PROBLEM 12.36 (35 minutes) Business unit profit statement; responsibility
accounting: retailer
1
Business unit profit statement for Modern Music Malaysia:
Modern
Music
Malaysia
Sales revenue
RM1 998
000
Variable operating expenses:
Cost of goods sold
RM 1
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
Duration and Duration Hedging
In holding bonds or bond portfolios, we are exposed to interest rate risk. This risk strongly
depends on the times wh
Financial Risk Management
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
March-2014
Ex 1.8: If you use put to hedge against a price decline then you will buy 50 puts. Because 1 put is written on 100 shares
and you hold
397003: Financial Risk Management
Faculty of Business and Law, AUT
Quiz 1 (Chapters 1 6)
Students Family Name _
Student ID _ Stream: 30
Students Given Name _
Date: 1 May
Part A: Multiple choice questions (10 marks each, 70 marks in total)
There are 7 mult
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 4
Interest Rates
Practice Questions
Problem 4.12.
A three-year bond provides a coupon of 8% semiannually and has a cash price of 104. What
is the bonds yield?
The bond pays $4 in 6, 12, 18, 24, and 30 months, and $104 in 36 months. The bond yield
397003: Financial Risk Management
Faculty of Business and Law, AUT
Quiz 1 (Chapters 1 6)
Students Family Name _
Student ID _ Stream: 10
Students Given Name _
Date: 4 May
Part A: Multiple choice questions (10 marks each, 70 marks in total)
There are 7 mult
Financial Risk Management
Quiz.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
First Name:
Family Name:
Id Number:
Exercise I
1. (6 marks) We suppose that the stock today is equal to S0 = 10. You take a long position on
PAPER STUDY GUIDE
Bachelor of Business
(Incorporating Graduate Diploma and Graduate Certificate in Business)
Financial Risk Management
397003
Semester Two 2014
TABLE OF CONTENTS
Item
Description
Page
Welcome to Paper
Overview
Paper Level & Points
Hours Ta
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
If we have a set of zero-coupon rates (continuously compounded):
maturity T
1
2.0
3.0
rT
5.5 %
5.6 %
5.7 %
We can price a product with cash ows at
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
Pricing forward contracts
Denition: we denote by f0 a long forward contract with maturity T that allows you to buy
at maturity T an asset S0 at the
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
Overview
What is a Swap?
Interest rate Swaps (xed-for-oating) a.k.a. plain vanilla swaps
How do they work?
How do we value them?
Currency Swap
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
Overview
Valuation of European Options using Binomial Tree
Valuing Options using No-Arbitrage arguments
Valuing Options using Risk-Neutrality
M
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
Overview
What is a Swap?
Interest rate Swaps (xed-for-oating) a.k.a. plain vanilla swaps
How do they work?
How do we value them?
Currency Swap
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
Overview
The Black&Scholes pricing formula
The hedging ratios
The Black&Scholes pricing formula
Given a maturity T , a strike K, an initial stock
Introduction Chap 1
What is Financial Risk Management and why is it important?
Financial Risk Management
Which risks can we manage?
How can we measure risk?
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
The Concept o
Financial Risk Management
Jose Da Fonseca
email: [email protected]
Auckland University of Technology
Options
Denition of the product: the holder of an Option has the right to buy or sell the underlying at a predetermined price and before or at a pr
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international orientation latecomer sessions
IF YOU WERE NOT ABLE TO ATTEND INTERNATIONAL ORIENTATION THERE IS AN OPPORTUNITY FOR
YOU TO ATTEND A CATCH-UP MINI-O
Financial Risk Management
Exercises.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
First Name:
Family Name:
Id Number:
Exercise I
(10 marks)
1. (6 marks) We suppose that the stock today is equal to S0 = 10. You take a
Financial Risk Management
Exercises.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
Exercise I
The objective of this exercise is to show how to build a zero-coupon rate curve from a set of bonds. Given a set of bonds
P1
Financial Risk Management
Quiz.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
First Name:
Family Name:
Id Number:
Exercise I
1. (6 marks) We suppose that the stock today is equal to S0 = 10. You take a long position on
Financial Risk Management
Exercises.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
Exercise I
t=0
t=
T
2
t=T
u2 S
uS
udS
S
dS
d2 S
with S = 10, u = 1.2, d = 0.8.
We denote by
t=0
t=
T
2
t=T
Puu
Pu
Pud
P
Pd
Pdd
the evol
Financial Risk Management
Exercises.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
Exercise I
t=0
t=
T
2
t=T
u2 S
uS
udS
S
dS
d2 S
with S = 10, u = 1.2, d = 0.8.
We denote by
t=0
t=
T
2
t=T
Cuu
Cu
Cud
C
Cd
Cdd
the evol
Financial Risk Management
Exercises.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
First Name:
Family Name:
Id Number:
Exercise I
(10 marks)
We suppose that there are 4 bonds with a cash-ow structure given by
T
0.5
1
1
Financial Risk Management
Exercises.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
Exercise I
t=0
t=
T
2
t=T
u2 S
uS
udS
S
dS
d2 S
with S = 1, u = 1.2, d = 0.8.
We denote by
t=0
t=
T
2
t=T
Cuu
Cu
Cud
C
Cd
Cdd
the evolu
Financial Risk Management
Exercises.
Jos Da Fonseca
e
email: [email protected]
Auckland University of Technology
First Name:
Family Name:
Id Number:
Exercise I
(10 marks)
We suppose that there are 4 bonds with a cash-ow structure given by
T
0.5
1
1