THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301CDE - DERIVATIVES First Semester, 2009-2010
Tutorial 0 Problem Set Overview / Revision
Note: This tutorial covers fundamental finance concepts for your own revision and will not be disc
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301 - DERIVATIVES Second Semester, 2008-2009
Tutorial 4 Problem Set Chapter 5,6 & 7
Chapter 5 & 6
Question 1 (Annualized Forward Premium)
Suppose the stock price is $35 and the continuousl
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301CDE - DERIVATIVES First Semester, 2009-2010
Tutorial 2 Problem Set Chapter 3
Practice Questions
Question 1 (Bull and Bear Spread)
Suppose that put options on a stock with strike prices
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301CDE - DERIVATIVES First Semester, 2009-2010
Tutorial 1 Problem Set Chapter 1 & 2
General Information Tutor: Mr.
Clive Man Chung HO Office: Room 1108, KKL Building
Mailbox (To drop your
FINA2802 ABC Investments and Portfolio Analysis
Tutorial 2
1. Who sets the bid and asked price for a stock traded over the counter? Would you
expect the spread to be higher on actively or inactively traded stocks?
The dealer sets the bid and asked price.
1
Why study investments?
Be a smart investor!
Equity
Analysis
Debt
Securities
Option
derivatives
Portfolio
Theory
2
An investment is the commitment of current
money or other resources in the expectation
of reaping future benefits.
3
If you have HK$50,000
Assignment#1
Due time: 11:50pm on Oct. 4th, 2015.
Please submit your typed assignment via Moodle link.
Please state your name, subclass number, and UID clearly.
2 points each
1. _ is not a money market instrument.
A. Certificate of deposit
B. Brokers call
Assignment#1
Due time: 11:50pm on Oct. 4th, 2015.
Please submit your typed assignment via Moodle link.
Please state your name, subclass number, and UID clearly.
2 points each
1. _ is not a money market instrument.
A. Certificate of deposit
B. Brokers call
FINA2802 ABC Investments and Portfolio Analysis
Tutorial 3
1. What are some comparative advantages of investing in the following:
a. Unit investment trusts.
b. Open-end mutual funds.
c. Individual stocks and bonds that you choose for yourself.
a.
Unit inv
1
Security markets
Primary market
Secondary market
How securities are traded
Type of orders
Trading systems
Buy on margin, short sale
Regulations for securities trading
2
Primary Market
Firms issue new securities through underwriter to
the public
I
FINA2320/2802DE Fall 2015: Group Project
Due: 5pm Monday, November 30
This project aims to empirically analyze returns of individual stocks using different
models that we have learned in this course.
Stocks:
In this project, we study the stocks of the fol
Dividend Discount Model
Jinghan Meng
Roadmap for Today
1.
Chapter 18.3: Dividend Discount Model (DDM)
2
Dividend Discount Model
How can we determine the intrinsic value of a stock?
Review: CAPM and APT
CAPM is the equilibrium model that specifies risk-re
Arbitrage Pricing Theory
Jinghan Meng
Roadmap for Today
1.
2.
3.
Chapter 10.1: Multifactor Model
Chapter 10.2 - 10.4: Arbitrage Pricing Theory
Chapter 10.5: Identifying Factors and Empirical Tests
2
Review: Capital Asset Pricing Model
of
CAPM is the equi
Capital Asset Pricing Model
Jinghan Meng
Review: Markowitz Portfolio Theory
Portfolio theory is a theory of finance that attempts to:
maximize portfolio expected return for a given amount of portfolio risk;
or equivalently minimize risk for a given level
Portfolio Theory III
Jinghan Meng
Review: Portfolios of One Risky Asset and
a Risk-Free Asset
Asset
Weight
Risky assets (P)
Risk-free Asset (F)
Complete Portfolio (C)
1y
=1
Expected
Return
SD of
Return
rP
E(rP )
P
rf
y
Return
rf
0
rC
E(rC )
C
Complete por
Basic Knowledge in Financial
Market
Jinghan Meng
Roadmap for Today
1.
2.
Chapter 3: How Securities are Traded
Chapter 4: Investment Companies
2
Chapter 3: How Securities are Traded
How Firms Issue Securities
Primary Market:
Firms issue new securities thro
Portfolio Theory II
Jinghan Meng
Roadmap for Today
1.
2.
Chapter 6.1: Risk Aversion and Utility Function
Chapter 6.2-6.6: Capital Allocation One Risky Asset, A Riskfree Asset
2
Risk Aversion and Utility Function
Risk Aversion
Investors are willing to cons
Portfolio Theory I
Jinghan Meng
Roadmap for Today
1.
2.
3.
Chapter 5.1-5.3: Interest Rates and Inflation
Chapter 5.4: Risk and Returns Scenario Analysis
Chapter 5.5-5.8: Risk and Returns Time Series Analysis
2
Interest Rates and Inflation
Interest Rates
I
Types of Orders
Market Order:
Executed immediately
Trader receives current market price
A large order may be filled at
multiple prices
Price-contingent Order:
Traders specify buying or selling
price
Limit orders vs. stop orders
Limit-buy: max price to buy
FINA2320/2802DE Fall 2015: Homework #1
Due: 5pm Tuesday, 20 October
(50 points in total)
1. (15 points) Suppose that Facebook is selling at $75 per share.
You are bullish on Facebook stock, and want to buy 1000 shares on margin. The initial
margin is 50%.
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301CDE - DERIVATIVES First Semester, 2009-2010
Tutorial 0 Slide Chapter 1 - Introduction to Derivatives What is a Derivative? A derivative is an agreement between two parties which has a v
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301CDE - DERIVATIVES First Semester, 2009-2010
Tutorial 5* Slide Chapter 7 Interest Rate Forwards and Futures
(*We will cover remaining parts of Tutorial 4 with some additional slides)
Arb
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301 - DERIVATIVES Second Semester, 2008-2009
Tutorial 4 Slide Chapter 5 & 6 Financial Forwards and Futures Chapter 7 Interest Rate Forwards and Futures
Chapter 5 & 6
Proof of Forward Prici
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301CDE - DERIVATIVES First Semester, 2009-2010
Tutorial 5 Problem Set Chapter 7
Question 1* (Tutorial 4 Question 7: Forward Rate Agreement)
Suppose that in order to hedge interest rate ris
THE UNIVERSITY OF HONG KONG FACULTY OF BUSINESS AND ECONOMICS FINA0301CDE - DERIVATIVES First Semester, 2009-2010
Tutorial 3 Slide Chapter 4 Introduction to Risk Management
Basic Risk Management What is Risk Management?
A firm that actively uses derivativ