exercises on mathematical finance wanted

mushrooman · August 25th, 2006, 10:37 am

does anyone know where to find some exercises on (elementary) mathematical finance? Topics can be change of measure, pricing kernel, various extoic option pricing. Probably some exercises on related PDE are also welcome. Any info is appreciated.

FunkyQuant · August 25th, 2006, 11:59 am

Hi Mushroomman,you can go on emmanuel temam website, "TD de processus stochastique en finance".Well done, with corrections, but in french.Hope it's helpful.

mushrooman · August 25th, 2006, 6:14 pm

Thanks a lot, FunkyQuant. You provide an opportunity to combine the learning of quantitaive finance and french language. Topics on computational aspect is also needed, such as finite difference method.

Jungix · August 25th, 2006, 6:51 pm

What is the url of this website?

FunkyQuant · August 25th, 2006, 8:39 pm

You can go on this website : http://www.ann.jussieu.fr/~achdou/node10.htmlyou can find a course on PDE and numerical computation for finance, some exercises and exams, without correction.Sorry, it's still in french, but mathematic's language is universal !!

quantdev2006 · August 27th, 2006, 6:48 pm

The link to the exercises doesn't work though:exercicesThe rest is quite good though, thanks!qd2006