Sumários
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
Exam Exercises
10 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA
- 22 November 2010 Exam: Solved Exercises 1, 2, 3, 4
Stochastic Optimal Control
6 Outubro 2011, 20:30 • RENATO FILIPE RIBEIRO FRANÇA
Solved Exercises from "Arbitrage Theory" book: 19.1, 19.3, 19.6
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
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