Assignment 4 (MGFC30, 2014)
SOLUTIONS
1.
Using the formulas introduced in class, we have the following estimates:
a.
Daily: n = 501, = 1/252.
Standard deviation of the daily returns:
Standard deviation in annual terms:
The standard error of the estimate:

Assignment 1 (MGFC30, 2014)
SOLUTIONS
1.
a)
Total loss in the first two days: (31 - 29)(500) + (34 - 31)(500) = $2,500
Margin balance before margin call: m - $2,500.
m - $2,500 = $2,500, therefore
m = $5,000.
Maintenance margin is $3,500.
b)
First, fill o

Assignment 2 (MGFC30, 2014)
SOLUTIONS
1.
2.
a.
b.
c.
3.
a.
Regress changes in spot price on changes on futures price to obtain the regression
coefficient, which by definition is the optimal hedge ratio. It is 0.894.
The company should short
(1.3 - 0.6)(10

Assignment 3 (MGFC30)
Due Date: March 12, 2014 (beginning of class)
(This assignment must be completed individually)
1.
A European call and a European put are written on the same stock with the same time to
maturity (14 months) and the same strike price $

UNIVERSITY OF TORONTO SCARBOROUGH
Department of Management
MGFC30H - Introduction to Derivatives Markets
Instructor:
Office:
Phone:
Office hrs:
Prof. Jason Z. Wei
IC 372
416-287-7332
MO 3-4:30pm, WE 5-6pm
January - April, 2014
Class Room and time:
L01: WE

University of Toronto at Scarborough
MGTC71
Introduction to Derivatives Markets
Midterm Examination
October 31, 2008
Prof. Jason Z. Wei
110 minutes
Student Name:
Student Number:
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Section:
/
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Answer all questions in the space provided.
Po

University of Toronto at Scarborough
MGTC71
Introduction to Derivatives Markets
Midterm Examination
November 6, 2010
Prof. Jason Z. Wei
110 minutes
Student Name:
Student Number:
/
/
/
/
Section:
/
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/
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Answer all questions in the space provided.
Po

Extra Exercise Questions, MGFC30
1. A box spread is a combination of a bull spread composed of two call options
with strike prices X 1 and X 2 and a bear spread composed of two put options
with the same two strike prices.
a) Describe the payoff from a box

MGFC30
Introduction to Derivatives Markets
Midterm Examination
November 2, 2013
Prof. Jason Z. Wei
110 minutes
Student Name:
Student Number:
/
/
/
/
Section:
/
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/
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_
Answer all questions in the space provided.
Points
PART I
(Out of)
22.5
PART II
39.

Futures:
Options:
Assignment 1 (MGFC30)
Due Date: February 5, 2014 (beginning of class)
(This assignment must be completed individually)
1.
(Question of Fall 2013 mid-term)
Inco Ltd entered into five futures contracts to sell silver at $29/oz. Each contra

Note to the Second Assignment
Although this assignment is not for hand-in, you are responsible for all
the questions as far as the mid-term is concerned. The same applies to
the extra exercise questions.
Assignment 2 (MGFC30)
Solution-posting Date: Februa

Assignment 1 (MGFC30)
Due Date: February 5, 2014 (beginning of class)
(This assignment must be completed individually)
1.
(Question of Fall 2013 mid-term)
Inco Ltd entered into five futures contracts to sell silver at $29/oz. Each contract was for 100
oun

Assignment 3 (MGFC30, 2014)
SOLUTIONS
1.
Since the last dividend was paid three months ago, there will be two dividends to be paid
within the options maturity, i.e, within the next 14 months. Precisely, the ex-dividend
dates are three months and nine mont

Assignment 4 (MGFC30)
Due Date: April 2, 2014 (beginning of class)
(This assignment must be completed individually)
1.
Please go to Yahoo Finance (http:/finance.yahoo.com/)and download the 2011 and
2012 prices for AT&T with ticker T. Please download data

PART I. Multiple Choice Questions (1.5 15 = 22.5). Circle your answer with a pen. There is only one correct
answer for each question.
1.
If X1 = $6, X2 = $7, c1 = $1.2, and c2 = $0.55, then the net profit (ignoring time value of money) from a
bull spread