OCT 1, 2016
your university student ID card to the exam and
your hand calculator.
You are allowed 2 pages of notes
From my slides:
CH. 2: The entire chapter.
CH. 2: Supplement. The ent
Due in class on M
On Friday, April 4, 2013 you bought shares of the following stocks and you held this portfolio
for a year:
10,000 shares of IBM (IBM)
= 1.44 S = $80.79
S = $90.45
20,000 of C
FINA4351 HW 3. Due in class: W SEP 21.
On September 3, 2008 you invested $1,000 at the annual riskfree rate
of 5% until APR. 18, 2009. Calculate the amount you will receive
18, 2009 if the annual 5% rate is compounded
HW 2. Due in class:
W SEP 14
Study carefully the paper I handed out is class: Amaranth advisors LLC.
When you read this paper, disregard anything associated with options and
concentrate on the parts that analyze outright speculation and spec
Due in class: W
Study The paper Metallgesellschaft I will cover this paper MON SEP
26 in class. Study CH 3. but not Sec. 3.5.
Q1.Trader A holds a short position in 25 NYMEX Gold futures for MAR
2009. Every contract is for 100 ounces.
short MAR futures:
long JUN futures:
The speculator must unwind the positions:
long MAR futures:
short JUN futures:
HW No. 1
Due: WED, SEP 7, in class.
Study my slides and the following Sections in the
CH 2.Sections: 2.1 2.7
Answer the problems from the textbook on this page
and the 7th problem on the next page:
FINA4351 HW 3.
Due in class: W SEP 21.
On September 3, 2008 you invested $1,000 at the annual risk-free rate of 5% until APR. 18,
2009. Calculate the amount you will receive on APR 18, 2009 if the annual 5% rate is compounded
1.1 annually; 1000(1+0.05
HW No. 1 ANS
Margin is the sum of money deposited by a trader with his/her broker.
It acts as a guarantee that the trader can cover any losses on the futures
contract. If losses are above a certain level, the trader is required to
deposit more mo
Analyze in detail all aspects of the following statement:
When you open a futures position you lock yourself into a fixed price and thus, all price
risk is eliminated.
All price risk is eliminated when a futures position is open
You must write only on one side of the page.
You must start the answer to every question on a new page.
You must answer all six questions.
The exam ends at 12:00.
You must use only the paper provided by the school.
Show and expl
Use a time table to show the arbitrager activities
and at delivery and calculate the arbitrage profit.
The theoretical, no-arbitrage futures prices is:
400e(.1 - .04)(4/12) = 408.08
405 < 408.08
The actual market futures p
n* = h*(NS/NF)
n* = (S,F)(S/F)(NS/NF)
But, because the spot price has a standard deviation 50% higher than the
futures price the ratio of
S/F is 1.50. Thus:
n* =(.6)(1.5)100,000,000/42,000 = 2142.86.
n* = 2143.
HW 6. Due: W OCT 19
A US importer will purchase 500 Italian sport cars on the 15 th of
FEB, APR, JUL and OCT of 2017. The price is fixed at EUR40,000/car.
What is the risk born by the US importer?
EXAMPLE of Previous EXAM
The four questions are pertaining to our
Print your name:_
Answer all the 4 problems.
All questions carry the Same weight.
Write only on one side of the page.
The exam ends at 12:00.
Cellular phones are
DATE: WED. NOV 30, 2016
TIME: 2:30 3:55
Please bring your university student ID card to the exam. Also, 2 pages
(four sides) of your notes and a hand calculator.
Material from my slides:
Airline JJJ wishes to hedge its Jet fuel purchase (on date k) and
opens a hedge today, t.
There exists no jet fuel futures contract thus, JJJ hedge is done with
the NYMEX heating oil contract. Later, on date k, the airline closes
Use our us
God in America1. A Nation Reborn (3)
There was much disagreement of what Gods purpose was, or what he wanted, but
most people believed he had a very special purpose for us.
In America, Methodists have the single largest religio
OCT 22 2016
TIME: 9:30 12:00
Bring your hand calculator and you are also allowed 2 pages (4 sides) of
From my slides:
The mechanics of futures markets. The entire cha
Answers to First exam,
1.1 What is the clearinghouse guarantee to traders in the futures
1.2 Explain in detail how this guarantee solves the liquidity problem that
exists in the
Answer: 1.1 The clearinghouse
Hedgers open positions in the future marker in order to eliminate the risk associated with the
SPOT PRICE of the underlying asset. A perfect hedge is one that completely eliminates the risk.
SPOT PRICE: current market price at which an asset can be bought