THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARlAL SCIENCE
STAT3317 /6011
COMPUTATIONAL STATISTICS
December 8, 2009
Time: 9:30 a.m. - 11:30 a .m.
Only approved calculators as announced by the Examinations Secretary can be used in
this exam

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303/STAT3618
December 16, 2014
DERIVATIVES AND RISK MANAGEMENT
Time: 9:30 a.m. - 11:30 a.rn.
Only approved calculators as announced by the Examinations Secretary can be used i

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303
DERIVATIVES AND RISK MANAGEMENT
December 21, 2013
Time: 2:30 p.m. - 4:30 p.m.
Only approved calculators as announced by the Examinations Secretary can be used in
this exam

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303
DERIVATIVES AND RISK MANAGEMENT
December 17, 2012
Time: 9:30 a.m. - 11:30 a.m.
Only approved calculators as announced by the Examinations Secretary can be used
in this exa

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303
DERIVATIVES AND RISK MANAGEMENT
December 17, 2011
Time: 9:30 a.m. - 11:30 a.m.
Only approved calculators as announced by the Examinations Secretary can be used
in this exa

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303/3618
Derivatives and Risk Management
Tutorial 3 Solutions
1. Upon careful inspection you should nd that the prot diagram of collar 1 lies completely above that of collars

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303/3618
Derivatives and Risk Management
Tutorial 1 Solutions
1. Recall that: The ask price is the price that you can buy the asset immediately. The
bid price is the price tha

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303/3618
Derivatives and Risk Management
Tutorial 3 Problems
1. One of the following collars is priced incorrectly. Can you nd it out?
2. The following table shows the premium

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303/3618
Derivatives and Risk Management
Tutorial 2 Solutions
1. Plug the numbers into the pull-call parity:
C P = PV(F K)
F 45
1.1
F = 48.3
74=
The quantity PV(F ) is called

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303/3618
Derivatives and Risk Management
Tutorial 1 Problems
1. ABC stock has a bid price of $40.95 and an ask price of $41.05. Assume there is a $20
brokerage commission. Wha

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3303/3618
Derivatives and Risk Management
Tutorial 2 Problems
1. Given that a 1-year 45-strike European call and put option is sold at $7 and $4 respectively. Compute the 1-yea

The University of Hong Kong
Department of Statistics and Actuarial Science
STAT3303 Derivatives and Risk Management
Chapter 3: Insurance, Collars, and Other Strategies
3.1 Basic Insurance Strategies
Options can be combined to create different payoffs in i

The University of Hong Kong
Department of Statistics and Actuarial Science
STAT3303 Derivatives and Risk Management
Chapter 4: Introduction to Risk Management
Firms convert inputs into goods and services. A firm is profitable if the cost of what it produc

The University of Hong Kong
Department of Statistics and Actuarial Science
STAT3303 Derivatives and Risk Management
Chapter 5: Financial Forwards and Futures
5.1 Alternative Ways to Buy a Stock
There are four ways to buy a stock, involving different combi

The University of Hong Kong
Department of Statistics and Actuarial Science
STAT3303 Derivatives and Risk Management
Chapter 2: Introduction to Forwards and Options
2.1
Forward contracts
A forward contract is a binding agreement (obligation) setting today

The University of Hong Kong
Department of Statistics and Actuarial Science
STAT3303 Derivatives and Risk Management
Chapter 2: Introduction to Forwards and Options
2.1
Forward contracts
A forward contract is a binding agreement (obligation) setting today

The University of Hong Kong
Department of Statistics and Actuarial Science
STAT3303 Derivatives and Risk Management
Chapter 1: Introduction to Derivatives
1.1What is a derivative
A derivative is an agreement between two parties which has a value determine

THE UNIVERSITY OF HONG KONG
DEPARTMENT OF STATISTICS & ACTUARIAL SCIENCE
STAT3303/3610 Derivatives and Risk Management
Assignment 1
gDue on 9 October 2015: Friday!
gDrop into the assignment box outside Rm 1033 RS Building 1
6-month forward position at a f