Strictly for course FINA2010 internal circulation only.
CUHK Business School
FINA2010 Financial Management
Tutorial 11: The Basics of Capital Budgeting and
Cash Flow Estimation and Risk Analysis
(Common Questions)
1) Capital budgeting criteria. Your divis

Computational Finance
Lecture 2
Mathematical Models of Asset Prices
Part I: Normal Returns
Note Outline
Return
Random variable and probability distribution
Mean and standard deviation
Statistical properties of stock price data
Normal approximation for pri

6. Foreign Currency Options
So far, we have studied contracts whose payoffs are contingent on the spot rate (foreign
currency forward and foreign currency futures). The payoffs from these instruments are
linear in the future spot rate. That is, if you buy

CHAPTER 13
Valuing Stock Options: The Black-Scholes-Merton Model
Practice Questions
Problem 13.8.
A stock price is currently $40. Assume that the expected return from the stock is 15% and its
volatility is 25%. What is the probability distribution for the

Tutorial 3
Chapters 11 and 13
Hull 7th. Edition
B. B. Chakrabarti
Professor of Finance
Problem No. 11.8 (Hull 7th Ed.)
Consider the situation in which stock price
movements during the life of a European
option are governed by a two-step
binomial tree. Ex

THE BLACK-SCHOLES MODEL AND EXTENSIONS
EVAN TURNER
Abstract. This paper will derive the Black-Scholes pricing model of a European option by calculating the expected value of the option. We will assume
that the stock price is log-normally distributed and t

Page 25
FOREIGN EXCHANGE OPTIONS
by
Satyajit Das
Commonwealth Bank of Australiat
Foreign exchange options are a relatively recent innovation in foreign currency markets with important implications for the
management of currency exposures incurred by organ

Pricing American-Style Derivatives with European Call Options1
Scott B. Laprise
BAE Systems, Arlington, VA
Michael C. Fu
The Robert H. Smith School of Business, University of Maryland
Steven I. Marcus
Department of Electrical & Computer Engineering, Unive

Computational Finance
Lecture 3
Forward, Futures, and Swaps
Part II: Mechanics of Futures Markets
Note Outlines
n
Mechanics of futures markets
n
n
n
n
n
Exchange trading
Contract specification
Margin and mark to market
Convergence of futures price to

Lecture 14
Sergei Fedotov
20912 - Introduction to Financial Mathematics
Sergei Fedotov (University of Manchester)
20912
2010
1/7
Lecture 14
1
-Hedging
2
Greek Letters or Greeks
Sergei Fedotov (University of Manchester)
20912
2010
2/7
Delta for European Ca

Computational Finance
Lecture 2
Mathematical Models of Asset Prices
Part II: Continuous-time Dynamic
Note Outline
From discrete asset model to continuous time
Timescale invariant
Drift and volatility
The Black-Scholes model
Lognormal distribution and its

I.
BASIC CONCEPTS AND DEFINITIONS
Autocorrelation function and the Wiener-Khinchin theorem
Consider a time series x(t) (signal). Assuming that this signal is known over an infinitely
long interval [T, T ], with T , we can build the following function
1ZT

Live it
Chan Ting Hin Marco (1155034752) Li Ka Shun (1155049754)
Fu Kim Chiu (1155048216)
Li Yi (1155029075)
Ho Tsz Yan (1155034112)
Wong Wai Lam (1155033114)
Introduction: Product Concept
01
Link
Share
Exchange
Live it
Introduction: Product Concept
02
Fu

Discrete Simulation of Colored Noise
and Stochastic Processes and llf"
Power Law Noise Generation
~
~
N. JEREMY U S D I N , MEMBER, IEEE
This paper discusses techniquesfor generating digital sequences
of noise which simulate processes with certain known p

1) Duration.
equity = total of L
(MDA kMDL) is the leverage adjusted modified
duration gap (modified duration gap for short
which reflect the degree of duration mismatch in
an FIs balance sheet.
Example 2.5 -Consider a 6-year maturity
coupon par bond wi

Example 2.5 -Consider a 6-year maturityMDA
coupon
par bond with annual coupon of 8% and
kMD
L) is the leverage adjusted modified duration
principal
value
of $1,000.
Theshort
coupon is paid
gap (modified
duration
gap for
annually. Since the bond is par, t

APPENDIX 5A
Madura, International Financial Management, Abridged 8/e, Mason, OH: Thomson South-Western, 2007
Currency Option Pricing
The premiums paid for currency options depend on various factors that must be
monitored when anticipating future movements

Normal Distribution (Continued) p.22
Discrete
PMF P(X = x)
- CDF = F x ( x ) = P( X x )
Expected value
x= x P (X=x )
x
Continuous
PDF f x ( x ) [ P(X = x) = 0]
random variable can take any value in interval btw zero and one
- stand for the continuous dist

Chapter 14: Two-Factor ANOVA (Independent Measures)
To make the transition between one-way designs and two-way designs, lets start with
a one-way design and then extend it to a two-way design. Suppose that you are interested in
the effects of a particular

HW1
Chapters 4.1-4.2, 4.4, 13, 14.1-14.4
in John Hull's book and answer the following questions:
Textbook
4. Interest rates, p.97
13. Wiener processes and Ito? s lemma280 -> 302
14. The BlackScholesMerton model299 -> 321
Summary
From discrete asset model

3
P1 P1 -> how to locate?
means -> fire-sale asset?
why cash reserve -> 1/1 at liquidated price?
why plant is needed to be counted
CH7. p.19NOTE
- for tier 1 capital ratio, what are they from, namely risk and weighted assets.
For weighted assets, does it

Strictly for course FINA2010 internal circulation only.
CUHK Business School
FINA2010 Financial Management
Tutorial 3: Interest Rates
(Common Questions)
1) Default risk premium. Suppose 10-year T-bond have a yield of 5.30% and 10-year
corporate bond yield

Strictly for course FINA2010 internal circulation only.
CUHK Business School
FINA2010 Financial Management
Tutorial 2: Time Value of Money
(Common Questions)
Note to students: All students should learn to write down the numerical working for TVM and
TVM-r

Strictly for course FINA2010 internal circulation only.
CUHK Business School
FINA2010 Financial Management
Tutorial 7: Analysis of Financial Statements
(Common Questions)
1) Free cash flow. Question 3-15 of textbook.
2) Suppose you were comparing a discou

Strictly for course FINA2010 internal circulation only.
CUHK Business School
FINA2010 Financial Management
Tutorial 9: Stocks and Their Valuation and Stock Market Efficiency
(Common Questions)
1) Constant growth. Your broker offers to sell you some shares

Strictly for course FINA2010 internal circulation only.
CUHK Business School
FINA2010 Financial Management
Tutorial 6: Risk and Rates of Return
(Common Questions)
1) A stock had a 12% return last year, a year when the overall stock market declined. Does
t

Strictly for course FINA2010 internal circulation only.
CUHK Business School
FINA2010 Financial Management
Tutorial 10: The Cost of Capital
(Common Questions)
1) Cost of debt. To help finance a major expansion, Skye company sold a noncallable bond several

Katrine Vendelbo, Rifam Mir,
Janne Finderup, Jacob Brand,
Cedric Kessler, Johan Wu
News Critique, FINA2010N
Word count 1465
Introduction
The article by Luke Kawa criticizes current investor behavior, since they do not take the potential
Trump presidency i

CPSC 211 Data Structures & Implementations
(c) Texas A&M University [ 95 ]
Compiling and Running a C Program in Unix
Simple scenario in which your program is in a single
file: Suppose you want to name your program test.
1. edit your source code in a file

(a) Explain the meaning of the following statement rmdir: Deletes a Directory
(i) Main memory is volatile
cant delete working
(ii) A disk is a direct access device
directory or containing files
(b) State the two main components for a CPU
mv, cp: Move or