Derivative Securities, Fall 2010

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. 15
2 Discrete arbitrage arguments and implied risk neutral probability Sept. 22
3 The binomial tree model, the assignment
bintree.cpp, the C++ code shell
option.csv, the sample output file
Sept 29
4 Black Scholes, the assignment
a4.xls, Excel macro for implied vol
EquityOptionData.xlt, equity option data
FXOptionData.xlt, USD/Euro option data
Oct. 6
5 Greeks, the assignment
PathMax.cpp, C++ program starter for random walk
Max.csv, Output of PathMax.cpp as given
Oct. 13
6 Stochastic calculus, the assignment Oct. 20
7 Girsanov and backward equations, the assignment Oct. 27
8 finite difference Americans, the assignment
FEuler.cpp, C++ to price options using finite differences
GraphPutPrice.xls, Sample output for FEuler.cppcode
Nov. 3
9 Monte Carlo, credit, the assignment
randMainv.cpp, Main, add up and output samples
randnv.cpp, Generate a vector of Gaussians
pathv.cpp, Make a sample path
Nov. 10
10 copula computing, numeraires, the assignment
main.cpp, Main, the tranche simulator
randnv.cpp, Generate a vector of Gaussians
cumnor.c, compute N(x)
Nov. 17
11 bonds, the assignment Dec. 8
* Sample final , See also last year *