Chapter 21
Value at Risk
Options, Futures, and Other Derivatives, 8th
Edition, Copyright John C. Hull 2012
1
The Question Being Asked in VaR
What loss level is such that we are
X% confident it will not be exceeded
in N business days?
Options, Futures, an
Monte Carlo Simulation and
American Options
The least squares approach
Consider a 3-year put option where the initial as
set price is 1.00, the strike price is 1.10, the riskfree rate is 6%, and there is no income
Options, Futures, and Other Derivatives
Chapter 19
Volatility Smiles
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
Put-Call Parity Arguments
Put-call parity p +S0e-qT = c +X er T holds
regardless of the assumptions made about
the stock price distribution
It
Chapter 22
Estimating Volatilities and
Correlations
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
Standard Approach to Estimating Volatility (page
498)
Define n as the volatility per day between day
n-1 and day n, as
Chapter 20
Basic Numerical Procedures
Options, Futures, and Other Derivatives, 8 th Edition,
Copyright John C. Hull 2012
1
Approaches to Derivatives
Valuation
Trees
Monte Carlo simulation
Finite difference methods
Options, Futures, and Other Derivatives,
Chapter 14
The Black-Scholes-Merton
Model
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
The Stock Price Assumption
Consider a stock whose price is S
In a short period of time of length t,
the return on the stock is no
Chapter 18
The Greek Letters
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
Example
A bank has sold for $300,000 a European call
option on 100,000 shares of a nondividend
paying stock
S0 = 49, K = 50, r = 5%, = 20%,
T
Chapter 16
Options on Stock Indices
and Currencies
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
European Options on Stocks
Providing a Dividend Yield
We get the same probability
distribution for the stock price at
ti
Chapter 13
Wiener Processes and Its
Lemma
Options, Futures, and Other Derivatives, 8th Edition,
Copyright John C. Hull 2012
1
Stochastic Processes
Describes the way in which a variable such
as a stock price, exchange rate or interest
rate changes through
In late 2005, Robert Iger took over as CEO of Disney Company. And he turned his attention to
Pixar, the animation studio with which Disney had worked since 1991 and was responsible for
producing hits such as Toy Story and Finding Nemo. Disney's own animat
Q1. Outline the relevant trends in the entertainment industry in US for November 2005, which would
impact the operations of Walt Disney, Pixar and their relationship.
Answer: Following were the trends in the entertainment industry:
1. Increased use of Tec
DISNEYS ACQUISITION OF PIXAR
Mandar Gadkari- 12
Omkar Gokhale-14
Rhea Mansukhani-31
Deepika Punjabi-42
Jeetu Sachdev-47
INDEX
Pre-Acquisition Structure and Acquisition at a
glance
Companys history, Strength, and Position
(Disney and Pixar)
Acquisition str
Chapter Two
Financial Markets and Institutions
This chapter contains 49 multiple-choice questions, 20 short problems and 10 longer problems.
Multiple Choice
1. A market that has no one specific location is termed a(n) _ market.
(a)
(b)
(c)
(d)
over-the-co
Chapter Thirteen
Capital Market Equilibrium
This chapter contains 43 multiple choice questions, 19 short problems, and 9 longer problems.
Multiple Choice
1. If one holds a diversified portfolio in which securities are held in the same relative proportions
Chapter Six
The Analysis of Investment Projects
Multiple Choice
1. The objective of a firm's management is to only undertake the projects that _ the
market value of shareholders' equity.
a)
b)
c)
d)
decrease
do not decrease
change
do not change
Answer: (b
Chapter Twelve
Portfolio Opportunities and Choice
This chapter contains 30 multiple choice questions, 10 short problems, and 5 longer problems.
Multiple Choice
1. A person's wealth portfolio consists of all ones _ and _.
(a)
(b)
(c)
(d)
retained earnings;
Chapter Three
Managing Financial Health and Performance
Multiple Choice
1. For a corporation, net worth is called _.
(a) net income
(b) assets
(c) stockholders equity
(d) retained earnings
Answer: (c)
2. On a companys published balance sheet, the value of
Chapter Four
Allocating Resources Over Time
Multiple Choice
1. _ is the process of going from present value to future value, whereas _ is
finding the present value of some future amount.
(a)
(b)
(c)
(d)
Discounting; compounding
Compounding; annualizing
Co
Chapter Eleven
Hedging, Insuring, and Diversifying
This chapter contains 35 multiple choice questions, 10 short problems and 5 longer problems.
Multiple Choice
1. One is said to _ a risk if reducing ones exposure to a loss requires giving up the
possibili
Chapter Ten
Principles of Risk Management
This chapter contains 30 multiple choice questions, 10 short problems, and 5 longer problems.
Multiple Choice
1. _ that matters because if affects people's welfare. _ exists whenever one does not
know for sure wha