Solution #7
Michigan State University
Eli Broad College of Business
FI 379
Do the following problems from Hull14 (9th Edition).
Chapter 12:
Problems: 2, 4, 6, 8, 9, 10, 14, 15, 20, 22, 24.
Problem 12.2.
Explain two ways in which a bear spread can be creat

Solution #8
Michigan State University
Eli Broad College of Business
FI 379
Do the following problems from Hull14 (9th Edition).
Chapter 13:
Problems: 1, 3, 5, 16, 19.
Chapter 15:
Problems: 1, 3, 4, 18.
Problem 13.1.
A stock price is currently $40. It is k

Solution #5
Michigan State University
Eli Broad College of Business
FI 379
Do the following problems from Hull14 (9th Edition).
Chapter 7:
Problems: 1, 2, 5, 7, 9, 11, 18, 21, 23.
Problem 7.1.
Companies A and B have been offered the following rates per an

Solution #2
Michigan State University
Eli Broad College of Business
FI379
Do the following problems from Hull14 (9th Edition).
Chapter 2:
Problems: 25.
Chapter 3:
Problems: 5, 7, 8, 10, 16, 21, 24, 25, 28.
Problem 2.25.
It is July 2014. A mining company h

Solution #6
Michigan State University
Eli Broad College of Business
FI 379
Do the following problems from Hull14 (9th Edition).
Chapter 10:
Problems: 3, 4, 5, 6, 9, 17.
Chapter 11:
Problems: 3, 4, 11, 14, 23, 25.
Problem 10.3.
An investor sells a European

Solution #4
Michigan State University
Eli Broad College of Business
FI 379
Do the following problems from Hull14 (9th Edition).
Chapter 5:
Problems: 2, 5, 15, 16, 23 (a), 26, 27, 28, 29, 30.
Problem 5.2.
What is the difference between the forward price an

Solution #1
Michigan State University
Eli Broad College of Business
FI 379
Do the following problems from Hull14 (9th Edition).
Chapter 1:
Problems: 4, 9, 17, 20, 26, 29, 32, 36.
Chapter 2:
Problems: 5, 8, 10, 12, 21, 22.
Problem 1.4.
Explain carefully th

Solution #3
Michigan State University
Eli Broad College of Business
FI 379
Do the following problems from Hull14 (9th Edition).
Chapter 4:
Problems: 3, 5, 10, 11, 16, 19
Problem 4.3.
The six-month and one-year zero rates are both 10% per annum. For a bond

Advanced Derivatives
Pedram Nezafat
Eli Broad College of Business
Michigan State University
Lecture 10
Binomial Trees
Binomial Trees
Binomial trees are useful tools for pricing options.
Construct charts of possible movements of a stock and price
according

Advanced Derivatives
Pedram Nezafat
Eli Broad College of Business
Michigan State University
Lecture 9
Trading Strategies Involving Options
Trading Strategies
We rst analyze what happens when we combine stock ownership with a
stock option. Consider a long

Advanced Derivatives
Pedram Nezafat
Eli Broad College of Business
Michigan State University
Lecture 11
Black-Scholes-Merton Model
Black-Scholes-Merton Model
More sophisticated approach to modeling the behavior of assets
underlying derivatives - view price

Advanced Derivatives
Pedram Nezafat
Eli Broad College of Business
Michigan State University
Lecture 8
Properties of Stock Options
Properties of Stock Options
Factors aecting options prices
1
Current Stock Price S0
2
Strike Price K
3
Time to Expiration T
4

Advanced Derivatives
Pedram Nezafat
Eli Broad College of Business
Michigan State University
Lecture 7
Mechanics of Options Market
Mechanics of Options Markets
Options are dierent from forward and futures contracts in that an option
gives the right to do s

Advanced Derivatives
Pedram Nezafat
Eli Broad College of Business
Michigan State University
Lecture 6
Swaps
Swaps
A swap is an agreement between two companies to exchange cash
ows in the future.
An agreement includes the dates when the cash ows are paid a

Advanced Derivatives
Pedram Nezafat
Eli Broad College of Business
Michigan State University
Lecture 2
Mechanics of Futures Markets
Futures markets
Futures contracts concern the buying and selling of an asset at a future
time for a certain price.
We consid