DS_assignment__1_.pdf - 25620 DERIVATIVE SECURITIES –...

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25620 Derivatives Securities Assignment Questions 1 25620 DERIVATIVE SECURITIES ASSIGNMENT (15 + 15 + 15 + 15 = 60 marks) Disclaimer: The examples are fictitious and not based on real events. Congratulations, you have been hired as a financial analyst at the bank following your studies at the University of Technology Sydney. It is a significant honour to work for the leading investment bank and you have fought off tough competition for the job. The recruitment team selected you for your personable character, your analytical mind, your ability to solve problems, work in teams and ability to get the job done. In your second month on the job, you have been asked to recall your knowledge from studying Derivative Securities to price such instruments, and advise clients on hedging strategies and potential arbitrage opportunities. Submission requirements: Adhere to all page restrictions detailed below. Be succinct and concise. Part marks may be awarded, therefore, show your working out for each question. For each calculation question provide all workings. Make it obvious what your final answer is (i.e., before showing your working out, please show your final answer for each question). Hand-written answers will not be accepted. Include a reference list and in-text citations where necessary. Statement on plagiarism: I refer you to the subject outline to make sure you are familiar with UTS’ statement on plagiarism. In a nutshell, do not copy another team’s solutions or another resource, do not share your assignment with another group, and do not submit work which is not your own. Please note that when you submit the assignment you are declaring that your assignment submission is plagiarism-free. Please note that even if one member of the team demonstrates plagiarism (without the knowledge of the other team members), this will lead to problems for all team members. You do not want to be responsible for causing issues to your team members. Last semester several teams were caught for plagiarism. All of these students did not think they would be caught and they seriously regret their actions. The students from all of the teams (guilty and non-guilty) are still awaiting their results which is affecting their ability to enrol in subsequent subjects. Some examples of penalties for plagiarism include: sanctions, having to redo the subject, fees incurred to retake the subject, and so on.
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2 QUESTION 1 (2 + 1 + 1 + 1 + 1 + 1 + (2 + 1 + 2 + 1 + 2) = 15 marks) As a valued member of the UTS alumni you have been asked to be a guest lecturer for Derivative Securities (25620). Vinay has asked you to focus your lecture on interest rate futures contracts. In addition, to prepare yourself for this lecture Vinay has strongly recommended that you read Chapters 4 and 6 of the prescribed textbook authored by John Hull.
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  • Spring '16
  • KWAME

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