Chapter 1: An Introduction to Derivatives
Chapter 2: Introduction to Forwards and Options
Derivatives Markets, technical summary
Louis Charbonneau
Concordia University
September 16, 2010
Chapter 1: An Introduction to Derivatives
Continuous interest rate c
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 Markets. For students who do not have a copy of the McDonal
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 manuscript is to help the reader to check his/her answers aga
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A Case for
Index Fund Portfolios
Investors holding
only index funds
have a better chance
for success
Authors
RICHARD A. FERRI, CFA
Portfolio Solutions, LLC
ALEX C. BENKE, CFP
Betterment
June 2013
A Case for Index Fund Portfolios
EXECUTIVE SUMMARY
The suc
CHAPTER 2
FINANCIAL MARKETS AND INSTRUMENTS
1.
2.
Money market securities are called cash equivalents because of their great
liquidity. The prices of money market securities are very stable, and they can be
converted to cash (i.e., sold) on very short not
CHAPTER 9
MARKET EFFICIENCY
1.
Zero. If not, one could use returns from one period to predict returns in later
periods and make abnormal profits.
2.
c. This is a predictable pattern in returns which should not occur if the weak-form
efficient market hypot
THE JOURNAL OF FINANCE VOL. LXIII, NO. 4 AUGUST 2008
Presidential Address: The Cost
of Active Investing
KENNETH R. FRENCH
ABSTRACT
I compare the fees, expenses, and trading costs society pays to invest in the U.S.
stock market with an estimate of what wou
Investment Analysis
1. Introduction
Dr. Denis Schweizer
Associate Professor of Finance
John Molson School of Business, Concordia University
Mailing address: 1455 de Maisonneuve Boulevard West, Montreal, Quebec H3G 1M8
Office:
MB 11.305
Phone:
+1(514)-848-
Financial Analysts Journal
Volume 62 Number 2
2006, CFA Institute
The Strategic and Tactical Value of
Commodity Futures
Claude B. Erb, CFA, and Campbell R. Harvey
Investors face numerous challenges when seeking to estimate the prospective performance of a
Investment Analysis
2. Commodity Markets
Dr. Denis Schweizer
Associate Professor of Finance
John Molson School of Business, Concordia University
Mailing address: 1455 de Maisonneuve Boulevard West, Montreal, Quebec H3G 1M8
Office:
MB 11.305
Phone:
+1(514)
FundamentalsofDerivativesMarkets(McDonald)
Chapter12 inancialEngineeringandSecurityDesign
F
12.1
MultipleChoiceQuestions
1) el,Inc.stockis$135.00pershare.Thecompanyssemi-annualdividendisforecastedas
M
$2.10pershare,indefinitely.Whatisthepriceofazero-coup
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 my mailbox in the MB Building 12th floor
Finance Depar
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, Montreal, Quebec H3G 1M8
Office:
MB 11.305
Phone:
+1(514)-84
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 Molson School of Business, Concordia University
Mailing add
Procter & Gamble
Derivatives Debacle
Magnitude Of The Loss
P&G strategies before loss
What Happened?
Loss
P&G strategies before loss
P&G used plain vanilla swaps as a hedge
Greatly over stated market swings
Right guesses meant profits and wrong guesses me
Chapter 7
Swap
Over-the-counter agreement between two companies to exchange cash flows in the future
Plain vanilla interest rate swap
A company agrees to pay cash flows equal to interest at a predetermined fixed rate on a notional
principal for a predeter
Chapter 12
Underlying assumptions of binomial trees
1. Stock prices follow a random walk
2. Arbitrage opportunities do not exist
One step binomial tree
= (fu fd)/(S0u S0d)
where = long position in nb. of shares
u>1
d<1
% increase = u 1, or
1d
f = erT [pf
Chapter 1
Derivative
Financial instrument whose value depends on (or derives from) the values of other, more basic,
underlying variables (e.g., price of traded assets)
Derivatives exchange
Market where individuals trade standardized contracts that have be
Chapter 5
Short selling
Selling an asset that is not owned
Broker carries out the shorting by borrowing the asset from another client and selling it in the market the
usual way
Eventually client has to close out the position by buying the asset
Investor t
Chapter 6
Day count
Defines the way in which interest accrues over time
Day count convention
Example
Actual/Actual (in
period)
U. S. Treasury bonds
30/360
U. S. Corporate and municipal bonds
Actual/360
U. S. Money market instruments
Euro-denominated and s
Chapter 10
Factors affecting stock option prices
1.
2.
3.
4.
5.
6.
Current stock price, S0
Strike price, K
Time to expiration, T
Volatility of the stock price,
Risk-free interest rate, r
Dividends that are expected to be paid
Effect on the price of a sto
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 heating oil
prices are highly correlated with jet fuel pric
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 the interest rate is 5%, what
must be the minimum insur
Chapter 4
LIBOR
London Interbank Offered Rate
Reference interest rate designed to reflect the rate of interest at which banks are prepared to make large
wholesale deposits with other banks
Assumed relevant risk-free rate rather than treasury rate
LIBID
Lo
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
Futures
CBOT, part of the CME Group
Canola
Futures
ICE Fu
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.9842
R Square
0.9686
Adjusted R Square
0.9655
Standard Error
0.3636
Observations
12
Square root of the R Square
0.9842
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
1
10
11
SS
40.8252
1.3221
42
Fina 412/2/A Options and Futures Assignment 1- Due date October 12, 2016
Instructions:
1. You can submit the assignment on an individual or group basis.
2. Please use a cover page and put down the name(s) of the student(s) and student id
number(s) in the
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. Please use a cover page and put down the name(s) of the stu
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 months currently sells for $94.84. A two-year bond that wil