Solution to the Mock exam and ...

I have uploaded the solution to the mock exam as well as to problem 3 from the 2014 exam. Note that the solution to this problem is similar to the one in the mock exam, modulo a change in P from 15000 to 20000.

You can try preparing for the exam by solving the 2015 exam remembering that problem 3 with stochastic interest rate is not part of the curriculum.

Next Tuesday I will be available in VB Auditorium 2 if you have any questions.

Finally, I wish you good luck for the exam and remember that you can always reach me by email or in person on the 8th floor.

PS: Some of you asked me for a good book on stochastic analysis and finance and two books that I can highly recommend are:

-Fred Espen Bent's Option Theory with Stochastic Analysis.

-Steven Shreve¡¯s Stochastic Calculus for Finance.