EXECUTIVE SUMMARY
The purpose of this report is to present strategies coping with Qantas main risks
exposure jet fuel price volatility and foreign exchange risk. Through a thorough
analysis, we identi
Problem 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.
An exchange-traded stock option provides no funds for the compan
FINC3012 Derivative Securities
Currency Hedge Strategy
Describe strategies which would involve the use of derivatives contracts to control
for some of the risks described above. In describing these st
7. Properties of Option Prices
Properties of Option Prices
Outline
Basic properties of options
notation,
factors aecting option prices,
upper and lower bounds,
put-call parity,
early exercise of Ameri
5. Forward Rates Agreements and Swaps
Forward Rates Agreements and Swaps
Outline
Forward rate agreements.
Vanilla interest rate swaps
comparative advantage and the construction of swaps,
valuing swaps
6. Introduction to Options
Introduction to Options
Outline
Denitions and payos.
denitions,
dividends and stock splits,
payos.
Option strategies.
spreads,
strangles and straddles,
butteries.
1 of 35
Ou
1. Forward and Futures Markets
Forward and Futures Markets
Outline
Forward contracts
introduction and denitions,
application to hedging and speculating.
Futures contracts
introduction and denitions,
m
3. Forward and Futures Prices II
Forward and Futures Prices II
Outline
Forward and futures prices
brief review,
assets paying discrete and continuous income,
forward foreign exchange contracts,
assets
2. Forward and Futures Prices I
Outline
Forward and Futures Prices I
Outline
Forward and futures prices
assumptions,
investment assets and consumptions assets,
value of forward and futures contracts,
Top- down investing
Focus on domestic and global economic analysis to determine movements at the market
level
- Asset allocation
Then examine expected movements at the industry level
After market and
The University of Sydney
School of Business
1
Finance 6010: Currency Futures
The University of Sydney
The University of Sydney
2
The University of Sydney
3
Currency Futures Price
Interest rate parity
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 st
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
Greek Letters
BUSINESS
SCHOOL
1
K = 50, r = 5%, s = 20%,
Example
A bank has sold for $300,000 a European call
option on 100,000 shares of a nondividend
paying stock
S0 = 49,
T = 20 weeks, m = 13%
T
8. Option Pricing Using Binomial Trees
Option Pricing Using Binomial Trees
Outline
Binomial trees
risk neutral probability,
European options,
American options and other path dependent options,
assets
The Role of Derivatives in a Portfolio
BUSINESS
SCHOOL
Utility
subjective measure of satisfaction derived from the
consumption of goods and services.
Risk is a disutility
Common properties of ratio
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 for hedg
2.8 Explain how margins protect investors against the possibility of default.
A margin is a sum of money deposited by an investor with his or her broker. It acts as
a guarantee that the investor can c
RISK MANAGEMENT PRACTICES IN THE AIRLINE
INDUSTRY
by
Sharon Fernando
PROJECT SUBMITTED IN PARTIAL FULFILLMENT
OF THE REQUIREMENTS FOR THE DEGREE OF
MASTER OF ARTS
In the
Faculty
of
Business Administra
UPCR Originating process
Division 2 - Originating process
6.2. How proceedings commenced
6.3. Where statement of claim required
6.4. Where summons required
6.2 How proceedings commenced
(1) Subject to
Properties of Stock Options
BUSINESS
SCHOOL
1
Notation
c:
European call option
price
p:
European put option
price
S0 :
Stock price today
K:
Strike price
T:
Life of option
:
Volatility of stock p
Trading Strategies Involving Options
BUSINESS
SCHOOL
1
Overview
How options can be used for hedging a pre-existing position
in the spot market, and for speculating on subsequent spot
movements.
Hedg
2.8
Margin is money deposited by an investor with his or her broker. The balance in the margin account is adjusted daily
to reflect gains and losses on the futures contract.
2.9
(1) if more than $1,50
FUNDAMENTALS OF FUTURES AND OPTlONS MARKETS
PRACTICE QUESTIONS
(Answers in Solutions manuaI/Study guide)
C 0 N50 Li DATE
1.8 A stock when it is ﬁrst issued provides funds for a com
pany. is the same
FINC 3012 Derivative Securities
Dr Elvis Jarnecic
BUSINESS
SCHOOL
This Lecture
In this lecture we will cover the following:
- Course administration (UoS outline)
- Overview of Course
- Introduction t
BUSINESS SCHOOL
Unit of Study Outline
Unit Code FINC3012
Unit Title Derivative Securities
Semester 2, 2017
Pre-requisite Units: (FINC2012 or FINC2002) or (FINC2013 or FINC2003) or (FINC2014 or FINC200