Scheduling Information: |
Time: Monday, December 10, from 1:00-4:00pm
Location: WEH 5409 Review Session: Sunday, December 9, from 3:00-4:30 in WEH 8220. |
Topics Covered: |
Key Rates (Chapter 5)
Principal Component Analysis (pp. 186-200) Binomial short rate models (Chapters 7, 8, 9, 10) Risk neutral pricing (Shreve I, ch 6) Backward induction (Shreve I, ch 6) Interest rate swaps, caps, and floors pp. 483-490) Securities with multiple payments Number of Heads as a state variable Anerican and Bermudian options Optimal Exercise Callable and putable bonds (pp 491-495) Forward and futures contracts (Chapter 13) T-Bill forward and futures Eurodollar forward and futures (Chapter 15) Mortgages (Chapter 20) |
Formula Sheet: |
You'll be given this formula sheet to use with the exam.
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Review Problems: |
Here are some Final Exam Review Problems, and solutions. (It is the practice final exam from the Fall 2015 version of the course.) They should be a pretty good guide to what you might expect to see on Monday's exam. Note that Key rates and principal components do not appear in any of these problems.
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