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MVE172 Basic Stochastic Processes and Financial Applications, Exercise Sessions



Exercises on Hsu's book

Exercise Session 1 pdf-file, ps-file. Mathematica solution of the computational problem on ditto nb-file, pdf-file.

Exercise Session 2 pdf-file, ps-file. Solution of the computational problem on ditto pdf-file, movie.

Exercise Session 3 pdf-file, ps-file. Mathematica solution of the computational problem on ditto nb-file, pdf-file.
Some non-mandatory extra theoretical considerations that relate to the computational problem on ditto pdf-file, ps-file.

Exercise Session 4 pdf-file, ps-file. Mathematica solution of the computational problem on ditto nb-file, pdf-file.

The problems for own work in Hsu's book are discussed during the exercise sessions while the computer problems for own work are discussed by Patrik during lecture time.

The computer exercises can be carried out in any reasonable programming language of the students own preference or imagination. There can be one such computer task on the written exam.

When an exercise is not accompanied by an answer that is intentional - in other words, it is a part of the exercises to be able to establish the correctness of an obtained answer.


Additional initial exercises

There is also an initial Exercise Session 0 pdf-file, ps-file on Chapters 1-4 in Hsu's book intended for students who feel they have week skills in probability theory and that they need to strengthen those skills. These exercises are not discussed during lectures or exercise sessions. Mathematica solution of Problem 3.68 on ditto nb-file, pdf-file.


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