BUFN761 Derivative Securities Problem set 1.
Prof. Julien Cujean
MS Sec 0501/0502/0503/0504 Spring 2017
Due Date: February 6
For this problem set, suppose that:
i) You are long the non-dividend-paying S&P 500, currently trading at $50
ii) The effective an
What is a Bond?
A bond is a security that is issued in connection with a borrowing
arrangement.
The borrower issues (sells) a bond to the lender for some amount
of cash.
The arrangement obligates the issuer to make specified payments
to the bondholder on
Derivative Securities BUFN761
3. Binomial Option Pricing
Julien Cujean
Spring 2017
1 / 65
The Binomial Tree
I
The put-call parity tells us how the price of one option is related to
the price of another
I
We now want to determine the price of an option rel
Alpha Corporation
I. Overview:
i. Major sources of cash
ii. Major uses of cash
iii. CFO > NI?
II. More detailed analyses:
i. CFO > Capex?
CFO > Capex + Dividends?
If excess cash, how invested?
If shortfall, where did they get
cash?
ii. Capex > Depr. + Amo
Individual Assignment #2
Inventory: Rite Aid
Due Date: Monday, September 26
Refer to the excerpts from Rite Aids 2016 10-K in answering the following questions. (Note that the numbers
reported in the financial statements and in the footnote are both in th
Derivative Securities BUFN761
1. Introduction
Julien Cujean
Spring 2017
1 / 69
About Me
I
PhD 2013, Lausanne, Switzerland
I
Since August 2013, Assistant Professor at UMD, Smith School of B
I
I conduct theoretical research in Equilibrium Asset Pricing, wit
University of Maryland
Robert H. Smith School of Business
Spring 2017
Syllabus
BUFN761 Derivative Securities
Sec 0501/0502/0503/0504 (MS in Finance)
Julien Cujean
Office: 4427 Van Munching Hall, Phone: (301) 405-7707, Email: [email protected]
Schedu
BUFN761 Derivative Securities Problem set 1.
Prof. Julien Cujean
MS Sec 0501/0502/0503/0504 Spring 2017
Due Date: February 6
For this problem set, suppose that:
i) You are long the non-dividend-paying S&P 500, currently trading at $50
ii) The eective annu
University of Maryland
Robert H. Smith School of Business
Spring 2016
Syllabus
BUFN761 Derivative Securities
Sec 0501/0502/0503 (MS in Finance)
Julien Cujean
Oce: 4427 Van Munching Hall, Phone: (301) 405-7707, Email: [email protected]
Schedule
Sec
BUFN761 Derivative Securities Problem set 2.
Prof. Julien Cujean
MS Sec 0501/0502/0503 Spring 2016
Due Date: February 3
For this problem set, suppose that:
i) You can trade 3 stocksA, B, and Ceach of which has current price $100
A is a non-dividend-payin
BUFN761 Derivative Securities Problem set 3.
Prof. Julien Cujean
MS Sec 0501/0502/0503 Spring 2016
Due Date: Feb 8
For this problem set, suppose that:
i) You can trade crude oil at a current price of $36/barrelbuying oil incurs continuous storage costs at
BUFN761 Derivative Securities Problem set 1.
Prof. Julien Cujean
MS Sec 0501/0502/0503 Spring 2016
Due Date: January 27
For this problem set, suppose that:
i) You are long the non-dividend-paying S&P 500, currently trading at $110. When
drawing prot diagr