Case Report: Financial Reporting Problems at Molex, Inc. (A)
Accounting
Dr. Chao Chen
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1. What was the financial reporting problem that arose at Mo
Assignment 8 (Nov. 25, 2015)
1. Q: Which of the following can be estimated for an American option by constructing a single
binomial tree: delta, gamma, vega, theta, rho?
A: Delta, gamma, and theta can
Assignment 7 (Oct. 30, 2015)
1. Q: Calculate the delta of an at-the-money six-month European call option on a
non-dividend-paying stock when the risk-free interest rate is 10% per annum and the stock
Assignment 6 (Sep. 30, 2015)
1. Q: Show that the Black-Scholes formulas for call and put options satisfy put-call parity.
A: From the Black-Scholes equations
p+S0=Ke-rtN(-d2)-S0N(-d1)+S0
Because 1-N(-
Assignment 5 (Sep. 23, 2015)
1.
Q: A company's cash position, measured in millions of dollars, follows a generalized Wiener
process with a drift rate of 0.5 per quarter and a variance rate of 4.0 per
Assignment 4 (Sep. 18, 2015)
1.
Q: A European call option and put option on a stock both have a strike price of $20 and an
expiration date in three months. Both sell for $3. The risk-free interest rat
Assignment 3 (Sep 16, 2015)
1.
Q: It is July 30, 2009. The cheapest-to-deliver bond in a September 2009 Treasury
bond futures contract is a 13% coupon bond, and delivery is expected to be made on
Sept
Assignment 2 (Sep.11, 2015)
1
Q: A company has a $20 million portfolio with a beta of 1.2. It would like to use futures contracts
on the S&P 500 to hedge its risk. The index future is currently standi
Assignment 1 (Sep. 9, 2015)
1.
a)
Q: Explain carefully the difference between hedging, speculation, and arbitrage.
A: A trader is hedging when he has an exposure to the price of an asset and takes a p
Homework
Assignment 9
Dec 16, 2015
1. The spread between the yield on a three-year corporate bond and the yield on a similar
risk-free bond is 50 basis points. The recovery rate is 30%.
a. Estimate
Homework
Assignment 8
Nov. 25, 2015
1) Which of the following can be estimated for an American option by constructing a single
binomial tree: delta, gamma, vega, theta, rho?
2) A one-year American
Homework
Assignment 7
Oct. 30, 2015
1) Calculate the delta of an at-the-money six-month European call option on a
non-dividend-paying stock when the risk-free interest rate is 10% per annum and the
Homework
Assignment 6
Sep. 30, 2015
1) Show that the Black-Scholes formulas for call and put options satisfy put-call parity.
2) Consider an option on a non-dividend-paying stock when the stock pri
Homework
1)
Assignment 2
Sep. 11, 2015
A company has a $20 million portfolio with a beta of 1.2. It would like to use futures
contracts on the S&P 500 to hedge its risk. The index future is current
Homework
Assignment 5
Sep. 23, 2015
1) A company's cash position, measured in millions of dollars, follows a generalized Wiener
process with a drift rate of 0.5 per quarter and a variance rate of 4
Homework
Assignment 4
Sep. 18, 2015
1) A European call option and put option on a stock both have a strike price of $20 and an
expiration date in three months. Both sell for $3. The risk-free inter
Homework
Assignment 3
Sep. 16, 2015
1) It is July 30, 2009. The cheapest-to-deliver bond in a September 2009 Treasury bond
futures contract is a 13% coupon bond, and delivery is expected to be made
Homework
1)
Assignment 1
Sep. 09, 2015
Answer the following questions:
a) Explain carefully the difference between hedging, speculation, and arbitrage.
b) What is the difference between the over-th
Technical Note No. 17*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
The Process for the Short Rate in an HJM Term Structure Model
This note considers the relationship between the
Technical Note No. 16*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
Construction of an Interest Rate Tree with
Non-Constant Time Steps and Non-Constant Parameters
Consider a one-f
Technical Note No. 15*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
Valuing Options on Coupon-Bearing Bonds in a One-Factor Interest Rate Model
Jamshidian shows that the prices of
Technical Note No. 14*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
The HullWhite Two Factor Model
As explained in Section 30.3 Hull and White have proposed a model where the risk
Technical Note No. 12*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
The Calculation of the Cumulative Non-Central Chi Square Distribution
We present an algorithm proposed by Ding
Technical Note No. 10*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
The CornishFisher expansion to estimate VaR
As shown in equation (21.7) of the book, i s and ij s can be dened
Technical Note No. 9*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
Generalized Tree Building Procedure
This note describes a general procedure for constructing a trinomial tree fo
Technical Note No. 7*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
Dierential Equation for Price of a Derivative
on a Futures Price
Suppose that the futures price F follows the pr
Technical Note No. 5*
Options, Futures, and Other Derivatives, Eighth Edition
John Hull
Calculation of Cumulative Probability in Bivariate Normal Distribution
Dene M (a, b; ) as the cumulative probabi