Miscellaneous Links
Below are some old exams (many with solutions) when I taught the course as Math 441 and 537.
Because some topics were added and removed in Spring 2013 and Spring 2017, some questions may involve unfamiliar concepts.
In particular, between 2013 and 2016, the course covered Stochastic Calculus (Chapters 12 and 13); thus, many of the final exams have a question or two on this (keywords are Ito's Lemma, Brownian Motion, stochastic process).
Prior to 2013, the course did not cover stochastic calculus but did cover
swaps and advanced bonds (Chapters 3 and 4);
thus, questions on those topics appear in midterms and/or finals from those years (keywords include LIBOR, duration, yield curves).
Most questions from 2016 and before, however, involve material for which you are responsible. Chap 5 on forwards and futures was not covered in 2013-2016, was covered pre-2013 and is covered 2017-Present. So look to pre-2013 for problems on that material.
2017-Present
Here is a link to the
exam with solutions
for the Midterm of Fall 2019 in PDF format.
Here is a link to the
exam with solutions
for the Final of Fall 2017 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Fall 2017 in PDF format.
Here is a link to the
exam with solutions
for the Final of Spring 2017 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Spring 2017 in PDF format.
2013-2016
Here is a link to the
exam with solutions
for the Final of Fall 2016 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Fall 2016 in PDF format.
Here is a link to the
exam with solutions
for the Final of Fall 2014 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Fall 2014 in PDF format.
Here is a link to the
exam with solutions
for the Final of Fall 2013 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Fall 2013 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Spring 2013 in PDF format.
Here is a link to the
exam with solutions
for the Final of Spring 2013 in PDF format.
Pre 2013
Here are links to the
exam
and
solutions
for the Midterm of Spring 2005 in PDF format.
Here are links to the
exam
and
solutions
for the Midterm of Fall 2005 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Spring 2006 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Fall 2006 in PDF format.
Here is a link to the
exam with solutions
for the Midterm of Spring 2009 in PDF format.
Here is a link to some review problems for the Final (pre 2013) in
PDF format. For number 18, assume the volatility is 20%.
Here is a link to the Final from Spring 2005 in
PDF format
Here is a link to the Final from Fall 2005 in
PDF format
Here is a link to the Final from Spring 2006 in
PDF format
Here is a link to a
Bloomberg
(as in former Mayor Michael Bloomberg of NYC)
page which posts current and old key interest rates, such as
the short term Fed rate, various LIBOR rates, and Treasury
bond rates.
Note T-bills, T-bonds, and T-notes are all treasury bonds but
with different specifications, like maturities.
Interested in actual stock quotes for last 30 years? Or other
financial data?
Here is a link to the
Yahoo finance web page with such information.
An
article on how Treasury rates dropped to 0% and bond yields
became negative! For once, banks were at a disadvantage
compared to small investors.
For more historical data of ``risk-free" interest rates,
compare
LIBOR rates
and
Treasury rates.
See what happened in Fall 2008 just before and after the
taxpayers bailed out the banks with $750 billion?
For Math 497G (a follow-up course to Math 537 which no longer exists),
but in language anyone can understand:
a long
article
on Value at Risk and its role in the 2008 financial crisis;
a brief
article
on credit default swaps and their role in the 2008 financial crisis;
a more supportive
article
on credit default swaps;
a 25-minute
PBS video
on credit-rating agencies and their role in the 2008
financial crisis.
Interested in a career in financial engineering?
Here are some links with information.
International Association of Financial Engineers
Global Association of Risk Professionals
Financial Engineering News