ECON 5001: Solutions to Assignment 1
(1) Suppose that X = cfw_x, y, z. Construct a preference ordering on X
that is complete and transitive and for which
(i) x is the unique best choice in X.
Let x y; y z and x z. Then x is the unique best element
of X gi
Chapter 9 - Mechanics of Options Markets
Types of options
Option positions and profit/loss diagrams
Underlying assets
Specifications
Trading options
Margins
Taxation
Warrants, employee stock options, and convertibles
Types of options
Two types of options:
Valuing Stock Options:The Black-Scholes Model
BUSINESS
SCHOOL
1
The Black-Scholes Random Walk Assumption
Consider a stock whose price is S
In a short period of time of length Dt the change in the stock price is
assumed to be normal with mean mSDt and st
Greek Letters
BUSINESS
SCHOOL
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%, s = 20%,
T = 20 weeks, m = 13%
The Black-Scholes value of the option is
$240,000
How d
Binomial Option Pricing Model
BUSINESS
SCHOOL
Replicating-Portfolio Valuation
Derivative assets are, in fact, redundant.
Even if derivatives didnt exist, we could artificially re-create them solely
from the underlying assets.
Consider put call parity
2
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BHP BILLITON RESULTS FOR THE YEAR ENDED 30 JUNE 2016
Response efforts at Samarco continue with good progress being made on community resettlement,
community health and environment restoration.
There
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424B2
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Table of Contents
Filed Pursuant to Rule 424(b)(2)
Registration No. 333-188191
CALCULATION OF REGISTRATION FEE
Title of Each Class of
Securities
Telstra
Annual Report
2016
Our business
02
Highlights FY16
04
Chairman and CEO message
06
Strategy and performance
09
Improve customer advocacy
10
Drive value and growth from the core
12
Build new growth businesses
14
Our material business
ASX 3 and 10 Year Treasury Bonds
Futures and Options
Interest Rate Markets Fact Sheet
ASXs 3 and 10 Year Treasury Bond Futures and Options are the benchmark
derivative products for investors trading and hedging medium to long term
Australian Dollar intere
ASX 90 Day Bank
Accepted Bill Futures and Options
Interest Rate Markets Fact Sheet
ASXs 90 Day Bank Bill Futures and Options product is Australias benchmark indicator
for short term interest rates. Launched in 1979, the 90 Day Bank Bill contract was
the f
Fundamentals of Futures and Options Markets, 8e (Hull)
Chapter 2 Mechanics of Futures Markets
1) Which of the following is true?
A) Both forward and futures contracts are traded on exchanges
B) Forward contracts are traded on exchanges, but futures contra
Fundamentals of Futures and Options Markets, 8e (Hull)
Chapter 1 Introduction
1) A one-year forward contract is an agreement where
A) One side has the right to buy an asset for a certain price in one year's time
B) One side has the obligation to buy an as
Business risk- oil price
Since Qantas is an airline company, one risk that Qantas mainly exposed to is the oil
price(Qantas 2015). In order to maintain the company's daily operation, Qantas has to keep
affluent volumes of oil to let the aircrafts under wo
Chapter 1 - Introduction
Derivative securities
Futures contracts
Forward contracts
Futures and forward markets
Comparison of futures and forward contracts
Options contracts
Options markets
Comparison of futures and options
Types of traders
Applications
De
Finance 436 Futures and Options
Review Notes for Midterm Exam II
Chapter 5
1. Investment assets vs. consumption assets
2. Short selling
3. Forward price for an investment asset that provides no income - (5.1)
4. Forward price for an investment asset that
ECON 5001: Assignment 6
(1) For each of the following games, find out a) the set of dominated
strategies (strict and weak) for each player and b) the set of Nash
equilibria.
Player 1
Player 1
T
B
T
Player 1 C
B
Player 2
L
R
4, 2 3, 2
2, 0 4, 3
T
B
Player
ECON 5001: Assignment 5
(1) Consider the problem of provision of a club good for a group with three
individuals 1, 2 and 3. The good can be provided, either collectively, or
in a group of two or not at all. The matrix below gives the benefits (in
dollar v
ECON 5001: Solutions to Assignment 2
(1) Let m = 10 and p1 = p2 = 2. Determine the utility maximizing choices of
the consumer if
(i) U (x) = mincfw_x1 , x2 .
An utility maximizing consumer must choose x1 = x2 . The reasoning
is simple. If x1 6= x2 say x1
ECON 5001: Assignment 9
(1) An indivdiual has an asset that can take three values: w = 100, w = 25
and w = 0, each event being equally likely. The utility function of this
individual defined over his asset value is given by u(w) = w.
(a) Find out the expe
ECON 5001: Assignment 1
(1) Suppose that X = cfw_x, y, z. Construct a preference ordering on X that
is complete and transitive and for which
(i) x is the unique best choice in X.
(ii) x and y are both best choices in X but z is not.
(iii) x, y, z are all
ECON 5001: Assignment 8
(1) An agents initial wealth is 36 and he holds a lottery ticket that will
pay him 189 with probability 1/3 and
0 with probability 2/3. The
utility function of the agent is u(x) = x. What is the minimum price
at which he is willin
ECON 5001: Assignment 4
(1) Consider the problem of distributing 100 dollars between Mary and Paul.
An outcome in this situation is (xP , xM ) where xP + xM 100. Paul is
selfish and his utility function is given by UP = xP while Mary is altruistic
and her
ECON 5001: Assignment 3
True or False: Explain your answers
(a) For a utility maximizing consumer, a decrease in the interest rate must
imply a decrease in savings.
(b) x1 = pm1 and x2 =
consumer.
m
2p2
are demand function for some utility maximizing
(c)
ECON 5001: Assignment 2
(1) Let m = 10 and p1 = p2 = 2. Determine the utility maximizing choices of
the consumer if
(i) U (x) = mincfw_x1 , x2 .
(ii) U (x) = x21 + x22 .
(iii) U (x) = x1 x2
(2) A consumer has an income of 100 dollars which he plans to spe
BUSINESS SCHOOL
Unit of Study Outline
Unit Code ACCT6003
Unit Title Financial Statement Analysis
Semester 2, 2016
Pre-requisite Units: ACCT5001 and FINC5001
Co-requisite Units:
Prohibited Units:
Assumed Knowledge and/or Skills: QBUS5001 or QBUS5002
Unit C
BUSINESS SCHOOL
Unit of Study Outline
Unit Code ACCT6006
Unit Title Advanced Managerial Accounting
Semester 2, 2016
Pre-requisite Units: ACCT5002
Co-requisite Units:
Prohibited Units:
Assumed Knowledge and/or Skills: You are assumed to have the skills and
CHAPTER 16
Futures Options
Practice Questions
Problem 16.8.
Suppose you buy a put option contract on October gold futures with a strike price of $900
per ounce. Each contract is for the delivery of 100 ounces. What happens if you exercise
when the October
CHAPTER 6
Interest Rate Futures
Practice Questions
Problem 6.8.
The price of a 90-day Treasury bill is quoted as 10.00. What continuously compounded
return (on an actual/365 basis) does an investor earn on the Treasury bill for the 90-day
period?
The cash
CHAPTER 3
Hedging Strategies Using Futures
Practice Questions
Problem 3.8.
In the Chicago Board of Trades corn futures contract, the following delivery months are
available: March, May, July, September, and December. State the contract that should be
used
CHAPTER 17
The Greek Letters
Practice Questions
Problem 17.8.
What does it mean to assert that the theta of an option position is 0.1 when time is measured
in years? If a trader feels that neither a stock price nor its implied volatility will change,
what