FINA0301/2322 Derivatives
Final Review Note
FINA0301/2322 Subclass A/B/C
First Semester, Year 2014/2015
Final Examination
Time:
Location:
Format:
Questions:
December 20, Saturday, 9:30 11:30 AM
FHSC
Closed-book, closed notes, calculator allowed, formula s

FINA0301/2322 DERIVATIVES
Sample Exam Paper
Dr. Huiyan Qiu
Note: this exam paper serves the purpose of sample paper for both midterm exam and final
exam though here it only tests material covered during the first half of the course. Final exam
will be cum

FINA0301 Derivatives
Dr Huiyan Qiu
Formula Sheet for Midterm Exam
Forward Price:
No Dividend: F0,T = S0 erT
n
r(T ti ) D
ti
i=1 e
Discrete Dividend: F0,T = S0 erT
Continuous Dividend: F0,T = S0 e(r)T
Currency Forward: F0,T = x0 e(rry )T
Zero-coupon b

Outline
How the binomial model works and how to use it
Lecture Note Eight:
Binomial Option Pricing
One-period and multiple period binomial tree
Call options and put options
European options and American options
Options on other assets: currencies, fut

Outline
Options as basic insurance strategies
Lecture Note Six: Insurance,
Collars, and Other Strategies
FINA0301/2322 Derivatives
Faculty of Business and Economics
University of Hong Kong
Options and views on direction and volatility
Spreads and collars:

Outline
Put-call parity of options
Lecture Note Seven: Parity
and other Option Relationships
Generalized parity and exchange options
What are calls and puts?
Comparing options with respect to
exercise style
FINA0301/2322 Derivatives
Faculty of Business

Outline
Currency forwards and futures
Lecture Note Four: Currency Contracts;
Interest Rate Forward and Futures
Review on some basic bond concepts
Zero-coupon bonds
Coupon bonds, par coupon bonds
Implied forward rates
FINA0301/2322 Derivatives
Faculty o

Outline
Introduction to swaps using an example of a
commodity swap.
Lecture Note Five:
Swaps
Swap settlement; swap counterparty; market
value of a swap; computing swap price (rate).
Interest Rate Swaps
FINA0301/2322 Derivatives
Faculty of Business and Ec

Outline
Forward pricing formula
Lecture Note Three:
Forward and Futures
Synthetic forward: hedge a forward position
FINA0301/2322 Derivatives
Faculty of Business and Economics
University of Hong Kong
Uses of forward and futures: asset allocation;
cross he

Outline
Course Overview
Introduction to Derivatives: in general
Lecture Note One: Overview and
Preparation; Introduction to Derivatives
What is a derivative?
Derivatives markets
Technical preparation
FINA0301/2322 Derivatives
Faculty of Business and Eco

FINA0301/2322 Derivatives
Dr. Huiyan Qiu
In-Class Exercise on Interest Rate Forward (Lecture Note Four)
Answers
1. The coupon rates on one-year, two-year, and three-year par coupon bonds are 5%, 5.97%,
and 6.91%.
a. What are the bond yields for one-year z

FINA0301/2322 Derivatives
Dr. Huiyan Qiu
In-Class Exercise on Interest Rate Forward (Lecture Note Four)
1. The coupon rates on one-year, two-year, and three-year par coupon bonds are 5%, 5.97%,
and 6.91%.
a. What are the bond yields for one-year zero-coup