Category: Problem Set Solutions

…are available at http://fin4335.garven.com/fall2023/ps10solutions.pdf.

… are available at http://fin4335.garven.com/fall2023/ps9solutions.pdf.

Today’s single-page Credit Risk class problem is available at http://fin4335.garven.com/fall2023/creditriskclassproblem.pdf, the solutions for this problem are available at http://fin4335.garven.com/fall2023/creditriskclassproblemsolutions.pdf, and the single-page document entitled “Pricing Credit Risk Procedure” is available at http://fin4335.garven.com/fall2023/pricingcreditrisk.pdf.

…is at http://fin4335.garven.com/fall2023/crrclassproblem.pdf.

… are available at http://fin4335.garven.com/fall2023/ps8solutions.pdf

… are available at http://fin4335.garven.com/fall2023/BinomialOPMClassProblemSolutions.pdf.

… http://fin4335.garven.com/fall2023/samplemidterm2solutions.pdf.

…http://fin4335.garven.com/fall2023/ps7solutions.pdf.

While I have your attention, I’d like to address some notational errors I made in the version of these solutions that I showed during class today. I would like to call your attention to the change in the notation for the capital market lines based on the Cat Bond/Equity Fund portfolio and the Government Bonds/Equity Fund portfolio.  These portfolios are now appropriately referenced by the acronyms CBEF (for the Cat Bond/Equity Fund portfolio) and GBEF (for the Government Bonds/Equity Fund portfolio). In the context of problem 1C, the capital market line equations for these two portfolios are now expressed as follows:

… are available at http://fin4335.garven.com/fall2023/ps6solutions.pdf.

… is available at http://fin4335.garven.com/fall2023/dynamicadversesolution.pdf.