FINC 6010
DERIVATIVE SECURITIES
MAJOR ASSIGNMENT
COMPANY SELECTION:
Rio Tinto
GROUP MEMBERS
SID
XIAOYANG TU
YANWEI LIU
SHENG XIONG
WEIMING WU
WEN SUN
420109037
311167632
420155414
420137281
420165251
Executive Summary:
This report provides an overview ope
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
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
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
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:
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
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
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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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FINC6010: Derivative Securities
Group Assignment
FINC6010, Dr. K.C. Lim, Wednesday 2pm-5pm
Group members:
Longyu Li 430510241
FenghaoBai 430573257
Weixian Wu 430149177
HouliGuo 420096276
Executive summary
In the report, BHP Billitonis selected and its maj
University of Sydney
FINANCE6010
Group Assignment
-Hedging Strategies for Qantas Corporation
Student Name & student ID:
Bing Han
Ruobing Wang 420160577
Xintong Li
420039217
Xiaobei Zhang 311038972
Executive Summary
1 / 12
310037883
This report is commissi
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
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
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
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
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
Telstra
Annual Report
2016
Our business
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Highlights FY16
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Chairman and CEO message
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Strategy and performance
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Improve customer advocacy
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Drive value and growth from the core
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Build new growth businesses
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Our material business
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http:/www.sec.gov/Archives/edgar/data/320193/00011931251319184.
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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
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 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 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
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 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: 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: 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
Week 2 Corporate governance
Globalization refers to the deepening relationships and broadening
interdependence among people from different countris.
Out, Porter, and Rudden suggest that companies that are more likely to adopt a
multidomestic strategy are
CONSOLIDATE
2.8 Explain how margins protect investors against the possibility of default.
2.9 A trader buys two July futures contracts on frozen orange juice. Each
contract is for the delivery of 15 000 pounds. The current futures price is 160
cents per p
CONSOLIDATE
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 for hedging when the expiration of the
hedge is in: a June
CONSOLIDATE
1.8 A stock when it is first issued provides funds for a company. Is the same
true of an exchange-traded stock option? Discuss.
1.9 Explain why a futures contract can be used for either speculation or
hedging.
1.10 An investor writes a Decembe
CONSOLIDATE
4.8 What rate of interest with continuous compounding is equivalent to 15%
per annum with monthly compounding?
4.9 A deposit account pays 12% per annum with continuous compounding,
but interest is actually paid quarterly. How much interest wil