Practice Questions on Structured Products
Problem 1 Suppose that the continuously compounded interest rate is 6.25% for all maturities.
Using the price information from NYMEX provided at the end of th
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
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 ty
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 me
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 ris
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 choo
The University of British Columbia
Sauder School of Business
Prof. Lorenzo Garlappi
Fall 2017
Solution for Review & Introductory Material
Problem Set
1. First, a plot of natural log and ex
The natural
Risk Management and Financial Engineering
Introduction
Lorenzo Garlappi - UBC Sauder
1 / 10
The Role of Financial Markets
Insurance companies and individual communities/families have
traditionally he
The University of British Columbia
Sauder School of Business
Lorenzo Garlappi
Comm 477
Fall 2017
Self-Assessment Problem Set
Use this assignment to assess whether this course is the right thing for yo
Comm 477 Assignment, due date: Nov. 22, 2017
INSTRUCTIONS:
Please work on this assignment individually and submit a hard copy in class on
Nov. 22, 2017.
You may discuss part of this assignment with
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
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 ty
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.
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 t
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 manag
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
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
G
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 overhe
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
Sal
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
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 packag
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
Risk Management and Financial Engineering
Option Greeks
Lorenzo Garlappi - UBC Sauder
1 / 48
Option Greeks - Summary
What are Option Greeks?
Delta ()
C (S, K , , r , , )
S
Theta ()
C (S, K , , r ,
Risk Management and Financial Engineering
Structured Products
Lorenzo Garlappi - UBC Sauder
1 / 41
What is a structured product?
A structured product is an investment vehicle or contract that
provide
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
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
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 managem