Final Practice Questions
1. What is the lower bound for the price of a 3-month European call option on a nondividend-paying stock when the stock price is $25, the strike price is $22, and the
risk-free interest rate is 5% per annum? Answer: (3)
(1) $0
(2)
Final Practice Questions
1. What is the lower bound for the price of a 3-month European call option on a nondividend-paying stock when the stock price is $25, the strike price is $22, and the
risk-free interest rate is 5% per annum?
(1) $0
(2) $3.00
(3) $
EF4420 Derivative Analysis and Advanced Investment Strategies - Semester B 2016/2017
EF4420 Derivative Analysis and Advanced Investment Strategies
Problem Set 5
This problem set is to be turned in by Wednesday, March 24th 11:00 pm. Please present your wo
EF4420 Derivative Analysis and Advanced Investment Strategies - Semester B 2016/2017
EF4420 Derivative Analysis and Advanced Investment Strategies
Problem Set 1
This problem set is to be turned in by Friday, February 3rd 11:00 pm. Please present your wor
EF4420 Derivative Analysis and Advanced Investment Strategies - Semester B 2016/2017
EF4420 Derivative Analysis and Advanced Investment Strategies
Problem Set 4
This problem set is to be turned in by Wednesday, March 1st 11:00 pm. Please present your wor
EF4420 Derivative Analysis and Advanced Investment Strategies - Semester B 2016/2017
EF4420 Derivative Analysis and Advanced Investment Strategies
Problem Set 1
This problem set is to be turned in by Friday, February 3rd 11:00 pm. Please present your wor
Lecture 7. Introduction to Options
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
10 March, 2017
1 / 25
Lecture Outline
Valuation of Swap
Introduction to Options
Option terminology
Payo and profit
2 / 25
Valuation of Sw
Lecture 11. Binomial Trees II
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
7 April, 2017
1 / 20
Lecture Outline
Binomial Models
S0, K, T, r, u, d
N-Step Binomial Model
American Options
Options on Dividend-Paying Stock
EF4420 Derivative Analysis and Advanced Investment Strategies - Semester B 2016/2017
EF4420 Derivative Analysis and Advanced Investment Strategies
Problem Set 8
This problem set is to be turned in by Wednesday, April 21st 11:00 pm. Please present your wo
EF4420 - Derivative Analysis and Advanced Investment Strategies
Problem Set 7
Group Name: Pikachu
Student Name:
CHAN Chun Yin
CHAN Yam Tsz
CHENG Yu Hsiang
LIU Chia Hsin
Student ID:
53824150
53807687
54367614
54367595
1. One-Step Binomial Model
Consider a
Lecture 8. Properties of Stock Options
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
17 March, 2017
1 / 32
Lecture Outline
More on Option Terminology
Factors Aecting Option Prices
Lower/Upper Bounds for Option Prices
P
EF4420 Derivative Analysis and Advanced Investment Strategies - Semester B 2016/2017
EF4420 Derivative Analysis and Advanced Investment Strategies
Problem Set 6
This problem set is to be turned in by Wednesday, March 31st 11:00 pm. Please present your wo
Lecture 9. Properties of Stock Options II
Trading Strategies Using Options
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
24 March, 2017
1 / 37
Lecture Outline
Properties of Stock Options II
Lower/Upper Bounds for Options
Lecture 10. Binomial Trees
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
31 March, 2017
1 / 32
Lecture Outline
Binomial Models
One-step binomial model
Two-step binomial model
N-step binomial model
in DCF, we learn the
How derivatives are used: hedge risks, speculate, lock in an arbitrage profit, change the nature of a liability/ investment |
3 types of traders Hedgers use derivatives to reduce the risk that they face from potential future movements in a market variable
A derivative: an instrument whose value depends on the values of other, more basic, underlying variables.
Ways used: hedge risks, speculate, lock in an arbitrage profit, change the nature of a liability/ investment
Forward Contracts (traded in OTC markets
Section A (40%)
1)
Which of the following will not lead to IBM issuing more shares
(a). Some executive stock options are exercised
(b). Some exchange-traded options are exercised
(c). Some warrants on IBM are exercised
(d). Some of IBMs convertible debt i
EF4313 Corporate Finance
Lecture 2 - Long-term and short term financing of th
firm (RWJ, Ch 15, 26)
Andrew Carverhill
January 17, 2017
1
2
If the firm has $15 million debt, how much does each shareholder receive?
Answer: maxcfw_0, (10 15)/5 = $0 million.
CS3402 Tutorial No. 8 (Week13):
1. Show that the two-phase locking (2PL) protocol ensures (conflict) serializability.
(hint: you may prove this by showing that any non-serializable schedule S is not 2PL.
E.g., assume such a cycle exists: T0 -> T1 -> T2 ->
Form 2B
City University of Hong Kong
Information on a Course
offered by the Department of Economics and Finance
with effect from Semester A in 2014 / 2015
Part I
Course Title: Derivatives and Risk Management
Course Code: EF5050
Course Duration: 1 semester
Lecture 6. Interest Rate Derivatives
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
24 February, 2017
1 / 28
Lecture Outline
Forward Rate Agreements
Determination of the fixed rate on FRA
Valuation of FRA
Swaps
Determi
CHAPTER 6
Interest Rate Futures
Practice Questions
Problem 6.8.
The price of a 90-day Treasury bill is quoted as 10.00. What continuously compounded
return (on an actual/365 basis) does an investor earn on the Treasury bill for the 90-day
period?
The cash
CHAPTER 4
Interest Rates
Practice Questions
Problem 4.8.
The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0. A 1.5-year bond
that will pay coupons of $4 every six months currently sells for $94.84. A two-year bond that
will pay cou
Lecture 4. Determination of Forward
and Futures Prices I
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
10 February, 2017
1 / 24
Lecture Outline
Setting
No Arbitrage Argument
Short Selling
Determination of Forward Price
EF4420 Derivative Analysis and Advanced Investment Strategies - Semester B 2016/2017
EF4420 Derivative Analysis and Advanced Investment Strategies
Problem Set 3
This problem set is to be turned in by Friday, February 17th 11:00 pm. Please present your wo
Lecture 3. Hedging Strategies Using Futures II
& Interest Rates
EF4420. Derivative Analysis and Advanced Investment Strategies
Dr. Yongjin Kim
3 February, 2017
1 / 32
Lecture Outline
Hedging Using Futures
Cross Hedge
Hedge Using Stock Index Futures
In