A Course in Financial Calculus – Some Solutions

In the below files are some solutions to the exercises in Alison Etheridge’s textbook “A Course in Financial Calculus” (Cambridge University Press, 2002). The files are grouped by chapter and I will add new solutions from time to time.

Due to copyright reasons, I can only post the solutions but not add the original question to the PDF documents.

Compared to Steven Shreve’s book “Stochastic Calculus in Finance II”, I find that the exercises are in general more difficult. Furthermore, they often test knowledge that is not immediately relevant to the concepts introduced in the current chapter. Some of them could even not be solved given the material in the book alone but required additional research. Since the exercises usually don’t give any intermediate results or hints, they are less suited for self-study.

Note that there exists a “solution manual” which contains very brief hints to most of the questions or only states the results. Again, I can’t post it here, but you should be able to find it easily. Please do not contact me and ask for it.


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