Assignment Cover Sheet
Referencing Style
Chicago referencing style:
Drummond, M. 2010. Opes Prime directors face criminal action. The Australian
Financial Review, 12 January 2010.
Given name
Yizhen
Word Cout : 1263
Surname
Jia
Student number
18194357
Emai
ASSIGNMENT COVER SHEET
Name: Abraham Deng Achol
Student ID
- 16519783-(If the given name by which your tutor knows you, differs from your name on University records, please indicate BOTH names)
Unit Name & Number: INVE3000V Introduction to
Derivative Secu
Fred ordered the rubber on behalf of the business. That business now operates as a company, other
than as a sole tradership. In determining Freds potential personal liability, we must consider the
nature of companies and also the type of company here, in
Fred ordered the rubber on behalf of the business. That business now operates as a company, other
than as a sole tradership. In determining Freds potential personal liability, we must consider the
nature of companies and also the type of company here, in
Fred ordered the rubber on behalf of the business. That business now operates as a company, other
than as a sole tradership. In determining Freds potential personal liability, we must consider the
nature of companies and also the type of company here, in
Fred ordered the rubber on behalf of the business. That business now operates as a company, other
than as a sole tradership. In determining Freds potential personal liability, we must consider the
nature of companies and also the type of company here, in
Fred ordered the rubber on behalf of the business. That business now operates as a company, other
than as a sole tradership. In determining Freds potential personal liability, we must consider the
nature of companies and also the type of company here, in
Fred ordered the rubber on behalf of the business. That business now operates as a company, other
than as a sole tradership. In determining Freds potential personal liability, we must consider the
nature of companies and also the type of company here, in
Assignment 1 (assessment worth 10%)
Due Date 28 April at 4pm
[Submission will be strictly observed. Make submission as per unit outlie suggests]
Question 1
An Australian investor holds a one month short forward position on USD. The contract calls for the
MIS Finance (Portfolio Management) 301
Practice Questions for Mid-Semester Test [Part 7]
Question 1
A risk free T-bill pays 6 percent rate of return. Would risk-averse investors invest in a risky
portfolio that pays 12 percent with a probability of 40 per
MIS Finance (Portfolio Management) 301
Practice Questions for Mid-Semester Test [Part 9]
Question 1
Which one of the following statements about risk is true? [B]
a) If all investors were risk adverse there would be no positive risk premium
b) The variance
MIS Finance (Portfolio Management) 301
Practice Questions for Mid-Semester Test [Part 3]
C
1. In the expected return standard deviation graph, which one of the following statements
is true regarding the indifference curve of a risk averse investor ?
.
a.
MIS Finance (Portfolio Management) 301
Practice Questions for Mid-Semester Test [Part 8]
Question 1
Assuming a 50% chance of a +20% rate of return on your portfolio and a 50% chances of a -20% rate
of return, what is the standard deviation of your portfol
MIS Finance (Portfolio Management) 301
Practice Questions for Mid-Semester Test [Part 6]
1. RedHot stock has the following probability distribution of expected prices one year from now:
State
1
2
3
Probability
0.25
0.40
0.35
Price
$50
$60
$70
If you buy R
EQUITY VALUATION
FINANCIAL INSTRUMENTS AND MARKETS
Learning Outcomes
Evaluate whether a security, given its current market price and a
value estimate, is over-valued, fairly-valued, or under-valued by the
market.
Calculate and interpret the intrinsic valu
Introduction to Binomial
Trees
Chapter 12
Fundamentals of Futures and Options Markets, 8th Ed, Ch 12, Copyright John C. Hull 2013
1
Introduction
The
binomial model can be used to value
both European and American vanilla
options.
The
binomial tree is a d
Properties of Stock
Options
Chapter 10
Fundamentals of Futures and Options Markets, 8th Ed, Ch 10, Copyright John C. Hull 2013
1
Notation
c : European call
option price
p : European put
option price
S0 : Stock price
today
K : Strike price
T : Life of opt
Suppose that the spot price of the Canadian dollar is U.S. $0.95 and that the Canadian
dollar/U.S. dollar exchange rate has a volatility of 8% per annum. The risk-free rates of
interest in Canada and the United States are 4% and 5% per annum, respectively
Show that if
C
is the price of an American call with exercise price
stock paying a dividend yield of
q
, and
P
K
and maturity
T
on a
is the price of an American put on the same stock
with the same strike price and exercise date,
S0e qT K C P S 0 Ke rT
whe
An index currently stands at 696 and has a volatility of 30% per annum. The risk-free rate of
interest is 7% per annum and the index provides a dividend yield of 4% per annum. Calculate
the value of a three-month European put with an exercise price of 700
Explain why a short hedgers position improves when the basis strengthens unexpectedly and
worsens when the basis weakens unexpectedly.
The basis is the amount by which the spot price exceeds the futures price. A short hedger is long the
asset and short fu
A stock price is currently $40. It is known that at the end of three months it will be either $45
or $35. The risk-free rate of interest with quarterly compounding is 8% per annum. Calculate
the value of a three-month European put option on the stock with
Explain why the forward interest rate is less than the corresponding futures interest rate
calculated from a Eurodollar futures contract.
Suppose that the contracts apply to the interest rate between times and . There are two
T1
T2
reasons for a differenc
A stock price is currently $50. Over each of the next two three-month periods it is expected to
go up by 6% or down by 5%. The risk-free interest rate is 5% per annum with continuous
compounding. What is the value of a six-month European call option with
The price of a European call that expires in six months and has a strike price of $30 is $2.
The underlying stock price is $29, and a dividend of $0.50 is expected in two months and
again in five months. The term structure is flat, with all risk-free inte
Explain carefully the arbitrage opportunities in Problem 10.16 if the American put price is
greater than the calculated upper bound.
If the American put price is greater than $3.00 an arbitrageur can sell the American put, short
the stock, and buy the Ame
On July 1, an investor holds 50,000 shares of a certain stock. The market price is $30 per
share. The investor is interested in hedging against movements in the market over the next
month and decides to use the September Mini S&P 500 futures contract. The
Valuing Stock Options:
The Black-Scholes-Merton
Model
Chapter 13
Fundamentals of Futures and Options Markets, 8th Ed, Ch 13, Copyright John C. Hull 2013
1
The Black-Scholes-Merton
Random Walk Assumption
Consider
a stock whose price is S
In a short perio