代写 MAT1856S/ APM466S Mathematical Theory of Finance

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    • 代写 MAT1856S/ APM466S Mathematical Theory of Finance


    MAT1856S/ APM466S
    Mathematical Theory of Finance - Assignment 2
    Due April 8, 2016
    Calculate the 1, 3 and 5 year probability of default of Bell Canada
    under each of the following assumptions:
    1. A Markov chain model with two states: solvency and default, cali-
    brated to one of its bond prices.
    2. A Merton model, using company’s assets, company’s liabilities and
    asset volatilities implied by their stock volatility
    The assignment must contain all explanations of the work done, with
    probabilities in table and chart formats.
    1


    代写 MAT1856S/ APM466S Mathematical Theory of Finance