.4 of chapter Change of Numeraire from book "Arbitrage Theory".

Exercise: Find the arbitrage free price of a T-Claim X=min(S ₁(t),S ₂(t))

Exercise: Proved that under T-forward measure, E _t ^T[r(T)] = f(t,T), where r(t) is the spot rate and f(t,T) is the forward rate

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