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Homework #8
EE512: Stochastic Process for Financial Engineering
University of Southern California
Spring 2024
Assigned on: March 28, 2024
Due on: April 8, 2024
March 29, 2024
Note: All problems are taken from the book "Optimization Methods in Finance, by
Cornuejols and Tutuncu. Second Edition, Cambridge University Press 2018"
Chapter 4
• Exercises: 4.10 (page 67)
Chapter 15, and 17
• Repeat the examples :15.2, 15.3. 15.4, 17.1, with K=55.
• Optional: Reformulate example 17.2, with K=55.