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lix
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the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 8th, 2007, 11:17 pm

I know the questions in the attached files are really challenging .. so lets see how many student of todays world of derivatives can attempt to solve them .. once you do solve any of the questions .. plz make sure to upload it on this forum
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2005-2006.zip
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Last edited by lix on May 8th, 2007, 10:00 pm, edited 1 time in total.
 
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lix
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Joined: May 5th, 2007, 2:39 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 8th, 2007, 11:45 pm

hey guys .. even if u do one or two questions .... plz upload them over here
 
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bogracer
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the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 7:25 am

1. 422. pi3. e4. Sqrt[-1]5. 16. 0
 
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rmeenaks
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the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 3:27 pm

Answer to any of these questions is always: or the number 42.Hope this isnt your homework...Cheers,Ram
 
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Zedr0n
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the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 4:21 pm

QuoteOriginally posted by: rmeenaksAnswer to any of these questions is always:Hope this isnt your homework...Cheers,RamHm, is this in the rules that you shouldn't post whole problems to solve?Ah, well, I've solved the first one already, so I'll upload it anyway - maybe someone will find an error in my solution, I'm not too sure about it...
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sol1.zip
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lix
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Joined: May 5th, 2007, 2:39 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 4:56 pm

hahaha .. its not my assignment dude .. .. i have got loads of past papers like these .. and am always trying to solve them .. sometime i get it wrong .. sometime rite ... but this is how one learns
 
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lix
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Joined: May 5th, 2007, 2:39 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 4:59 pm

nice work zedron .. i haven't seen the solution yet .. but still u r the first one to post the answer over here ... wat abut other questions .. how did u find them
 
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lix
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Posts: 13
Joined: May 5th, 2007, 2:39 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 5:02 pm

hey bogracer .. can u show how u solved these questions .. can u plz upload them up on the forum
 
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lix
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Joined: May 5th, 2007, 2:39 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 5:06 pm

another of the past papers .. this came up in 2004 - 2005 .. can u plzz state the question no and ... also show how u solved them ... cheers
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2004-2005.zip
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Zedr0n
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Joined: April 6th, 2007, 5:07 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 5:07 pm

Well, the 6th is pretty obvious.The volatility for N measurements is derived by the following formulawhere To calculate the implied volatility you have to know share prices and prices of some derivative traded on the market. E.g. if you know the price for the european option then you can compare the BS price for this option and as volatility is the only unknown parameter derive it from there - this is what is called implied volatility as I see it.Another this is that you'd have to get lots of options to adjust for the "smile" in real life The c) is solved by applying b)
Last edited by Zedr0n on May 8th, 2007, 10:00 pm, edited 1 time in total.
 
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Zedr0n
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the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 5:23 pm

The 5th one is purely theoretical one so it can be found in finmath books4a) is covered in Joshi (option is always worth more than its intrinsic value before maturity)2a) is a graph of option price - any book will provide you with one. The portfolio is the first minus second2b) An asset or nothing is a derivative with pay-off (S-K)I(S>K) + K - KI(S<K)Cash-or-nothing is also called a digital call - I(S>K)the third portfolio is (S-K)I(S>K) + K - KI(S<K) - KI(S>K) = (S-K)I(S>K) - a call option2c) from 2b you can see that the price of asset-or-nothing derivative is given by the sum of a call option and a digital call option.Basically it turns out to be the first part of BS price(S*exp())2d) is calculated from 2c)
 
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Zedr0n
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the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 5:39 pm

3a) Here3b) follows from the risk-neutral pricing in the CRR model and the formula of full expectation.
 
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Zedr0n
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Joined: April 6th, 2007, 5:07 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 5:48 pm

I've looked through 2004-2005 - it's much easier Almost all the questions are covered in any finmath book(esp the questions about call-put parity, definitions and Monte-Carlo methods)
 
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lix
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Joined: May 5th, 2007, 2:39 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 9th, 2007, 7:53 pm

hey zedron .. i know this is askig too much .. but can u solve the other answers .. esp the payoff diagram one and numerical ones like u solved the first one and uploaded it ... i wanna see the whole process .. although i know the concept behind these ... i have difficulty solving questions such as this ... and i am unable to check my answers whether i am doin it the right way or not .. hopin for a positive response from u .. cheers
 
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lix
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Posts: 13
Joined: May 5th, 2007, 2:39 am

the attached file is wat came as one of the past paper in our uni exam .. ppl plz have a go at it ..

May 10th, 2007, 8:15 am

Zedron, really hoping and waiting for a positive response from you
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