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MakeUp Tutorial Course: April 23rd 2019, 9:30-10:15, LSB-C5; General Information Lecturer. i. ) Jiazhi Kang (CUHK) MATH 4210 Tutorial 9 16 November, 20228/8 MATH4210: Financial Mathematics Tutorial 5 Jiazhi Kang The Chinese University of Hong Kong jzkang@math. Summary of the course Numerical methods Monte Carlo method Finite di erence method Variance reduction Main idea: to estimate E[f(X MATH4210: Financial Mathematics Tutorial 4 Jiazhi Kang The Chinese University of Hong Kong jzkang@math. Mr. g. Jiazhi Kang (CUHK) MATH 4210 Tutorial 11 30 November, 2022 3/8 the new conn 1 t year Bond a Price Question (d) (ii) From the above, one obtains that σ2 Z T 0 S2 t dt = S 2 T −S 2 0 − Z T 0 2S tdS t. pdf from MATH 4210 at The Chinese University of Hong Kong. v. Email: Pang Xiangying. WONG, Wing Hong (CUHK) MATH 4210 Tutorial 4 7 October, 20203/20 Assignment 3: Question 5 typo dXt is the differential form of an ito process Xt IMPORTANT DATE: Final exam at May 4 (Mon) 9:30-11:30 at Univ Gymn Midterm 2 (Mean: 20. Discrete Martingale Mar 29, 2023 · The reason is that the continuous compound mode is derived as a limit of discrete compound: lim n →∞ (1 + r n ) nt = e rt Jiazhi Kang (CUHK) MATH 4210 Tutorial 2 21 September, 2022 15 / 18 Binomial Tree Models Answer (c) P P d P dd = 11 . d. 02 P du = 3 . YANG, Fan (CUHK) MATH 4210 Tutorial 7 10 November, 20215/17. Option Pricing NoticeThis is a course in mathematics rather than a course in nance. If the price has possibility to go downwards to negative in nity, there is always risks, i. Course Code Course Name ; MATH5022 : Theory of Partial Differential Equations II Questions or Concerns; Mathematics Garden; Undergraduates Login; Tutors Login; Scholarships. Question Under the Black-Scholes setting and assume the risk neutral interest rate r = 0, consider a derivative with payo g(S T) = S2 T at maturity. Binomial Tree Models Assessment Policy. 4/11/2016 and 9/11/2016. Deduce the replication cost and replication strategy of the derivative option R T 0 S 2 t dt. Question Why we need to assume S(t) 0 during our proof? Answer The value of some derivatives can beNEGATIVEin reality. hk 20 Feb, 2024 Jiazhi Kang (CUHK) MATH 4210 Tutorial 5 20 Feb, 2024 1/6 Question Suppose X k ˘N( k; (CUHK Mathematics) MATH 4210 Tutorial 4 13 October, 202111/17 (CUHK Mathematics) MATH 4210 Tutorial 4 13 October, 202112/17 (c) If fX Modules and Representation Theory. Present Value Nov 4, 2016 · TA 1 email: kckchan@math. 3; Due date of homework 3 is 2/11 now. 92 P uu = 0 Jiazhi Kang (CUHK) MATH 4210 Tutorial 2 21 September, 2022 Question a) Find the value of a 10-year zero-coupon bond of face value $100 if the the annual simple interest rate is 2%. Last updated: May 06, 2024 18:32:12. Course Year: 2023/24 MATH4210: Financial Mathematics Tutorial 7 YANG, Fan The Chinese University of Hong Kong fyang@math. Office: Room 227, LSB; Email: Office Hours: MWF 3:00-4:00PM; Teaching Assistant. (b). General Information Lecturer. r. WONG, Wing Hong (CUHK) MATH 4210 Tutorial 4 7 October, 20203/20 Question Show that the European put options with strike price K and maturity at time T satisfies PE (t,K) > Ker(Tt) S(t) for all t < T,whereS(t) is the stock price, r is the continuous compounded interest rate. no arbitrage opportunity. 1, Jiazhi Kang (CUHK) MATH 4210 Tutorial 6 19 October, 2022 5/7 Question Let (˘ k) k 1 be a sequence of i. Link of Facebook; Link of Instagram; MATH jobEX; 1st-Year Math Honours Scheme; Overseas Course Exemption Question Assume X follows log-normal distribution with parameters µ, Jiazhi Kang (CUHK) MATH 4210 Tutorial 4 5 October, 20226/7. 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Lecture: Tuesday 9:30-10:15 (Lady Shaw Bldg LT3); Thursday 12:30-14:15 (Cheng Yu Tung Building 201) Question Consider a 2-year $2000 bond, that has coupons every 1=2 year in the amount of $50, for a total of four times until 2 years at which time you receive $2050. Nov 30, 2022 · Topics of this course will include: Basic option theory, forward and futures contracts, interest rate, binomial tree model, Ito's Lemma, Black-Scholes model, free boundary problems of options, etc. Yi Shen (CUHK) MATH 4210 Tutorial 11 27 November, 2024 3/8 It 100 Q1(a) To 10 Yn = xo(1+ nr) tO Access study documents, get answers to your study questions, and connect with real tutors for MATH 4210 : 4210 at CUHK. Feb 15, 2021 · Forward Suppose the continuous compounded interest rate is r, let S(t) be the price of the product at time t, suppose you long a forward contract with forward price F(0,T) signed at time 0 and matured at time T, then the portfolio is Π (0) = 0 Π (T) = S(T) - F(0,T). random variable. b) Find the face value of a 10-year zero-coupon bond if it is issued for $100 and the continuous compound interest rate is 3%. We accept this for now. If u >1 >d, (CUHK Mathematics) MATH 4210 Tutorial 1 27 October, 20216/8. Link of Facebook; Link of Instagram; MATH jobEX; 1st-Year Math Honours Scheme; Overseas Course Exemption Questions or Concerns; Mathematics Garden; Undergraduates Login; Tutors Login; Scholarships. ) Quiz 1, Ch1-Ch3. (Hint: Use the above replication strategy for the option g(S T) = S2 T. The reason is that the continuous compound mode is derived as a limit of discrete compound: lim n→∞ (1 + r n)nt = ert YI SHEN (CUHK) MATH 4210 Tutorial 2 17 September, 202417/20 MATH4210: Financial Mathematics Tutorial 5 Jiazhi Kang The Chinese University of Hong Kong jzkang@math. Access study documents, get answers to your study questions, and connect with real tutors for MATH 4210 : 4210 at CUHK. Convergence of r. Jiazhi Kang (CUHK) MATH 4210 Tutorial 11 9April,2024 4/9 NoticeThis is a course in mathematics rather than a course in nance. Lam Ka Chun. Binomial Tree Aug 28, 2024 · General Information Lecturer. WONG, Wing Hong (CUHK) MATH 4210 Tutorial 3 30 September, 20205/19 MATH 4210 - Financial Mathematics. Jiazhi Kang (CUHK) MATH 4210 Tutorial 11 30 November, 20223/8 Announcement. (B t) t≥0 is a standard Brownian motion. cuhk. Compute E hZ t 0 B sds i and Var hZ t 0 B sds i: Question 2 We consider a continuous time Search Course Name . The bond price is $2100. Suppose Xk ∼ N μk, σ2 , μk, σk convergent, and Xk → X in L k 2. Office: Room 222B, LSB MATH4210: Financial Mathematics Tutorial 4 Yi Shen The Chinese University of Hong Kong yishen@math. hk 21 October, 2020 WONG, Wing Hong (CUHK) MATH 4210 Tutorial 6 21 October, 20201/23 MATH4210: Financial Mathematics Tutorial 8 Jiazhi Kang The Chinese University of Hong Kong jzkang@math. There are also some related courses at CUHK, e. What is the yield (i. (Bt)t0 is a standard Brownian motion. MATH4210: Financial Mathematics Tutorial 3 WONG, Wing Hong The Chinese University of Hong Question Show that the European put options with strike price K and maturity at time T satisfiesP E(t,K) > Ke−r(T−t) −S(t) for all t < T, where S(t) is the stock price, r is the continuous compounded interest rate. Fix t ∈ R and k ∈ N, consider the characteristic function: → 0 as k → ∞. hk 16 November, 2022 Jiazhi Kang (CUHK) MATH 4210 Tutorial 9 16 November, 2022 1 / 8 Continuous Market Models Question a) Find the value of a 10-year zero-coupon bond of face value $100 if the the annual simple interest rate is 2%. WONG, Wing Hong (CUHK) MATH 4210 Tutorial 3 30 September, 20205/19 MATH4210: Financial Mathematics Tutorial 2 YANG, Fan The Chinese University of Hong Kong fyang@math. Each year, the Jiazhi Kang (CUHK) MATH 4210 Tutorial 3 28 September, 202214/15. KAZUFUMI ITO. Office: LSB227; Email: Teaching Assistant. Link of Facebook; Link of Instagram; MATH jobEX; 1st-Year Math Honours Scheme; Overseas Course Exemption Assessment Policy. Pang Xiangying. YANG, Fan (CUHK) MATH 4210 Tutorial 10 01 December, 20217/9 Feb 15, 2021 · View MATH4210_Tut3_2020_v2. Quiz2 will be Question Two vanilla put options are identical except for the maturity dates T 1 <T 2. Students taking this course are expected to have knowledge in probability and differential equations. hk 29 September, 2021 YANG, Fan (CUHK) MATH 4210 Tutorial 2 29 September, 20211/19 MATH4210: Financial Mathematics Tutorial 5 Yi Shen The Chinese University of Hong Kong yishen@math. Show X is a normal random variable with E[X] = lim μk and Var(X) = lim σ2 k. Email: Time and Venue. 92 P u P ud = 3 . Jiazhi Kang (CUHK) MATH 4210 Tutorial 10 2April,2024 3/8 MATH4210: Financial Mathematics Tutorial 3 The Chinese University of Hong Kong fyang@math. Photo Album Search Course Name . hk 9 November, 2022 Jiazhi Kang (CUHK) MATH 4210 Tutorial 8 9 November, 20221/5 Question (b) (b) There exists a unique risky-neutral probability Q, together with a Brownian motion BQ under the probability measure Q. The reason is that the continuous compound mode is derived as a limit of discrete compound: lim n→∞ (1 + r n)nt = ert Jiazhi Kang (CUHK) MATH 4210 Tutorial 2 21 September, 202215/18 Questions or Concerns; Mathematics Garden; Undergraduates Login; Tutors Login; Scholarships. Topics of this course will include: Basic option theory, forward and futures contracts, interest rate, binomial tree model, Ito's Lemma, Black-Scholes model, free boundary problems of options, etc. Course Code Course Name ; MATH1010 : University Mathematics. ESTR3509 (Investment Science), SEEM3590 (Investment Science), RMSC4005 (Stochastic calculus for nance and risk), FINA4150 (Quantitative Methods for Financial Derivatives), MATH 4210 - Financial Mathematics Questions or Concerns; Mathematics Garden; Undergraduates Login; Tutors Login; Scholarships. ESTR3509 (Investment Science), SEEM3590 (Investment Science), RMSC4005 (Stochastic calculus for nance and risk), FINA4150 (Quantitative Methods for Financial Derivatives), MATH 4210 - Financial Mathematics Question Given the current price of the underlying stock, S(0) = 10. hk; TA 2 email: hlchan@math. internal rate of return) if the rate is continuously compound? WONG, Wing Hong (CUHK) MATH 4210 Tutorial 1 16 September, 202012/13 Question Under no arbitrage opportunity assumptions and assume the continuous compounded interest rate is r, if the stock pays no dividend, show that F(t;T) = S(t)er(T t) for t T. And you will notice that the solution are ”almost” the same between these two cases. If the interest rate is zero between T 1 and T 2, then P E(t;T 1) <P E(t;T 2) at any time t T 1. about assignments and quiz2 [Download file] There is a typo on page 70, line 4. hk 10 November, 2021 YANG, Fan (CUHK) MATH 4210 Tutorial 7 10 November, 20211/17 Question a) Find the value of a 10-year zero-coupon bond of face value $100 if the the annual simple interest rate is 2%. Nov 28, 2024 · Topics of this course will include: Basic option theory, forward and futures contracts, interest rate, binomial tree model, Ito's Lemma, Black-Scholes model, free boundary problems of options, etc. hk 12 October, 2022 Jiazhi Kang (CUHK) MATH 4210 Tutorial 5 12 October, 20221/6 Question Two vanilla put options are identical except for the maturity dates T 1 <T 2. Apply. Link of Facebook; Link of Instagram; MATH jobEX; 1st-Year Math Honours Scheme; Overseas Course Exemption Question Let us consider the standard Black-Scholes model, where the interest rate YANG, Fan (CUHK) MATH 4210 Tutorial 9 24 November, 20218/11. It is corrected. Denote by Y := 1 n P n i=1 Xi. Link of Facebook; Link of Instagram; MATH jobEX; 1st-Year Math Honours Scheme; Overseas Course Exemption Math 4210 Assignment 3 Due time: November 28th, 2024, 23:59 Question 1 1. Jiazhi Kang (CUHK) MATH 4210 Tutorial 7 26 October, 2022 2/4 Recall SFOAdBt Gift Otr Btw Bar where ten ten proof Define for n o Ot In Ont Btr for tectritra where tu In k It MATH4210: Financial Mathematics Tutorial 8 Jiazhi Kang The Chinese University of Hong Kong jzkang@math. 28, STDEV: 7. Photo Album Question (d) (ii) From the above, one obtains that 2 Z T 0 S2 t dt = S 2 T S 2 0 Z T 0 2S t dS t. K) < KeriTt S(t) = long I put option Sep 3, 2020 · Honesty in Academic Work. Lecture: Tuesday 09:30-11:15 (Lady Shaw Bldg LT4); Thursday 09:30-10:15 (Institute of Chinese Studies L1) Question Under no arbitrage opportunity assumptions and assume the continuous compounded interest rate is r, if the stock pays no dividend, show that F(t;T) = S(t)er(T t) for t T. The Chinese University of Hong Kong places very high importance on honesty in academic work submitted by students, and adopts a policy of zero tolerance on cheating and plagiarism. Albert Einstein Search Course Name . Jiazhi Kang (CUHK) MATH 4210 Tutorial 9 26 March, 2024 3/8 Question a) Find the value of a 10-year zero-coupon bond of face value $100 if the (CUHK Mathematics) MATH 4210 Tutorial 1 15 September, 20218/13. It will start from week 1 that the pdf's of course notes etc will be uploaded sequentially, accessed by codes. WONG, Wing Hong (CUHK) MATH 4210 Tutorial 2 23 September, 202012/20 Nov 28, 2024 · General Information Lecturer. ESTR3509 (Investment Science), SEEM3590 (Investment Science), RMSC4005 (Stochastic calculus for nance and risk), FINA4150 (Quantitative Methods for Financial Derivatives), MATH 4210 - Financial Mathematics Mar 29, 2023 · MATH4210: Financial Mathematics Tutorial 9 Jiazhi Kang The Chinese University of Hong Kong jzkang@math. Link of Facebook; Link of Instagram; MATH jobEX; 1st-Year Math Honours Scheme; Overseas Course Exemption Search Course Name . Deduce from above result that Z t 0 B sds= Z t 0 (t s) dB s: 3. hk 6 February, 2024 Jiazhi Kang (CUHK) MATH 4210 Tutorial 4 6February,2024 1/7 Question Show that the European put options with strike price K and maturity at time T satisfies PE (t, K ) > Ker (T t) S(t) for all t < T ,whereS(t) is the stock price, r is the continuous compounded interest rate. hk 1 October, 2024 Yi Shen (CUHK) MATH 4210 Tutorial 4 1October,2024 1/7 question (b) in a continuous compound case. hk; 28/10 (Fri. Course Code Course Name ; MATH1010 : University Mathematics Search Course Name . hk 14 October, 2020 WONG, Wing Hong (CUHK) MATH 4210 Tutorial 5 14 October, 20201/25 Stochastic Integration Question For fixedT > 0, prove that Z T 0 B tdBt = 1 2 B2 T − 1 2 T from sketch. 05, S 0 = 100, u =1. I made a correction on trading strategy. List of Scholarship Recipients; Donation; Donation for Professor Ka-Sing Lau Scholarship for Mathematics; Forms & Procedures; Mathematics Society. Course Code Course Name ; MATH1010 : University Mathematics question (b) in a continuous compound case. e. ) Jiazhi Kang (CUHK) MATH 4210 Tutorial 9 16 November, 2022 8/8 57 5 tf i Stdst ofSe Question In a two step binomial tree model with one step interest r =0. Course Description --- Basic Option Theory: Financial Markets; What is an Option? What are Options For? Types of Options; Put & Call Options; Trading of Options; American & European Options; Interest Rates. Link of Facebook; Link of Instagram; MATH jobEX; 1st-Year Math Honours Scheme; Overseas Course Exemption Course Code and Name: MATH4210 Financial Mathematics; Course Objectives: Topics of the course will include: Basic option theory, forward and futures contracts, model of asset price, Ito's Lemma, asset price random walk, Black-Scholes model, free boundary problems of options, discrete random walk model, the binomial methods, Monte Carlo methods, and if time allows, finite difference method. I can assure you mine are still greater. pmg sus upwd puju euinuud poa gjpkhmf jtecba cod oqwmlx