- Summary Course Notes, Section I.
- Complete lecture slides. (Note: these incude a lot of material not covered in the lectures.)
- Lecture slides on Monte Carlo (Zheng).
- Problems 1 with selected solutions.
- Problems 2 (assessed) with note on the cubic spline formulas.
- Problems 3 with selected solutions.
- Problems 4.
- Problems 5 (assessed).
- Problems 6, with selected solutions.
- VB Code for Binomial Tree [Spreadsheet].
- Example VB Code for linking to C++ [Spreadsheet and DLL].
- C++ code for creating DLL [Zip file].
- Explicit Finite-Difference Method [Spreadsheet]
- Black-Scholes Barrier Option Formula.
- Inverting the distribution function.
- Monte Carlo Greeks.
- Revision Checklist.
- Sample exam question.
- January 2009 Examination paper, solutions

#### Stochastic Differential Equations and Interest Rate Models, 2008

- Course Outline.
- Problems 1 .
- Problems 2.
- Linear Stochastic Differential Equations [PDF].
- Problems 3, Solutions.
- Trinomial tree implementation of Hull-White [PDF]
- Hull-White Swaption formula [PDF]
- Group project Groups, Specification, Zip file.
- Problems 4.
- Revision checklist.
- Examination 2006 paper, solutions.
- Examination 2007 paper, solutions.

#### Lectures on Real Analysis

#### Stochastic Processes I, 2004-2005

- Problems 0 [PDF] , Code [PDF], Solutions [PDF]
- Problems 1 [PDF]
- Problems 2 [PDF]
- Problems 3 [PDF]
- Take-home Questions 1 [PDF]
- Construction of Lebesgue measure [PDF]
- Inverting the distribution function [PDF]
- Construction of Brownian Motion [PDF]
- Revision checklist [PDF]
- Examination paper, January 2002 [PDF] and solutions [PDF]
- Examination paper, January 2003, with solutions [PDF]
- Examination paper, January 2004, with solutions [PDF]
- Examination paper, January 2005, with solutions [PDF]

#### Mathematical Option Pricing

- Course outline [PDF]
- Mathematical Option Pricing (complete notes, January 2006) [PDF]
- Problems 1 [PDF] and solutions [PDF]
- Problems 2 [PDF] and solutions [PDF]
- Problems 3 [PDF]
- Problems 4 [PDF] and solutions [PDF]
- Revision Checklist [PDF]
- Robustness of Black-Scholes Hedging [PDF]
- Black-Scholes Hedging Spreadsheet [Excel Workbook]
- Spreadsheet on Importance Sampling [Excel Workbook]
- Take-home exam question April 2002 [PDF]
- Take-home exam project code [Zip]
- Take-home exam project report by Albert Chan [DOC]
- 2001 Examination Paper [PDF] and solutions [PDF]
- 2002 Examination Paper [PDF] and solutions [PDF]
- 2003 Examination Paper [PDF] and solutions [PDF]
- 2004 Examination Paper [PDF] and solutions [PDF]

#### Projects

- Project topics 2001 [Web Page]

Return to home page - Take-home exam question with solution.