FINA 412
Assignment 1 Solutions
1. An airline expects to buy 3.5 million gallons of jet fuel in one month and decides to
hedge the price risk. Since there are no futures contracts on jet fuel and heat
Finance 412
Options, Futures and other Derivatives
Sample (mini) Midterm Exam
May, 2016
I. Rakita
Name (please print):
Student I.D._
Time available: 1 hour 10 minutes or so
Instructions:
Closed book e
50 i Li +105 ASS/4 7-14 1442/17 I
my
Fina 412/2111 Options and Futures - Assignment 1- Due date October 12, 2016
Instructions:
1. You can submit the assignment on an individual or group basis.
2. Plea
FINA 412
Assignment 2 Solutions
1. A non-dividend paying stock, XYZ, is currently trading at $50. Consider an American put option
on this stock with a strike price of $55 and 6 months to maturity. If
MFIN6003 Derivative Securities
Dr. Huiyan Qiu
End-of-chapter Questions for Practice (with Answers)
Following is a list of selected end-of-chapter questions for practice from McDonalds
Derivatives Mark
Solutions to Practice Problems
Interest Rates (Ch 4)
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 mont
A Discussion of Financial Economics in Actuarial Models
A Preparation for the Actuarial Exam MFE/3F
Marcel B. Finan
Arkansas Tech University
c All Rights Reserved
Answers Key
2
3
The answer key manusc
A Discussion of Financial Economics in
Actuarial Models
A Preparation for the Actuarial Exam
MFE/3F
Marcel B. Finan
Arkansas Tech University
c All Rights Reserved
Preliminary Draft
Last updated
Februa
FundamentalsofDerivativesMarkets(McDonald)
Chapter8 waps
S
8.1
MultipleChoiceQuestions
1) ivenzero-couponbondyieldsare5.2%,5.5%,and5.8%inyears1,2,and3,respectively,
G
calculatetheprepaidswappriceforc
FundamentalsofDerivativesMarkets(McDonald)
Chapter10 inomialOptionPricing
B
10.1
MultipleChoiceQuestions
1) stockiscurrentlysellingfor$22.00pershare.Ignoringinterest,determinetheintrinsic
A
valueofac
FundamentalsofDerivativesMarkets(McDonald)
Chapter13 orporateApplications
C
13.1
MultipleChoiceQuestions
1) ewillassumethatNathans,Inc.has3-yearzero-coupondebtoutstanding,whichwillpay
W
$200atmaturit
Investment Analysis
1. Introduction Usage of Fama-French Factors to Assess the
Performance of Investment Products
(Fama-French CROCI.xlsm)
Dr. Denis Schweizer,
Associate Professor of Finance
John Mols
Stock Information
Number of
Stocks in
million
DATE \ CUSIP
1/2/2008
1/3/2008
1/4/2008
1/7/2008
1/8/2008
1/9/2008
1/10/2008
1/11/2008
1/14/2008
1/15/2008
1/16/2008
1/17/2008
1/18/2008
1/22/2008
1/23/20
Investment Analysis
3. Private Equity
Dr. Denis Schweizer
Associate Professor of Finance
John Molson School of Business, Concordia University
Mailing address: 1455 de Maisonneuve Boulevard West, Montr
YES
TS
HRC
CLH0410,CLH101 S
P
01/01/2009
today
Start
1/1/2009
End
9/23/2015
Frequency D
Name
CME-LEAN HOGS
CME-LEAN HOGS
CME-LEAN HOGS
CME-LEAN HOGS
CME-LEAN HOGS
CME-LEAN HOGS
CME-LEAN HOGS
CME-LEAN
Investment Analysis
Dr. Thomas Kaspereit
Assignment 1
Time:
Starting at 1 p.m. on October 2nd, 2015 (Friday) until 9 p.m. on October 6th, 2015
(Tuesday)
Delivery:
1) Return the completed assignment to
FundamentalsofDerivativesMarkets(McDonald)
Chapter11 heBlack-ScholesFormula
T
11.1
MultipleChoiceQuestions
1) hatisthepriceofa$35strikecall?AssumeS=$38.50,=0.25,r=0.06,thestockpaysno
W
dividendandthe
FundamentalsofDerivativesMarkets(McDonald)
Chapter1IntroductiontoDerivatives
1.1
MultipleChoiceQuestions
1) hichofthefollowingisnotaderivativeinstrument?
W
A) ontracttosellcorn
C
B) ptionagreementtob
A
FORMULA SHEET
FINA 412
Basis Risk
S1 = Spot price at time t1, S2 = Spot price at time t2, F1 = Futures price at time t1, F2 = Futures price at time
t2, b1 = Basis at time t1, b2 = Basis at time t2
B
1. A speculator can choose between buying 100 shares of a stock for $40 per share and
buying 1000 European call options on the stock with a strike price of $45 for $4 per
option. For the second altern
FundamentalsofDerivativesMarkets(McDonald)
Chapter2 nIntroductiontoForwardsandOptions
A
2.1
MultipleChoiceQuestions
1) hespotpriceofthemarketindexis$900.A3-monthforwardcontractonthisindexis
T
priceda
Formulas for Midterm
Suppose that Rc is an annual interest rate with continuous compounding and Rm is an annual
interest rate with compounding m times per year. Then
(
)
Rm
Rc = m ln 1 +
m
Rm = m(eRc
Binomial trees
ONE STEP BINOMIAL TREES
European call
No-arbitrage valuation
Assume that the stock pays no dividends
Read problem 13.1.
Stock values
The length of the time period between T-1 and T is 1
Meeting 2 Answers to problems done in class.
Chapter 1 class notes, Page 7
Problem 1.9. Please see the excel file that I have placed on moodle for the week 6 September
to 12 September.
Arbitrage betwe
Answers to problems done in class in Lecture 1
Chapter 1 class notes
Pages 1-2
On which North American exchange are the following derivatives traded?
Underlying
Type of
Exchange
derivative
Soybeans
Fu
Binomial trees
ONE STEP BINOMIAL TREES
European call
No-arbitrage valuation
Assume that the stock pays no dividends
Read problem 13.1.
Stock values
The length of the time period between T-1 and T is 1