ADMS4503 3.0
Assignment #1
AK/ADMS 4503 3.0 Derivative Securities
Winter 2008
Assignment #1
Instructions:
(1)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of this assignment.
This a
Options Markets
& Properties
Chapters 10 & 11
ADMS 4503 Derivatives
Nabil Tahani
ADMS 4503 - Nabil Tahani
1
Types of Options
Most exchanges-traded options are on stocks, indices,
currencies, futures contracts and commodities
There are two classes of opt
ADMS4503 3.0
Assignment #1
AK/ADMS 4503 3.0 Derivative Securities
Winter 2008
Assignment #1 Solutions
Instructions:
(1)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of this assignme
The Black-Scholes-Merton
Model
Chapters 15, 17 & 18
ADMS 4503 Derivatives
Nabil Tahani
ADMS 4503 - Nabil Tahani
1
Concepts Underlying
Black-Scholes-Merton
The option price and the stock price depend on the same
underlying source of uncertainty
Black-Sch
AP/ADMS4503M
Midterm Exam Solutions Winter 2011
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS4503M
Derivative Securities
Midterm Exam Solutions
Question 1 (25 marks)
This question has three relat
ADMS4503 3.0
Assignment #1
Important: This cover page must be signed and stapled to your assignment
Faculty of Liberal Arts and Professional Studies
YORK UNIVERSITY
Toronto, Ontario
AP/ADMS 4503 3.0
Derivative Securities
Professor
Nabil Tahani
A (Wed 4-7p
How We Came Up With The Option Formula
Black, Fischer
Journal of Portfolio Management; Winter 1989; 15, 2; ABI/INFORM Global
pg. 4
Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.
Reproduced with permi
AP/ADMS4503M Derivative Securities
Midterm Exam Winter 2011
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS4503M
Derivative Securities
Midterm Exam
Professor Xiaofei Li
Sunday, February 27, 2011
2
CHAPTER 5
Determination of Forward and Futures Prices
Practice
Problem 5.1.
Explain what
Questions
happens
when
an
investor
shorts
a
certain
share.
The investors broker borrows the shares from another clients account and sells them in the
usual way. To cl
ADMS4503 Derivative Securities
Winter 2010
YORK UNIVERSITY
Faculty of Liberal Arts and Professional Studies
School of Administrative Studies
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AP/ADMS 4503.03 DERIVATIVE SECURITIES
MIDTERM EXAM
Introduction to Binomial
Trees
Chapters 13 & 21
ADMS 4503 Derivatives
Nabil Tahani
ADMS 4503 - Nabil Tahani
1
The Binomial Model
The binomial model was first introduced by Cox, Ross
and Rubinstein in 1979 (CRR model)
A One-step binomial tree
A stock pri
Introduction
Chapter 1
ADMS 4503 Derivatives
Nabil Tahani
ADMS 4503 - Nabil Tahani
1
The Nature of Derivatives
A derivative is an instrument whose value
depends on the values of other more basic
underlying variables such as stocks, currencies,
interest ra
ADMS4503 Derivative Securities
Fall 2011
YORK UNIVERSITY
Faculty of Liberal Arts and Professional Studies
School of Administrative Studies
sh is
ar stu
ed d
vi y re
aC s
o
ou urc
rs e
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AP/ADMS 4503.03 DERIVATIVE SECURITIES
MIDTERM EXAMIN
ADMS4503 3.0
Assignment #1
AK/ADMS 4503 3.0 Derivative Securities
Winter 2008
Assignment #1 Solutions
Instructions:
(1)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of this assignme
ADMS4503 3.0
Assignment #1
AP/ADMS 4503 3.0 Derivative Securities
Winter 2010
Assignment #1 Solution
Instructions:
(1)
(2)
(3)
(4)
(5)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page o
ADMS4503 3.0
Assignment #1
AK/ADMS 4503 3.0 Derivative Securities
Winter 2009
Assignment #1
Instructions:
(1)
(2)
(3)
(4)
(5)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of this as
ADMS4503 3.0
Assignment #1
AK/ADMS 4503 3.0 Derivative Securities
Fall 2008
Assignment #1
Instructions:
(1)
(2)
(3)
(4)
(5)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of this assi
ADMS4503 3.0
Assignment #1
AP/ADMS 4503 3.0 Derivative Securities
Fall 2009
Assignment #1 Solution
Instructions:
(1)
(2)
(3)
(4)
(5)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of
ADMS4503 3.0
Assignment #1
AP/ADMS 4503 3.0 Derivative Securities
Fall 2009
Assignment #1
Instructions:
(1)
(2)
(3)
(4)
(5)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of this assi
ADMS4503 Derivative Securities
Winter 2014
York University
Faculty of Liberal Arts and Professional Studies
School of Administrative Studies
AP/ADMS 4503.03 Derivative Securities
MIDTERM EXAMINATION (Solution)
Sunday, February 9, 2014
10:00 - 12:00 p.m.
P
ADMS4503 Derivative Securities
Winter 2014
York University
Faculty of Liberal Arts and Professional Studies
School of Administrative Studies
AP/ADMS 4503.03 Derivative Securities
MIDTERM EXAMINATION
Sunday, February 9, 2014
10:00 - 12:00 p.m.
Prof. Nabil
Hedging, Volatility Smiles
and Monte Carlo
Chapters 19 & 20
ADMS 4503 Derivatives
Nabil Tahani
ADMS 4503 - Nabil Tahani
1
The Volatility
The volatility of an asset is the standard deviation of the
continuously compounded rate of return in 1 year
As an a
Introduction
Chapter 1
ADMS 4503 Derivatives
Nabil Tahani
ADMS 4503 - Nabil Tahani
1
The Nature of Derivatives
A derivative is an instrument whose value
depends on the values of other more basic
underlying variables such as stocks, currencies,
interest ra
Options strategies
This is designed by Nabil Tahani
ADMS 4503 Derivative Securities
School of Administrative Studies
York University
Version 1.0
March 16, 2005
Options strategies
Call 1
Nbr positions 1
Strike
100
Premium
30
25
20
15
10
5
0
Call 2
Call 3
P
Department of Languages, Literatures, and Linguistics
Faculty of Liberal Arts and Professional Studies
NOTICE OF CUPE UNIT II RECOMMENDED APPOINTMENTS
FALL/WINTER 2015
Date: 07/16/2015
Dear Applicant:
The hiring unit of the Department of Languages, Litera
ADMS4503 Derivative Securities
Summer 2016
Question 1 (10 marks)
The spot price of cocoa is $3,020 per metric ton and the storage cost is $40 per
semester per metric ton paid at the start of each semester. The 6-month futures
price of cocoa is $3,110 per
Question 1
Two-Peaks-and-a-Valley investment house has set up the following trading strategy:
One long call (strike price = $20)
Two short calls (strike price = $25)
Two long calls (strike price = $30)
Two short calls (strike price = $35)
The premiums rec
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
B
C
D
E
F
G
H
Standard Deviations
Sigma(X)
Sigma(Y)
2.56
2.89
Formulas
=STDEV(B6:B16)
=STDEV(D6:D16)
-0.17
=CORREL(B6:B16;D6:D16)
Computation of the Standard Deviation
and the Correlation using Excel
Data
AP/ADMS4503M
Midterm Exam Solutions Winter 2011
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS4503M
Derivative Securities
Midterm Exam Solutions
Question 1 (25 marks)
This question has three relat
AP/ADMS4503M
Assignment #2 Solutions
Winter 2011
Question 1 (35 marks)
This question has three independent parts, (a), (b), and (c) below.
(a) Use DerivaGem to value an American put option on a non-dividend-paying
stock when the stock price is $40.5, the
AP/ADMS 4503 3.0 Derivative Securities
Winter 2014
Assignment #2
Instructions:
(1)
(2)
(3)
(4)
(5)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of this assignment.
Staple your assig
ADMS4503 3.0
Quiz
Name: _
ID: _
Section: _
AK/ADMS 4503 3.0 Derivative Securities
Fall 2015
Quiz - Solution
TVM Questions
Question 1
The interest rate is 4% semi-annually compounded. What price are you willing to pay for
a 5-year annuity that pays $500 ev
ADMS4503 3.0 Assignment #1
APIADHS 4503 3.0 Derivative Securities
Winter 2013
Assignment #1 Solution
Instructions:
[1 This assignment is to be done Individually. You must sign and submit
the standard cover E supplied as the last page of this assignment.
S