SYLLABUS Previous: 3.6 Computer quiz
Up: 3 FORECASTING WITH UNCERTAINTY
Next: 3.8 Further reading and
3.7 Exercises

3.01 Price estimate for a European call.


3.02 Convergence study using trees.

3.03 American put calculated with a tree.

3.04 Stock option with a dividend yield.

3.05 Stock option with transaction costs.

3.06 Bond option with forward contracts.

3.07 Convertible bond option.


3.08 Forecast mean and bounds for a share price.


3.09 Binomial tree for bonds.
All these problems can be edited and submitted for correction by selecting
WORK:assignments
on the course main page. They generally open with a template that provides
useful advice and guidance to derive the solution.
The color coding corresponds to the expected level of difficulty:

Easy.
 The problem is a direct application of the theory in a situation of
practical interest: solutions typically combine text without formulas,
ASCII plots and parameters of the VMARKET applet without any
programming.

Moderate.
generally be solved with a short analytical derivation, a discussion
of the result, a plot parametric dependencies.

Difficult.
The problem is an extension of the material discussed in the syllabus
and requires a good command of the mathematical language, which can
be expected for university graduates from quantitative fields.
SYLLABUS Previous: 3.6 Computer quiz
Up: 3 FORECASTING WITH UNCERTAINTY
Next: 3.8 Further reading and