European Put Option
Suu
Puu
Su
Pu
S0
P0
125.000
1.837
100.000
4.697
Sud=Sdu
Pud=Pdu
Sd
Pd
80.000
11.827
Sdd
Pdd
t=0
S0
u
d
p
K
risk-free rate
t=1
100
1.25
0.8
0.5
100
0.1
t=2
Suuu
Puuu
156.250
0.000
S
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2013
Problem Set 4: BSM model
(Due: Thursday April 25th, in class)
Unless specied as an Excel Problem, all of t
Last Name:
First Name:
FBE 559 Midterm
Professor Scott Joslin
Spring 2012
Instructions:
The exam lasts 80 minutes. It consists of seven questions. Please answer all of them.
There is also a bonus que
Financial Risk Management
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2013
Outline of the Lecture
Determining Futures and Forwards Prices
Readings:
Hull Chapter 3 and 5 [6th, 7th, 8th edition]
Chap
FBE 559 Fall 2016 Practice Exam
1. What are the differences between Options, Futures and Forwards ?
2. Graph buying a call option.
3. Graph writing a put option.
4. Graph going long in the futures or
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2013
Problem Set 2: Interest rate risk and hedging risk with futures and forwards
(Due: Thursday February 21st,
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2013
Problem Set 3: Binomial Option Pricing
(Due: Thursday April 4th, in class)
Unless specied as an Excel Prob
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2013
Problem Set 3: Binomial Option Pricing
(Due: Thursday April 4th, in class)
Unless specied as an Excel Prob
Last Name:
First Name:
FBE 559 Final Exam
Professor Scott Joslin
Spring 2012
Instructions:
The exam lasts 120 minutes. It consists of seven questions. Please answer all of them.
Credit for each ques
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2017
Problem Set 1: Time Value of Money, Futures and Forwards
(Due: Monday February 27th, in class)
Unless spec
Last Name:
First Name:
FBE 559 Final Exam
Professor Scott Joslin
Spring 2015
Instructions:
The exam lasts 120 minutes. It consists of seven questions. Please answer all of them.
Credit for each ques
FBE 559
Management of Financial Risk
Case I
Team Member:
Enda Zhang
Ersi Ren
Junduo Lu
Weijie Yao
Problem 1
(1)
If sell all the shares on Feb. 4th at $103/share
I will get :
100*103=$10,300
If sell 73
Last Name:
First Name:
FBE 559 Final Exam
Professor Scott Joslin
Spring 2015
Instructions:
The exam lasts 120 minutes. It consists of seven questions. Please answer all of them.
Credit for each ques
USC Marshall School of Business
Financial Risk Management
Scott Joslin
FBE 559
Spring 2016
Case Assignment
Speculating on an Acquisition with Options: RJR Nabisco
(Due: Friday April 29th)
You may comp
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2016
Examples for Binomial Option Pricing
Example 1: Binomial Pricing Example
Suppose that the stock price foll
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2016
Examples for Brownian Motion
Example 1: Simulating Stock Prices
Our model for stock prices is given by:
d(
Financial Risk Management
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2016
Outline of the Lecture
Outline:
Main issue: how to handle time value of money
Fixed-Income Markets
Term Structure of Inter
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2016
Examples for Options with dividends
Problem 1: Put-call parity with dividends/American options
Show that
C
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2016
Examples for Options with dividends/futures
Problem 1: Options on a dividend paying stock
Suppose that the
Financial Risk Management
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2016
Black Scholes Model
c USC
Outline of the Lecture
Outline:
Review of Stock Process/Terminology
Black Scholes Equation
Readi
USC Marshall School of Business
Financial Risk Management
Scott Joslin
FBE 559
Spring 2016
Quiz #4
The quiz is closed book, closed note except for one page (front and back), and closed neighbor. You
m
FBE 559 Exam One FALL 2014
OCT. 7, 2015 Form B
25 Multiple Choice (4 points each)
1.
Name _
A combination of shorting a stock and buying a call is similar to :
a.
buying a put option
b.
buying a strad
FBE 559 Practice Exam 2
Fall 2016
1. Define the following : All of these are in the textbook
Chapter 1 -3
Call option
Put option
Futures
Forward
Long hedge
Short hedge
SWAP
Long
Short
Write an Option
Financial Risk Management
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2016
Outline of the Lecture
Outline:
Main issue: how to handle time value of money
Fixed-Income Markets
Term Structure of Inter
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CHAPTER ONE
Ignorance is the Real Evil? Buddha
I have never met a man so
Financial Risk Management
Scott Joslin
USC Marshall
FBE 559
Spring 2016
Outline of the Lecture
Outline:
Review of Discrete Probability
Readings
This is a review not covered in Hull.
c
USC
1/32
The Sto
Financial Risk Management
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2016
Outline of the Lecture
Outline:
Introduction to Options
Properties of Option Prices
Use of Options
Readings
Hull 9, 10, an
Financial Risk Management
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2016
Outline of the Lecture
Outline:
Binomial Option Pricing Model
Readings:
Hull Chapter 12
c
USC
1/65
Our goal is to see how
Financial Risk Management
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2016
Outline of the Lecture
Determining Futures and Forwards Prices
Readings:
Hull Chapter 3 and 5
c
USC
1/43
Class note
The fi
Management of Financial Risk
Prof. Scott Joslin
USC Marshall
FBE 559
Spring 2018
Outline of the Lecture
Determining Futures and Forwards Prices
Readings:
Hull Chapter 3 and 5
c
USC
1/42
Example (Revie
USC Marshall School of Business
Management of Financial Risk
Scott Joslin
FBE 559
Spring 2018
Problem Set 1: Time Value of Money, Futures and Forwards
(Due: Wednesday February 21st, in class)
Unless s