Derivative Securities
2214AFE Course Revision
Department of Accounting, Finance and Economics
Griffith University
Semester 1, 2014
Final Examination
Monday, 16 June, 8:30 AM
2
Course Review
Final Examination
What Did We Learn in Lecture 6?
Options - Marke

Derivative Securities
Chapter 22
Exotic Options
Nonstandard Swaps
Exotics: Chapter 22
Derivatives Desasters: Chapter 25
Fundamentals of Futures and Options Markets
Hull (2013)
Chapter 25
Big Losses
Lessons We Can Learn
Department of Accounting, Finance an

What Did We Learn Last Week?
2
Derivatives Securities
I
Valuing Stock Options:
The Black-Scholes-Merton Model
Chapter 13
Fundamentals of Futures and Options Markets
Hull (2013)
Department of Accounting, Finance and Economics
Griffith University
One-step b

Interest Rates
2
Derivatives Securities
Interest Rates: Chapter 4
Fundamentals of Futures and Options Markets
Hull (2013)
There are many types of interest rates
I
The interest rate applicable in a situation depends on the
credit risk (the risk that there

Nature of Swaps
2
Derivatives Securities
Swaps: Chapter 7
Fundamentals of Futures and Options Markets
Hull (2013)
I
A swap is an agreement to exchange cash flows at specified
future times according to certain specified rules
I
A forward contract can be vi

Derivatives Securities
Hedging Strategies Using Futures: Chapter 3
Fundamentals of Futures and Options Markets
Hull (2013)
Department of Accounting, Finance and Economics
Griffith University
Semester 1, 2014
Revision from Week 1
2
I
A derivative is an ins

Derivatives Securities
Introduction: Chapter 1 und 2
Fundamentals of Futures and Options Markets
Hull (2013)
Department of Accounting, Finance and Economics
Griffith University
Semester 1, 2014
Administrative details
Convenor, Lecturer and Tutor
I
Dr. Ned

Chapter 9
Types of Option
Option Positions
Further Terminology
Specification of Exchange-Traded Options
Trading
Derivatives Securities
Mechanics of Options Markets: Chapter 9
Properties of Stock Options: Chapter 13
Fundamentals of Futures and Options Mark

Derivatives Securities
Determination of Forward and Futures Prices:
Chapter 5
Fundamentals of Futures and Options Markets
Hull (2013)
Chapter 5
Preliminaries
Forward Price for an Investment Asset
Valuing a Forward Contract
Forward vs. Futures Prices
Futur

Effect of Variables on Option Pricing
2
Derivatives Securities
Variable
The Greek Letters: Chapter 17
Fundamentals of Futures and Options Markets
Hull (2013)
Department of Accounting, Finance and Economics
Griffith University
Semester 1, 2014
Chapter 17
E

Options
2
Derivatives Securities
Introduction to Binomial Trees: Chapter 12
Fundamentals of Futures and Options Markets
Hull (2013)
I
I
Department of Accounting, Finance and Economics
Griffith University
So far, we talked about general properties of (stoc

Final Examination
2
Derivative Securities
2214AFE Course Revision
Monday, 16 June, 8:30 AM
Department of Accounting, Finance and Economics
Griffith University
Semester 1, 2014
What Did We Learn in Lecture 6?
Options - Markets and Properties (Ch. 9, 10)
4

Derivatives Securities
Value at Risk: Chapter 20
Fundamentals of Futures and Options Markets
Hull (2013)
Chapter 20
The VaR Measure
Historical Simulation
Model-Building Approach
Back Testing and Stress Testing
Department of Accounting, Finance and Economi

Table for N(x) When x g 0
This table shows values 61 N(x) for x g 0. The table should be used with interpolation. For example.
N(0. 1234) = N(0.l2) 0.34cfw_N(0. l2) N(0.l3)]
= 0.4522 0.34 x (0.4522 0.4483)
=0.4509
x .00 .01 .02 .03 .04 .05 .06 .07 .08