Lecture 4. Determination of Forward
and Futures Prices I
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
10 February, 2017
1 / 24
Lecture Outline
Setting
No Arbitrage Argument
Short Selling
Determination of Forward Price
Problem Set 1 of EF 4331 (49 pts)
Instructor: Dr. Du Du
Select the best answers for questions (2 points each for questions 1-10)
1. Which of the following services is not provided by a typical bank?
A) Accept deposits
B) Make loans to a firm
C) Manufactur
Lecture 11. Binomial Trees II
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
7 April, 2017
1 / 20
Lecture Outline
Binomial Models
N-Step Binomial Model
American Options
Options on Dividend-Paying Stocks
Implementation
Lecture 7. Introduction to Options
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
10 March, 2017
1 / 25
Lecture Outline
Valuation of Swap
Introduction to Options
Option terminology
Payoff and profit
2 / 25
Valuation of
Lecture 10. Binomial Trees
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
31 March, 2017
1 / 32
Lecture Outline
Binomial Models
One-step binomial model
Two-step binomial model
N-step binomial model
Risk-Neutral Valuati
Problem Set 2 of EF 4331 (46 pts)
Instructor: Dr. Du Du
Select the best answers for questions 1-12 (2 points each)
1. Which of the following statement(s) about the efficient market approach is/
are correct?
i) Efficient market approach says that todays ex
Lecture 6. Interest Rate Derivatives
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
24 February, 2017
1 / 28
Lecture Outline
Forward Rate Agreements
Determination of the fixed rate on FRA
Valuation of FRA
Swaps
Determi
Lecture 9. Properties of Stock Options II
Trading Strategies Using Options
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
24 March, 2017
1 / 37
Lecture Outline
Properties of Stock Options II
Lower/Upper Bounds for Options
HW 3-4: Practice Questions for Exam 3 with suggested ANS
Ch. 12
1.
Whitewater Co. is a U.S. company with sales to Canada amounting to C$8 million. Its cost of materials
attributable to the purchase of Canadian goods is C$6 million. Its interest expense on
HW 3-2: Practice Questions for Exam 3
Ch. 10
1.
Diz Co. is a U.S.-based MNC with net cash inflows of euros and net cash inflows of Swiss francs. These
two currencies are highly correlated in their movements against the dollar. Yanta Co. is a U.S.-based
MN
HW 3-1: Practice Questions for Exam 3 Chapter
5Currency Derivatives
1.
2.
Kalons, Inc. is a U.S.-based MNC that frequently imports raw materials from Canada. Kalons is typically
invoiced for these goods in Canadian dollars and is concerned that the Canadi
HW 3-2: Practice Questions for Exam 3
Ch. 10
1.
Diz Co. is a U.S.-based MNC with net cash inflows of euros and net cash inflows of Swiss francs. These
two currencies are highly correlated in their movements against the dollar. Yanta Co. is a U.S.-based
MN
International Finance
N6: Relationships among Inflation,
Interest Rates and Exchange Rates
International Finance
Relationships among Inflation, Interest
Rates and Exchange Rates
Objectives
This section will explain:
A. The purchasing power parity (PPP) th
HW 3-3: Practice Questions for Exam 3
Ch. 11
1.
a.
b.
c.
d.
2.
Assume zero transaction costs. If the 180-day forward rate overestimates the spot rate 180 days from now, then
the real cost of hedging payables will be:
positive.
negative.
positive if the fo
6.What are some differences between hedge funds and mutual funds?
10. Open-end equity mutual funds find it necessary to keep a significant percentage
of total investments, typically around 5% of the portfolio, in very liquid money market
assets. Closed-en
HW 3-4: Practice Questions for Exam 3 with suggested ANS
Ch. 12
1.
a.
b.
c.
d.
e.
2.
Whitewater Co. is a U.S. company with sales to Canada amounting to C$8 million. Its cost of materials
attributable to the purchase of Canadian goods is C$6 million. Its i
International Finance
N4: Government Influence on Exchange
Rates
International Finance
Government Influence on Exchange Rates
Objectives
This section will describe:
A. The exchange rate system used by governments
B. How governments can use direct interven
International Finance
N5: International Arbitrage
and Interest Rate Parity
International Finance
N7: International Arbitrage
and Interest Rate Parity
Objectives
This section will explain:
A. The conditions that will result in various forms of
internationa
Question 1
0 out of 0 points
Before starting this lab assignment, consider the following questions: Is
there one method of calculating a number that best describes the
center, or typical value, for all types of data sets? If so, what it it
and why is it t
Question 1
For questions 1-4, use the following data on number of Facebook friends in two sa
Male
46
65
106 153 172 244 342 345 458 810
Female
121
184
191
254
288
329
404
What is the correct 5 number summary for the male sample?
Selected
Answer:
Answers:
Question 1
2.5 out of 2.5 points
For questions 1-3, use the following information:
A small survey was done to collect information on the number
of Facebook friends college students have. Results were found for both
male and female.
Female
288
476
329
191
Question 1
1 out of 1 points
Identify the study as observational or experimental.
A T.V. show's executives raised the fee for commercials following a report
that the show received a
rating in a survey of viewers.
Question 2
2 out of 2 points
Answer the q
Question 1
1.25 out of 1.25 points
For the random variable x, the dollar amount of loss for a certain risk covered by
insurance, an actuary estimates the following probability distribution:
Amount of Loss (x)
$ 0
$180
$300
Probability of Loss (P(x)
0.30
0
Award: 0.76 out of 0.76 points
How will each of the following changes in demand and/or supply affect equilibrium price and
equilibrium quantity in a competitive market? Specifically does each pair of changes lead to an
increase, decrease, or is the outcom
Award: 0.76 out of 0.76 points
In the table below, individual demand schedules for Tex, Dex and Rex are shown in addition to total
market demand.
a. Fill in the missing values in this table.
Tex
Qd
Price
Dex
Qd
Rex
Qd
$8
3
2
7
5
3
6
4
7
5
9
4
11
5
6
Total
Award: 1.66 out of 1.66 points
Show correct answer
Potatoes cost Janice $1.25 per pound, and she has $5.00 that she could possibly spend on potatoes
or other items. If she feels that the first pound of potatoes is worth $1.50, the second pound is worth
$1
Overview of Recent Developments
in the Credit Card Industry
by Douglas Akers, Jay Golter, Brian Lamm, and Martha Solt*
Since the 1980s, Visa U.S.A. (Visa) and MasterCard International (MasterCard), the bank-controlled credit card associations that togethe