Group Presentation
Imagine you are a sales team at an investment bank
trying to market a particular structured finance product
to your institutional investor clients. You will be giving a
10-minute c
QF301 Structured Finance
Week 2: Forwards & Futures Markets
1. What is the fair price for a 3m forward contract based on the following information:
Stock price = $75
Dividend in 1m = $0.50
Dividend
Derivatives Homework 2
1: Considering other factors are identical, the difference between two calls should be:
44 e5 1 -40 e5 1 =$3.8, but it comes out that the price difference is $5.00. So
there is
Derivatives Homework1
Q1: The spot price in one-year is $95, and the delivery price K is $100.
(a) The gain for trader in short position is 100-95=$5
Diagram for the trader in short position is:
(b) T
Lecture 2 Interest Rates,
Forwards and Swaps
FNCE6008Derivativesanalysis
By Jianfeng Hu
Singapore Management
University
1
Agenda
Interest rates and forward contracts
Forward pricing
Swaps
2
I. Inte
Lecture 6 Special Topics on
Derivatives
FNCE6008Derivativesanalysis
By Jianfeng Hu
Singapore Management
University
1
Agenda
Value at risk (VaR)
Credit analysis
Credit derivatives
2
I. Value at Risk
Lecture 1 Introduction
FNCE6008Derivativesanalysis
By Jianfeng Hu
Singapore Management
University
1
Agenda
Course logistics
Ice breaking
Introduction to derivatives
Definition
Examples
Trading deri
QF301 Structured Finance
Week 3: Swaps & Interest Rate Derivatives
Due Date: 30-Jan-2017
1. A simple interest rate contract whereby you are paid 4.5% ( is the day count fraction)
gives you the optiona
QF301 Structured Finance
Week 4: Vanilla Options
Due Date: 6-Feb-2017
1. Let C and P denote European call and put option prices, respectively. Determine the following
boundary cases:
(a) S 0, C ?
(b)
1. (a) the trader will gain $5 from the forward on the maturity date, the diagram is shown
below as (1):
(b) the buyer will loss $5 from the forward on the maturity date, the diagram is shown
below as
QF301 Structured Finance
Week 3: Swaps & Interest Rate Derivatives
1. Consider a one-year swap with quarterly payments on days 90, 180, 270 and 360. The day
count convention is 30/360. The spot LIBOR
QF301 Structured Finance
Week 5: Greeks & Exotic Options
1. An option pays:
$0,
ST < $100
ST $100, $100 ST $120
$20,
ST > $120
Replication this option using vanilla European call options.
2. If a cash
QF301 Structured Finance
Solutions, Week 5
1.
Question An option pays:
$0,
ST < $100
ST $100, $100 ST $120
$20,
ST > $120
Replicate this option using vanilla European call options.
Solution The payo d
QF301 Structured Finance
Week 4: Vanilla Options
1. Consider the following portfolios of European call options on the same underlying stock with
the same maturity:
Portfolio
Assets
A
B
2 C(K = 100)
C(
QF301 Structured Finance
Solutions, Week 3
1. Consider a one-year swap with quarterly payments on days 90, 180, 270 and 360. The day
count convention is 30/360. The spot LIBOR rates on trade initiatio
QF301 Structured Finance
Week 2: Forwards & Futures Markets
Due Date: 23-Jan-2017
1. A person who is short a commodity future are also given the optionality to decide delivery (how,
where and when del
QF301 Structured Finance
Week 5: Greeks & Hedging
Due Date: 18-Feb-2017
1. Consider the following call options on the same underlying stock:
C1
C2
Maturity
1y
1y
Strike
K1
K2
0.473
0.557
0.022
0.02
Yo
Lecture 4 Options
FNCE6008Derivativesanalysis
By Jianfeng Hu
Singapore Management
University
1
Agenda
Mechanics of options markets
Properties of stock options
Options trading strategies
2
I. Mechan