NBA 6730: Derivatives Securities I
Swaps: Basics, Pricing and Applications
George P. Gao
Samuel Curtis Johnson Graduate School of Management
Cornell University
Fall 2014
Agenda
A swap is a financial contract between two counterparties
who exchange future

NBA 673 - Introduction to Derivatives I (Solutions)
Final Exam - March 11, 2006
Name and Cornell ID:
1
Instructions
This exam contains 13 pages printed on one side only, and 5 problems. Please check now that you have a complete exam. If not, ask f

The Johnson School at Cornell University
Professor George P. Gao
NBA 6730
Fall 2014
Practice Homework Assignment 1
Note: You are not required to turn in this assignment. The goal is to help you review basic concepts and
understand how to price different t

The Johnson School at Cornell University
Professor George Gao NBA 6730 Fall 2010
Assignment 0 (Pre-Week 1)
Note: Do not hand in this assignment. This assignment is a self-test so that you can decide on your own whether you have the necessary technical bac

Johnson School Online Course Evaluation
Process 1. Go to www.digitalmeasures.com/login/cornell/faculty 2. Log into site using: username= NetID password= This is your Student Center password 3. Click on listed Course 4. Complete course evaluation form 5. C

Review I
Derivative Securities Part I
NBA 6730
Darien Huang
Fall 2016
Overview
Forward Contracts
Cash and Carry
Reverse Cash and Carry
Forward vs. Expected Future Spot Price
Dividends
Transaction Costs
Futures Contracts
Open Interest vs. Volume
Mar

Darien Huang
NBA 6730 Derivative Securities I, Fall 2016
Johnson Graduate School of Management, Cornell University
Final Exam (Practice)
You have 75 minutes to complete this exam. Please show your work and clearly state any
assumptions you are making. Par

Forward Contracts on Financial Assets II
Derivative Securities Part I
NBA 6730
Darien Huang
Fall 2016
Overview
Do forward prices equal expected future spot prices?
Forward pricing with dividends
Examining the assumptions
Does Forward Price = Expected Futu

How to Profit From the Next 'Black Swan' - WSJ.com
http:/online.wsj.com/article/SB10001424052748703791804575439562.
World
U.S.
New York
Business
Markets
Tech
Personal Finance
Life & Culture Opinion Careers
Real Estate
Small Business
Dow Jones Reprints: Th

NBA 6730: Derivative Securities
Course Summary
10/07/2010 George Gao
What We Learned
We learned a lot!
Basic derivative securities Forwards and futures Swaps Options Payoffs: linear derivatives vs. nonlinear derivatives Pricing: replicating portfolio, n

Time Series Momentum
Tobias Moskowitz Yao Hua Ooi Lasse H. Pedersen 1
August, 2010
Abstract
We document significant "time series momentum" in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find pe

Futures Funds Flounder - WSJ.com
http:/online.wsj.com/article/SB10001424052748703431604575467640.
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U.S.
New York
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Markets
Tech
Personal Finance
Life & Culture Opinion Careers
Real Estate
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Dow Jones Reprints: This copy is for you

Discussion questions for return predictability in futures market
Note: please think about these questions when you read the following three papers. You are required to discuss these questions in your study groups before the class, and I will ask you to pr

Commodity Market Interest and Asset Return Predictability
Harrison Hong Motohiro Yogo
March 25, 2010
Abstract We establish several new ndings on the relation between open interest in commodity markets and asset returns. High commodity market activity, as

Firm Makes Bold Bet on Falling Prices - WSJ.com
World
U.S.
New York
Business
Markets Opinion
Tech Careers
Personal Finance Real Estate
Life & Culture Small Business
Dow Jones Reprints: This copy is for your personal, non-commercial use only. To order pres

Discussion questions for MGRM
Note: please think about these questions when you read the article The Collapse Of Metallgesellschaft: Unhedgeable Risks, Poor Hedging Strategy, Or Just Bad Luck?. You are required to discuss these questions in your study gro

Abreast of the Market: Stocks, Oil Moving in Lockstep - WSJ.com
http:/online.wsj.com/article/SB10001424052748703382304575431332.
Dow Jones Reprints: This copy is for your personal, non-commercial use only. To order presentation-ready copies for distributi

PROBLEM SET 1 SOLUTIONS
TOBY IM
1. Invest C at time 0 so that
Ce0.04/12 e0.05/12 e0.06/12 = 50, 000, so
C = 50, 000e0.15/12 = 49, 389.89,
by the time value of money formula. Investing C at time 0 yields Ce0.04/12 at the
end of the first month; this amount

Forward Contracts on Financial Assets I
Derivative Securities Part I
NBA 6730
Darien Huang
Fall 2016
Overview
Pricing by replication
Forward contracts on non-dividend paying stock
Using forward contracts in practice
Pricing Derivative Securities
Pricing b

The Johnson School at Cornell University
Professor George P. Gao
NBA 6730
Fall 2014
Answers to Assignment 0 (Pre-Week 1)
Note: Do not hand in this assignment. This assignment is a self-test so that you can decide on your own
whether you have the necessary

The Johnson School at Cornell University
Professor George P. Gao
NBA 6730
Fall 2014
Practice Homework Assignment 1: Solution
1. Amargincallwillbeissuedwhentheaccountbalancedropsbelowthemaintenancemargin
($2000).Sinceweareshortingthefutures,welosemoneywhen

1. Company X wishes to borrow Euros () at a fixed rate of interest. Company Y wishes to
borrow Japanese Yens () at a fixed rate of interest. The amounts required by the two
companies are roughly the same at the current exchange rate. The companies have be

The Johnson School at Cornell University
Professor George P. Gao
NBA 6730
Fall 2014
Assignment 0 (Pre-Week 1)
Note: Do not hand in this assignment. This assignment is a self-test so that you can decide on your own
whether you have the necessary background

Momentum Strategies in Futures Markets
and Trend-Following Funds
A KINDYNOS -N IKOLAOS BALTASAND ROBERT KOSOWSKI
First Version: December 10, 2011
This Version: January 5, 2013
ABSTRACT
In this paper, we rigorously establish a relationship between time-ser

Review of Finance (2012) 17: pp. 35105
doi:10.1093/rof/rfs019
Advance Access publication: August 9, 2012
The Fundamentals of Commodity
Futures Returns
GARY B. GORTON1,2, FUMIO HAYASHI2,3 and
K. GEERT ROUWENHORST1,*
School of Management, Yale University, 2

Yale ICF Working Paper No. 07-08
TheFundamentalsofCommodityFuturesReturns*
Gary B. Gorton
School of Management, Yale University
and National Bureau of Economic Research
Fumio Hayashi
University of Tokyo
and National Bureau of Economic Research
K. Geert R

9/2/2014
NBA 6730: Derivatives Securities I
Forwards and Futures: Concepts and Structures
George P. Gao
Samuel Curtis Johnson Graduate School of Management
Cornell University
Fall 2014
Agenda
Introduce the simplest derivative: a forward contract
Extensi

8/27/2014
George P. Gao
Samuel Curtis Johnson Graduate School of Management
Cornell University
Fall 2014
An interest rate is the rate of return on loans
Promised (if money is yet to be lent)
Realized (if money has already been lent)
For a quoted rate, r

Futures Contracts II
Derivative Securities Part I
NBA 6730
Darien Huang
Fall 2016
Overview
Hedging with Futures Contracts
Hedging with Maturity Mismatch I: Lifting the Hedge
Hedging with Maturity Mismatch II: Rolling the Hedge
Quanto Futures
Variance Mini

Futures Contracts I
Derivative Securities Part I
NBA 6730
Darien Huang
Fall 2016
Overview
What are futures contracts?
Mark to market and margin requirements
Futures vs. forwards
Hedging with futures
What are Futures Contracts?
A futures contract is an agr