Exercises
2.
You are given the following spot rates and forward premiums and
discounts.
Spot
Three months
forward
Six months
forward
GBP/SGD
GBP/CHF
2.2815 - 2.2825
2.2365 - 2.2370
68 - 64 pm
45 - 49 dis
118 - 112 pm
92 - 100 dis
dis' means discount and '
A
1
2
3
4
5
6
7
8
9
B
C
FACT 1: Lower bound on call price
Microsoft stock price, 15 August 2001, S
Option exercise price, X
Option exercise time, T (in years)
Interest rate, r
63
60
1
10%
Lower bound on call price
Dumb fact, call price, C0 > Max[S0 - X,0]
Lecture 1
Asset Return Calculations
1.1
Calculating Continuously Compounded Returns
Suppose that the stock price is Pt in month t. If we purchase stock
in month t, it will give the rights to a payoff Pt 1 plus Dt 1 in month
t+1, where Dt 1 denotes the div
Financial Derivatives
Note 2
Option Pricing Facts
In this chapter:
Definition of arbitrage
Some arbitrage conditions that set
boundaries for option prices
How do dividends affect option prices?
Why are American put options different?
What is the con
Financial Derivatives
Note 3
THE BLACK-SCHOLES FORMULA
What is the Black-Scholes
formula?
Gives value of call and put under
certain conditions
Complicated formula!
Buteasy to implement in Excel
Black Scholes
2
The Black-Scholes formula
Dont worry if you d
Financial Derivatives
Note 4
THE BINOMIAL OPTION PRICING MODEL
Binomial model?
Simplified method for pricing options
Can give insights into what option
prices mean
For advanced users
Mathematically equivalent to Black-Scholes
Can be used to price many kin
unequivocal answer. Instead, one will find a myriad of ideas and proposals, but
not a secure set of instruments.220
In the German legal doctrine mixed contracts are largely subdivided into three
types according to Thume221. To begin with there are the Ver
chooses to perform the carriage by at least two modes of transport does the
optional or unspecified contract become a multimodal contract270. So, although it
is not necessary that the contract specifically includes the agreement that more
than one mode of
low liability limit like inland waterway navigation, while planning to use another
mode like for instance
238 Van Beelen 1996, p. 73. Other, more recent
examples are OLG Bremen 11 January 2001, TranspR 2001, p. 166-169; Hof Den
Haag 30 August 2005, S&S 20
starred in a decision by the Court of Appeal; Adler v Dickson (Himalaya), [1954] 2
Lloyds Rep. 267.
MULTIMODAL TRANSPORT UNDER THE CMR
128
Because the contract in question comprised of more than just the transport
between Paris and Dublin, the application
present themselves. The first being to what extent the application of the CMR
depends upon a carrier having bound himself contractually to actually carry by
road and whether options in the contract to carry by another means are of
influence in this matter
235 Jedenfalls bis zum Inkrafttreten des
Transportreformgesetzes herrschte ber de Rechtsnatur des Vertrages ber die
multimodale Befrderung erhebliche Unsicherheit. Ramming 1999, p. 332. 236
Bydlinski 1997, p. 361. 237 Mankowski 1993, p. 215 and 216.
THE I
flexibility, their downside is the legal uncertainty they tend to generate. But, even
though the argument has been raised regarding this type of agreement that it is
accompanied by uncertainty for the cargo claimant as to what compensation for
damage to o
carriage between the consignor and the main carrier and that between the main
carrier and the subcarrier is not deemed a valid one338. When determining
whether a contract of carriage can be considered multimodal, that contract is the
only relevant contrac
contract of carriage to the effect that, where the contract did not expressly or
impliedly refer to a mode of transport and the voyage for which a given mode
would be used, the contract of carriage would be covered by the new instrument
where it could be
CMR in legal effect245. Under continental law substitution of the agreed mode of
transport is dealt with differently246. The application of general legal principles
such as pacta sunt servanda247 and the consensus principle lead to the
applicability of th
had been issued to cover the road carriage from Paris to Dublin, he pointed out
that such a note is not a necessity for the application of the CMR due to Article 4
CMR70. Chapter III on the conclusion and the performance of the contract of
carriage contai
2012
2
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[] .
Team Project .
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.
.
2.1 Problem 2.6 of McCabe, 7th ed.
2.2 Air at 3 atm and 110 C is owing at 1.0 m/s in a standard steel pipe of nominal
1
pipe size 2 -in and sched
:
2014 1
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9. 17 ()
:
12. .
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, .
1.1
1.2
:
1.3
1.1 T1 = 95 F T2 = 95 C.
(a) T1 =
K
C T2 =
(b) T = T2 T1 =
C =
K =
1.62 m/s2 .
(c) 1 kg
N
(d) 1 lb
lbf
100 C k = 206 W/m- C.
(e) 100 C k =
W/m-K
2013
2
2013. 10. 4 ()
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2.1 A throttling valve is often used to control the downstream pressure of a high pressure uid (such as steam or air) owing in a pipe. In the following diagram we
have a water manometer to measure the pressure drop
2012
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1.1 A simple U-tube manometer is installed across an orice meter. The manometer
is lled with mercury (specic gravity 13.6), and the liquid above the mercury is
carbon tetrachlorice (specic gravity 1.6). The manomet
2013
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2013. 9. 26 ()
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1.1 McCabe (Example) 1.2 q H
(dimensional analysis) . H =
M L2 t2 ( kg-m2 /s2 ) . b, e, g
.
q
DV
= [X]
A
b
cp
k
e
[Xg ]g
(1)
(a) [4] a, c, d, f b, e, g
(b) [2] X Xg .
(c) (1) (2) .
qD
D V cp V 2
=
,
,
AkT