Derivative Securities, Fall 2009

Homework assignments

Number Topic and link Due date
1 Futures and forwards, options, portfolios with options. Auxillary file randn.xls. For the novice, Hints on using excel Sept. 23
2 Discrete hedging Sept. 30
3 Binomial tree and Gaussians. Auxillary files: bintree.cpp, the C++ source code, and the option.csv file for comparison. Oct. 7
4 Binomial tree Black Scholes. Auxillary files: putTree.cpp, the C++ source code, and the a4.xls file. Oct. 14
5 Stochastic calculus, American style options. Oct. 21
6 PDE and SDE and continuous time hedging. Auxillary file: the a6.xls file. Oct. 28
7 PDE and option pricing . Nov 4
8 More PDE solving, and Monte Carlo. Source code files: randMain.cpp, and path.cpp, and randn.cpp. Nov. 11
9 More stochastic calculus, some yield curve, PDE solving . Nov 18
10 Interest rate models . Dec. 2
11 Black's method, implied defaults . Dec. 9 + grace period
Sample final Sample for this year .
Sample for last year .
Sample for 2006 .