ASSIGNMENT 1
BU 623: Fixed Income Analysis Winter 2016
(June 17th, 2016 Fri 4 pm due under my office door)
Dr.Madhu Kalimipalli
Instructions:
1. Your answers must be typed and stapled when submitted. You should number your
pages. Clearly indicate the name

ASSIGNMENT 1
BU 623: Fixed Income Analysis Winter 2016
(June 17th, 2016 Fri 4 pm due under my office door)
Dr.Madhu Kalimipalli
Instructions:
1. Your answers must be typed and stapled when submitted. You should number your
pages. Clearly indicate the name

ASSIGNMENT 1- Solutions
BU 623: Fixed Income Analysis Winter 2016
(August 3rd , 2016 Wed 4 pm due under my office door)
Dr.Madhu Kalimipalli
Instructions:
1. Your answers must be typed and stapled when submitted. You should number your
pages. Clearly indi

BU 623: Derivatives and Financial Risk Management
Instructor: Dr. Madhu Kalimipalli Ph.D, Associate Professor (Finance) and Equitable Life of
Canada Fellow
Office: SBE 3272
E-mail: [email protected] [Use BU713 or BU449 in the email title]
Phone: (519) 8

Mid-term-formulae
Midterm-Exam Formulae
1
Conversion Formula
Rc ln 1 R where R is annually comp i rate
Midterm-Exam Formulae
2
No Dividends:
bounds calls:
European
Max(0, St Xe
St
American
rT
No Dividends:
bounds puts:
European
Max(0, Xe rT -St ) p
)

Conversion Formula
Rc ln1 R where R is annually compunded interest rate
Midterm-Exam Formulae
1
No Dividends:
bounds calls:
European
Max(0, St Xe
St
American
rT
No Dividends:
bounds puts:
European
Max(0, Xe rT -St ) p
) c
Max(0, St X) C St
Xe rT
Ame

ASSIGNMENT 1
BU 623: Fixed Income Analysis Winter 2016
(August 3rd , 2016 Wed 4 pm due under my office door)
Dr.Madhu Kalimipalli
Instructions:
1. Your answers must be typed and stapled when submitted. You should number your
pages. Clearly indicate the na

Derivatives and Risk Management (BU 623 )
Solutions to Mid-term Exam June 28th
Dr.Madhu Kalimipalli
Multiple choice questions (Questions 1 to 15: 1 mark each; Questions 16 to 20 : 3
marks each)
1. You have the following information
European put= $5
S0= $5

BU 623 :
Instructions for
Case presentations
Dr.Madhu Kalimipalli
General Guidelines:
Time Limit:
20 minutes for each team followed by about 10 min of questions from the
audience and the instructor
Pl email me a soft copy of the presentation on the day of

Chapter 3
Hedging Strategies
Using Futures
M A D H U K A L I M I PA L L I
Chapter 11
Agenda
1. Long and
short hedges
5. Rolling the
hedge
forward
4. Beta
hedging
using Index
futures
2
2.Basis risk
3. Minimum
variance
hedging
Chapter 11
Long & Short Hedges

WHAT TYPE OF BLOOMBERG TRAINING IS AVAILABLE?
Bloomberg Market Concepts (BMC) is an 8-hour, self-paced e-learning course that provides an interactive introduction to
the financial markets. BMC consists of 4 modules - Economics, Currencies, Fixed Income an

Chapter 5
Determination of Forward and
Futures Prices
M A D H U K A L I M I PA L L I
Chapter 5
Agenda
1. Intro and Three
types of futures
5. Relationship
between futures
prices and expected
spot prices
4. Commodity
futures &
convenience
yields
2
2. No arb

Risks and Opportunities in Emerging Markets:
A Macro-finance Perspective
Dr. Duvvuri Subba Rao
National University of Singapore
Former Governor Reserve Bank of India
Tuesday, June 14th 2016
10:30 a.m. 12 p.m.
Lazaridis School of Business & Economics E&Y B

BALSILLE SCHOOL-CIGI-LAZARIDIS SCHOOL SYMPOSIUM
Emerging Markets and the Global Economy: Growth and Governance
DATE/VENUE
Monday, June 13th 2.00 - 5.30 pm
Location: Room 123, Balsillie School of International Affairs (BSIA)
THEME
Emerging market economies

Chapter 13
Miscellaneous Topics
M A D H U K A L I M I PA L L I
Chapter 11
Agenda
1.BS model
Random walk
assumption
2.BS model
derivation using
Binomial model
4. IV
derivation
3. BS model
derivation
based on
PDE
2
Chapter 11
The Black-Scholes-Merton Random

Chapter 17
Greeks
M A D H U K A L I M I PA L L I
chap 17_19
Agenda
1.Hedging option
portfolios: uncovered
and covered positions
and stop-loss strategy
2. Hedging option
portfolios with Greeks:
delta, gamma, theta, vega,
rho
Solving linear equations
4. Por

Chapter 1
Introduction
Madhu Kalimipalli
Chapter 1
Agenda
1.Introduction
5.Examples
4.Swaps
2
2. Futures
and
forwards
3.Options
Chapter 1
The Nature of Derivatives
A derivative is an instrument whose value depends on the
values of other more basic underl

Chapter 11
Trading Strategies
Involving Options
M A D H U K A L I M I PA L L I
Chapter 11
Agenda
1.Trading
strategies:
3.Benefits
using options
2
2.Priors: Bullish or
bearish on prices,
underlying volatility
and skewness
Chapter 11
Positions in an Option

Chapter 4
Interest rate Futures
M A D H U K A L I M I PA L L I
Chapte 4
Agenda
1. Risk Neutral
pricing of
European Options
2.Risk Neutral
pricing of
American
Options
4. Delta
hedging and
deltas
3. Binomial
trees in
practice.
2
Chapte 4
Types of Rates
Trea

Bloomberg Market Concepts (BMC)
Dr.Madhu Kalimipalli
BMC is an 8-hour, self-paced e-learning course that provides an interactive introduction to the
financial markets. BMC consists of 4 modules - Economics, Currencies, Fixed Income and
Equities - woven to

Chapter 13
Black and Scholes Model
for stock options
M A D H U K A L I M I PA L L I
Chapter 13
Agenda
1.Black and Scholes
Model
Derivation based on Risk
neutral/Binomial
approach
3. B-S Formula for
European and American
options
(with discrete and
continuo

Chapter 2
Futures Markets and Central
Counterparties
M A D H U K A L I M I PA L L I
Chapter 2
Agenda
1. 1.Specification
of futures
contracts
Margin
requirements
for futures.
4. Forwards
Vs. Futures
3. Mechanics
of a futures
trade.
2
Chapter 2
Profit from

Chapter 12
Introduction to Binomial
trees
M A D H U K A L I M I PA L L I
Chapter 12
Agenda
1. Risk Neutral
pricing of
European Options
2.Risk Neutral
pricing of
American
Options
4. Delta
hedging and
deltas
3. Binomial
trees in
practice.
2
Chapter 12
Revie

BU 623 Mid-term exam
and Review
Exam date :
June 28 Tue
1 to 2.30 pm details next slide
Arrive 10 min early
Duration of the exam: 1hr 30 min
Format of the exam
About 20 Multiple choice questions
Based on sample questions provided
and class-room discussion

Chapter 10
Properties of
Stock Option Prices
M A D H U K A L I M I PA L L I
Chapter 10
Agenda
1.Notation and
Six Key variables
4. Exercise of
American
options with
and without
dividends
2. Bounds for
.options prices
with and
without
dividends
3. Put-call

RISKS & OPPORTUNITIES IN
EMERGING MARKETS
Deloiite & Lazaridis School of Business
June 16, 2016
Dr. Duvvuri Subbarao
1
Global Financial Governance
Emerging Market Perspectives
Emerging Markets?
2
Global Financial Governance
Emerging Market Perspectives
D

Chapter 14
Employee Stock Options
M A D H U K A L I M I PA L L I
Chapter 14
Nature of Employee Stock Options
2
Employee stock options are call options issued by a
company on its own stock
They are often at-the-money at the time of issue
They often last as