Foreign Exchange Hedging Strategies at General
Motors
March 17, 2015
Guidelines for case presentation and discussion
1. Each group should obtain a copy of the case Foreign Exchange Hedging Strategies at General Motors
(case # 9-205-095), from the Harvard
Comm 477 Assignment on Options
1. A buttery spread is a combination of option positions that involve three strike prices.
To create a buttery spread, a trader purchases an option with a low strike price and
an option with a high strike price and sells two
Comm 477
Swaps
Introduction to Swaps
A swap is a contract calling for an exchange,
on one or more dates, of payments for
commodity or payments determined by the
difference in two prices
Different types of swaps
Commodity swaps
Interest rate swaps
Curren
Comm 477
Simulations
Why Monte Carlo Simulation?
Many derivatives are too complex to value with the
Binomial Method or an analytic equation (e.g. BlackScholes). Monte Carlo simulation is a numerical
technique for pricing via brute force.
Risk management
Comm 477
Swaps
Introduction to Swaps
A swap is a contract calling for an exchange,
on one or more dates, of payments for
commodity or payments determined by the
difference in two prices
Different types of swaps
Commodity swaps
Interest rate swaps
Curren
Comm 477
Simulations
Why Monte Carlo Simulation?
Many derivatives are too complex to value with the
Binomial Method or an analytic equation (e.g. BlackScholes). Monte Carlo simulation is a numerical
technique for pricing via brute force.
Risk management
Assignment
1. Four beer products are conversed into a single beers products(package) CVP format, we need
to calculate sales mix (measured in the case sold), pre-tax profit, total fixed cost and package
contribution margin to get the number of packages to
ACTG 2020 W2017 WEST DON HOSPITAL
To:
From:
Subject:
Date:
CEO
Business Strategist, Performance Manager, Cost Analyst, etc
Implementation of ABC at West Don Hospital
The following is my report on the implementation of ABC at West Don Hospital.
Goals and S
Assignment
1. the desired after-tax profit is $50000 and the tax rate is 35%,
Pre-tax profit is $50000/(1-35%)=$76923
Proof: pre-tax profit
$76923
-Tax ($76923*0.35)
$26923
After-tax profit
$50000
Sales mix(measure in units sold):
Coltrane Pale Ale: Miles
Job Order Costing
Importance and uses
Learning objectives:
Describe the importance of job order
costing.
Understand the procedures involved in using
job order costing.
Practice an example on overhead allocation.
Define process costing.
Importance of J
Report Writing
What makes a good report?
Achieve your objective
Logical structure
Easy to follow
Interesting to read
Clearly set out
As short and simple as possible
Clear conclusions/recommendations
Good to look at
Logical structure
The story should unfol
Chapter 3:
Cost Behavior
Cornerstones of Managerial Accounting, 6e
Learning Objectives
1. Explain the meaning of cost behavior, and define
and describe fixed and variable costs.
2. Define and describe mixed and step costs.
3. Separate mixed costs into the
Chapter 1:
Introduction to
Managerial Accounting
Cornerstones of Managerial Accounting, 6e
Learning Objectives
1. Explain the meaning of managerial
accounting.
2. Explain the differences between managerial
accounting and financial accounting.
The Meaning
Question 1
(a)
Since the futures price for Nov 2009 is 1.7425, the price of the note is
1.636927
(b)
the price is
2.5912504106
(c )
Since the futures price for Nov 2008 is 1.6925, the spote price of the note is 1.6925.
We want to solve for the coupon rate
Practice Questions on Credit Derivatives
1. Suppose that there are three risky, speculative-grade bonds that each promises to pay $100
in one year. Defaults are independent and occur only at maturity. Each bond has a 5%
risk-neutral probability of default
Comm 477
Value at Risk (VaR)
Value at Risk
VaR is a measure of risk, but it is different
from the standard measure of risk.
Standard measure of risk: measure of
dispersion
standard deviation
VaR measure of down side: tail risk.
2
Value at Risk: Definit
Comm 477
Financial Engineering and Risk Management
Introduction
The Role of Financial Markets
Insurance companies and individual
communities/families have traditionally
helped each other to share risks
Markets make risk-sharing more efficient
Diversifia
Comm 477
Options
Call Options
A call (put) option gives its owner the right but not an
obligation to buy (sell) an asset in the future and at a
price set today
Today
Expiration date
or
at buyers choosing
2
Notation
ST: price of stock at expiration
K: str
Assumptions
Day count method
The day count method used is actual / 360. This is an attempt to adhere with the day
count used by LIBOR, which is in turn referred to as the risk free rate for this
investment universe. At initiation, the time to maturity is
Comm 477 Assignment on Forwards and Futures contracts
1. Suppose that in 3 months the cost of a pound of Colombian coee will be either $1.25 or
$2.25. The current price is $1.75 per pound.
(a) What are the risks faced by a hotel chain who is a large purch
Pine Street Capital
March 10, 2015
Guidelines for case presentation and discussion
1. Each group should obtain a copy of the case Pine Street Capital (case # 9-201-071), from the
Harvard Case Website: https:/cb.hbsp.harvard.edu/cbmp/access/31998451. Group
Guidelines for the Research Project in COMM477
Instructor: Lorenzo Garlappi
The research project is the most important component of Comm 477. I believe that much
of your learning will take place in doing the project. The objective of the project is a crit
COMM 477: Financial Engineering and Risk Management
Course Outline
COURSE GOALS
The overall objective of this course is to present some of the recent advances in financial
engineering and risk management and their practical applications in the real world.
Pricing Supplement to Short Form Base Shelf Prospectus dated October 21, 2011, the
Prospectus Supplement thereto dated October 24, 2011 and the Prospectus
Supplement thereto dated October 24, 2011.
No securities regulatory authority has expressed an opini
Comm 477 Assignment on Options
1. A butterfly spread is a combination of option positions that involve three strike prices.
To create a butterfly spread, a trader purchases an option with a low strike price and
an option with a high strike price and sells
Question 1
(a)
Since the futures price for Nov 2009 is 1.7425, the price of the note is
1.636927
(b)
the price is
2.5912504106
(c )
Since the futures price for Nov 2008 is 1.6925, the spote price of the note is 1.6925.
We want to solve for the coupon rate
Solution to Question 1
sigma
time period
0.15
mean
0.08
S
100
risk free
0.083333
Part 1
VaR
3227.871
Part 2
The portfolio has 0.5 weight on index and 0.5 on risk free asset
The mean return of the portfolio is
0.05
The standard deviation is
0.075
VaR is
15