Welcome

This is the home page for MATH4091 Financial Calculus for Semester 1, 2004. The Coordinator is Dr B. Thompson. You may like to check this page, and the associated links, with some frequency. Most information about the subject will be made available on these pages.

Important Notices

Office Hours

All assignments have been marked. Check you email
for a message sent on June 17.

Check your registration on SI net.

Problem Sheet 1

Problem Sheet 2

Assignment 2

Assignment 3 Due 12th May

Assignment 4 Due 2nd June

MATH4091 2002 Exam

Some solutions to the 2002 exam

Assignment4Q1Solution

Assignment two submission date extension:
Now due at end of Tutorial on 21st April.

Assignment one submission date extension:
Now due at end of Tutorial on 24th March.

MATH4091/7091 Semester 1 2004 Assignment 1 (Due 17th March)

Note: The y in Question 4 of Chapter 3 should not contain the discount factor e^-rT and so should read y =V₀-fs₀

Questions 1,2,3 from Chapter 2 and Questions 3 and 4 from Chapter 3 of the Notes. Also price an American Put with strike $100 on the tree given in  Figure 3.1

A binary tree exercise:

A stock price is currently $50. Over each of the next two three month periods it is expected to go up by 6% or go down by 5%. The risk free rate of interest is 5% per annum with continuous compounding. Price a 6 month European call option on the stock if the strike price is $51.

If the contract had been an American put option would it ever be optimal to exercise it early. If so at which node should early exercise occur?

For information on the course including, content and texts as well as lecture and tutorial times read the Course Profile

For past exam papers and other course resources visit the Resources page

Article on Martingale Methods