Assignment 1 Solutions Ravi Mateti
FINA 455
You can thank me later
1. Is LIOBR generally higher, lower, or the same as the repo rate?
A. Higher
B. Lower
C. Same
Solution:
LIBOR is the rate for unsecured loans (no collateral). This is the rate
Assignment II Solutions Ravi Mateti
FINA 455
You can thank me later
Use the following discount factors to answer questions 1 and 2.
T
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6.50
7.00
7.50
8.00
Z(0, T )
0.9940
0.9880
0.9740
0.9620
0.94
Lecture10
RelativeStrength&Flowof
Funds
FINA455PBuildingaProfitableTradingStrategy
(UsingTechnicalAnalysis)
RelativeStrength
*Exceptions: Federal Reserve evaluation model, 3 steps and a
stumble.
One of the oldest approaches of technical analysis, and stil
College Level
Introduction
to Technical
Analysis
Lecture 3
Objectives
trend analysis
Trends The Basics
Indentify trends as paramount to profits in securities
l
Recognize an uptrend, downtrend and a trading range
l
Understand the concept of support a
Lecture4
Patternrecognition
FINA455PBuildingaProfitableTradingStrategy
(UsingTechnicalAnalysis)
Chapter15&16
Lets recap what we have
learnt so far:
Uptrend, downtrend and trading
range
Support, resistance lines and
zones
Pullbacks/throwbacks
Stops; entry,
Technical Strategy Development
using Backtesting BT<Go> - A Tutorial - v1.7
This page is intentionally blank
Page 2
WHAT IS BACKTESTING? . 5
BENEFITS OF USING A TRADING STRATEGY . 5
DEVELOPING A TECHNICAL TRADING STRATEGY . 5
RUNNING BT<GO> . 6
CREATING A
Assignment 1
FINA 455F
Please show your work for numerical questions from 1 to 20.
1. Is LIOBR generally higher, lower, or the same as the repo rate?
A. Higher
B. Lower
C. Same
2. What is the 1-month return on capital for a trader who entered into a one-m
Solution Manual
to accompany the textbook
Fixed Income Securities:
Valuation, Risk, and Risk Management
by Pietro Veronesi
Chapters 2 - 8
Version 1
Date: October, 2009
Author: Anna Cieslak, Javier Francisco Madrid
Solutions to Chapter 2
Exercise 1.
Comput
Problem Set 5
1. (To be solved individually)
Consider a commodity with the price process Pt following
Pt P = (Pt1 P ) + t ,
t = 1, 2, ., T,
| < 1
2
where t are IID N (0, ) shocks.
You can trade in the risk-free asset with constant interest rate rf and in
Name _
Section _
ACCOUNTING
SUMMER 2004
FINAL EXAM
Exam Guidelines:
- You have 120 minutes to complete the exam. Please use your time efficiently.
- This exam contains 11 pages. Please make sure your copy is not missing pages.
- If necessary, make assumpt
Problem Set 1
1. (To be solved individually) Consider a one-period model of the market. Assume there
are three possible states at time t = 1: 0, 1, and 2, all equally likely. There are two
assets traded in this market: the stock and the risk-free bond. A
The Economics of the Private Equity Market
Summary: The private equity market has become an important source of funds for startup firms, private middle-market firms, firms in financial distress, and public firms
seeking buyout financing. Between 1980 and
Name _
Section _
ACCOUNTING
SUMMER 2004
FINAL EXAM
Exam Guidelines:
- You have 120 minutes to complete the exam. Please use your time efficiently.
- This exam contains 11 pages. Please make sure your copy is not missing pages.
- If necessary, make assumpt
Problem Set 6
1. (To be solved in a group) Suppose we observe returns of N trading strategies over the
same time period, xn , n = 1, ., N , t = 1, ., T . We want to develop a test of the null
t
hypothesis that all n strategies produce the same average ret
Problem Set 3
1. (To be solved in a group) Consider the Black-Scholes model for stock returns, with
constant interest rate r and constant drift and diusion of stock returns, and .
Your objective is to price and replicate an exotic European option with the
Problem Set 2
1. (To be solved in a group) This problem illustrates how to extend a static model like
CAPM to a dynamic setting, allowing us to price risky streams of cash ows.
Time is discrete, t = 0, 1, 2, . Consider a project with free cash ows Ct foll
Problem Set 4
1. (To be solved in a group) Consider the Black-Scholes model with stock returns following
dSt
= dt + dZt
St
Assume that the interest rate is r and the stock pays no dividends. Consider an Asian
call option on the stock paying
max(0, S T K)
FINA-455 Building a Profitable Trading System (using technical analysis)
Final Exam topic weights, FINA 455P Fall 2016
Format:
100 multiple choice questions in 3 hours
50% weighting of your final course grade
Similar style to the midterm
The final Exam wi