Econ 724-31 Derivatives I
Problem Set III
Instructions:
1.
Answer all questions.
2.
Please form study group of up to 3 persons and work on the problem set.
3.
Show your formulas and steps clearly.
Lau
Due: 7/23/10
4.
No Excel Spreadsheet.
1.
(20 points)
A
Econ 724-31 Financial Derivatives I
Lau
Due: 7/9/2010
Problem Set I
Instructions:
1.
Answer all questions.
2.
Please form study group of up to 3 persons and work on the problem set.
3.
Show your formulas and steps clearly.
4.
5.
No Excel spreadsheet.
No l
Econ 724-31 Derivatives I
Lau
Due: 8/6/10
Problem Set V
Instructions:
1.
Answer all questions.
2.
Please form study group of up to 3 persons and work on the problem set.
3.
Show your formulas and steps clearly.
1.
(20 points) The spot price of a non-divid
Econ 724-31 Derivatives I
Problem Set II
Instructions:
1.
Answer all questions.
2.
Please form study group of up to 3 persons and work on the problem set.
3.
Show your formulas and steps clearly.
Lau
Due: 7/16/10
4.
No Excel Spreadsheet.
1.
Today is Jan 1
Econ 724-31 Derivatives I
Problem Set IV
Instructions:
1.
Answer all questions.
2.
Please form study group of up to 3 persons and work on the problem set.
3.
Show your formulas and steps clearly.
Lau
Due: 7/30/10
4.
No Excel Spreadsheet.
1.
(20 points) Dr
Econ 724-31 Derivatives I
Lau
Supplementary Problem Set VI
1.
Suppose S (current stock index) 1000, r 10%, 5%, 20%, and q 4% . An investor
has a portfolio which is worth $10,000,000 with 1.5 . Suppose the investor wants to
protect the value of his/her por
Econ 724-31 Financial Derivatives I
Lau
Due: 7/9/2010
Problem Set I
Instructions:
1.
Answer all questions.
2.
Please form study group of up to 3 persons and work on the problem set.
3.
Show your formulas and steps clearly.
4.
5.
No Excel spreadsheet.
No l
Econ 724 Derivatives I
Lecture Notes
Professor Man-lui Lau
I
Forward and Future Contracts
Definition:
A DERIVATIVE (or derivative security) is a financial instrument whose value depends
on the values of other, more basic underlying variables.
Definition: