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