FIN 513: Financial Modeling
Instructor: Dr. David C. Brown
Office: McClelland Hall, 315D
Email: [email protected]
Office hours: Tuesday and Thursday, 9:00 10:30 AM, and by appointment
TA: Michael Zheng
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The Jnetrueter nee net enabled etudent eubrnteelene fer thie queetlen
What ie a 12-mumne Furward emulate! pride an an iname-paying security that is Expect
payments - at the end at 6 end 12 month]. The
Merits Earle Sirnulatien at a steshsstie pressss is:
n a A prbeedure fpr sampling randbrn buteernes fer the process
('1. h A charting at the mast probable path at a randprtt variable
.53. (I; An equatien describing the value at a randent variable at
What is s 1-rndnths Forward ssntrsst prise an s coupes-bearing Etsnd that will pay $5 senses in E merrtl
E msnttts = see its
1D menths = 5.3m ts.
The current price df this band is $94.
Ff- 3 $91.44
rf- b sesss
Ff- : $93.10
a d sssss
A stuck pn'ca 'EE Gurrantlyr $11!. I1: is Im-nwn that at the and cfw_If ulna mm't it will be Eith
mntinunus mmpaunding. What is the value at a unarrnnth Eumpaan can upt'mn In
FED = Elmehr-qTT] forrnula is used to find cfw_onward price for an investment asset with:
F?- a No Dividends
a b Known Yield
Ff- c Known cash Income
.1:- e bloc]
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A trader enters into a June 2016 short futures position to sail 12.5 million EUR (1 EUFWSD iulurss constant size is 125,000 aim). June 2016 fumes smhango ram is
$11300 per EUR.
Howrmmdoosmslmdargah or lossifthe mhangsrateatmemdofmamactiszmo parEUFl?
A trader has paid an upfront premium and expects to melee money it the price of corn goes down. The trader has entered into the following position:
I O a Bought a Call option on corn.
| O b Wrote a Call option on corn.
l O I: Bought a Puteptien
IT- :1 Interest rates which are extremely high.
If- b The interest rates at which banks are prepared to accept depcsits frpm cther hanks.
(- c The price difference in resaie agreement. where an investment dealer wi'le berrcws the securities.
The price dif
The Best ei Gerry
IT'- a Is the same as convenience yield
Q I: Is higher when sterage Best is higher
5"- I: Is iewer when income is lewer
_ d a 31 h)
r?- e h] s e)
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Given: 1-step Binomial Tree: em = as, u = 1.1 _ d = as. It call eptien has strike it = at, then [is
if) a [1.5
the insti'ueter has not enabled student submisslens for this questlen
Hm funetibn. .
CI a is the [:tri:ibatt:iilit'_n,r that
The basis risk is:
Q a An uneertainty in difference between the Spot price at an asset and its futures priee.
F? b A did asic spread.
CI e A basic. risk [If falling prices.
-."_- d A ditterenee between the spat prise and the strike prise.
1. Incorporated in 1919
2. One of the largest worldwide general trading
3. A constituent of the TOPIX and Nikkei stock index
What was happened
the end of 20th century
London Metal Exchange
Merkev proceee has the feiluwing property:
'3' a It is a ccntinueue time. nunetechaetie precese
If h It ie nermallv distributed with mean Ci and variance 1
u c The path ef the variable ie irrelevant. only the current etate ie, in predicting the f
A bani: quotes on interest rate of 5 percent per snn urn with semiannual oornpounoing. What is the squirrels
5- d None of the above.
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Current stock pric
A Futures Contract is:
CI in The right to buy an asset at a certain time in the future for a certain price.
0 b The right to sell an aeset at a certain time in the future for a certain price.
0 it An agreement to buy or sell an asset at a certain time in