UNIVERSITI TEKNOLOGI MALAYSIA

DEPARTMENT OF MATHEMATICAL SCIENCES

SEMESTER 1, SESSION 2015/2016
SSH 4863 FINANCIAL MATHEMATICS
ASSIGNMENT (20%)
Instructions:
1. Using your own words, supported with reliable references, describe and explain in detail
the following items, which should include any mathematical expression, if relevant:
a.
b.
c.
d.
e.
f.
g.
h.

Equities.
Commodities.
Exchange rates.
Delta hedging.
Forwards versus Futures.
Call versus Put Options.
Binomial method for valuing options.
Black-Scholes option model.

(3 marks)
(3 marks)
(3 marks)
(3 marks)
(5 marks)
(5 marks)
(5 marks)
(5 marks)

2. Highlight any similarities and differences between Binomial and Black-Scholes methods
in valuing options.
(8 marks)
Please e-mail your work in .pdf format to zarinamkhalid@utm.my no later than 19/12/15.