Agnes Chung
31644064
Professor Zheng Sun
Mgmt 149 Derivatives 2015 Winter
Homework 2
2.11
The price has to drop under $1.50 per pound of OJ in order to receive a margin call.
This is the thought process: There will be a margin call if the equity goes unde
M149 Derivatives
Professor Zheng Sun
Sample Midterm Exam
Student Name _
Student Number _
Instructions
1. Write down your name and student number in the spaces provided above.
2. There are five questions in this examination.
3. You have one hour and 20 min
M 149 Derivatives
Professor Zheng Sun
Midterm Exam
Student Name _
Student Number _
Instructions
1. Write down your name and student number in the spaces provided above.
2. There are five questions in this examination.
3. You have one hour and 20 minutes t
M149 Derivatives
Professor Zheng Sun
Lecture 1
Introduction to Derivatives
Introduction to Forwards and Futures
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School
M149 Derivatives
Professor Zheng Sun
Lecture 2
Hedging with Forwards and Futures
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School in 2007 at
the permission of th
M149 Derivatives
Professor Zheng Sun
Lecture 2
Hedging with Forwards and Futures
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School in 2007 at
the permission of th
M149 Derivatives
Professor Zheng Sun
Lecture 1
Introduction to Derivatives
Introduction to Forwards and Futures
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School
M149 Derivatives
Professor Zheng Sun
Lecture 3
Pricing Forwards and Futures
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School in 2007 at
the permission of the aut
M149 Derivatives
Professor Zheng Sun
Lecture 3
Pricing Forwards and Futures
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School in 2007 at
the permission of the aut
Professor Zheng Sun
MGMT 149
Emina Salic
ID# 73619187
Homework 1
1.20
Short forward profit= (f(x) s(x) * 100 million
a)
($0.008 - $0.0074) * 100 000 000 = $60 000 USD
The trader makes a gain of $60 000 USD because the spot price is lowe
M149 Derivatives
Problem Set 6
Due 3:30pm Tuesday 2/28
Required problems from the textbook: 9.9,9.10, 9.12, 9.13, 9.14, 9.15, 9.17, 9.22
Problem 9.9.
Suppose that a European call option to buy a share for $100.00 costs $5.00 and is held until
maturity. Un
A call is said to be in the money if the price of the asset is greater than the strike price (S>K). In this case, the payoff from exercising immediately is positive (absent
transactions cost). A call is said to be out of the money if the price of the asse
M149 Derivatives
Professor Zheng Sun
Sample Final Exam
Student Name _
Student Number _
Instructions
1. Write down your name and student number in the spaces provided above.
2. There are five questions in this examination.
3. You have two hours to complete
M149 Derivatives
Problem Set 9
No need to turn in the homework. Just use it as a reference.
Required problems from the textbook: 12.9. 12.10, 12.11, 12.12, 12.16, 12.19, 12.20
Problem
1. A stock price is currently $50. Its volatility is 20%. The risk-free
M149 Derivatives
Problem Set 8
Due 3:30 pm Tuesday 3/14
Required problems from the textbook: 11.10, 11.20, 10.9, 10.10, 10.12, 10.23, 10.25
Problem 11.10.
Suppose that put options on a stock with strike prices $30 and $35 cost $4 and $7,
respectively. How
-A call option gives its owner the right (but not the obligation) to buy an asset for pre-specified price (the exercise or strike price) on or before a specified future date
-A put option gives its owner the right to sell an asset for a pre-specified pric
M149 Derivatives
Professor Zheng Sun
Lecture 4
Introduction to Options
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School in 2007 at
the permission of the author.
F149 Derivatives
Professor Zheng Sun
Lecture 5
Binomial Models for Option Pricing
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School in 2007
at the permission of t
F149 Derivatives
Professor Zheng Sun
Lecture 5
Binomial Models for Option Pricing
This Version: February 2010
Disclaimer: Some part of the notes are adapted by Professor Zheng Sun from
Professor Fan Yus lecture notes on Derivatives at the Merage School in
M149 Derivatives
Professor Zheng Sun
Sample Final Exam
Student Name _
Student Number _
Instructions
1. Write down your name and student number in the spaces provided above.
2. There are five questions in this examination.
3. You have two hours to complete
Solutions to Assignment #7
Problem 11.10.
Suppose that put options on a stock with strike prices $30 and $35 cost $4 and $7,
respectively. How can the options be used to create (a) a bull spread and (b) a bear
spread? Construct a table that shows the prof
Solutions to Assignment #6
Problem 9.9.
Suppose that a European call option to buy a share for $100.00 costs $5.00 and is held until
maturity. Under what circumstances will the holder of the option make a profit? Under what
circumstances will the option b
Solutions to Assignment #5
Problem 5.9.
A one-year long forward contract on a non-dividend-paying stock is entered into when the stock
price is $40 and the risk-free rate of interest is 10% per annum with continuous compounding.
a) What are the forward pr
Solutions to Assignment #4
Problem 3.29.
It is now October 2013. A company anticipates that it will purchase 1 million pounds of copper
in each of February 2014, August 2014, February 2015, and August 2015. The company has
decided to use the futures contr
Solutions to Assignment #2
Problem 2.11.
A trader buys two July futures contracts on frozen orange juice. Each contract is for the delivery
of 15,000 pounds. The current futures price is 160 cents per pound, the initial margin is $6,000
per contract, and
Solutions to Assignment #3
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 hedging when the expiration of
Solutions to Assignment #1
Problem 1.20.
A trader enters into a short forward contract on 100 million yen. The forward exchange rate is
$0.0080 per yen. How much does the trader gain or lose if the exchange rate at the end of the
contract is (a) $0.0074 p
2008 Financial Crisis
-Derivative
Market
-by Nader Ordubadi, Peihang Li,
Sam Chen, Johnny, Wenjing Zhang
What had happened?
Who are involved?
Economic
globalization
What are derivatives?
Derivatives are financial
instruments that derive their value
from s
Investing in Fear Is Big Business - WSJ.com
http:/online.wsj.com/article/SB10001424052748703785704575642643.
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