Prof. Stephan Dieckmann
Financial Derivatives (206/717)
Fall 2011
The Wharton School, University of Pennsylvania
Problem Set 5: Options
This problem set is due at the beginning of class on Tuesday, November 22. All
problem sets can be solved in groups of
FNCE 206 Problem Set: Financial Forwards
Question 1
If a share in XYZ currently trades for $50 and the risk free interest rate is 5% (continuously
compounded), what is the 3-month forward price?
Question 2
The quoted price of a 6-month forward contract on
Philipp Illeditsch
Fall 2014
Financial Derivatives (206/717)
The Wharton School, University of Pennsylvania
Problem Set 1: Financial Forwards
This problem set is due at the beginning of class on Monday, September 15. Write
down all members of your group.
FNCE 206 Problem Set 5
Question 1
You hold an American call option on shares in the firm ABC. The current (March) share
price is $14. The option expires in December (i.e., in 9 months), and has a strike of $12.
ABC have announced the following dividend po
Time Mirror PEPS Case
1. Times Mirror owns a substantial block of Netscape common stock, purchased prior to
Netscapes IPO, on which it has substantial unrealized gains. Times Mirror is restricted
from selling the stock in a public oering, and is therefore
FNCE 206 Problem Set 3: Pricing Index Futures, Hedging, Commodities, and FRAs
Question 1
Choose a stock market index for which futures are traded on an exchange. Assume
that dividends are paid continuously over the life of the futures contract. What is
th
Problem Set 4: Options
Question 1:
This question involves the Iowa Electronic Markets (see
http:/www.biz.uiowa.edu/iem/markets/), and in particular the 2004 Democratic National
Convention Market. In this market traders were able to buy and sell options li
Prof. Stephan Dieckmann
Financial Derivatives (206/717)
Fall 2011
The Wharton School, University of Pennsylvania
Problem Set 3: Commodities and Interest Rate Derivatives
This problem set is due at the beginning of class on Thursday, October 13. All
proble
Midterm Exam
Financial Derivatives
Summer 2010
You have 90 minutes. Please make sure to show your work and indicate your answers. You may
use a non-programmable, non-graphing calculator and a 1-sided formula sheet. Good luck!
33% 1) Consider the following
Philipp Illeditsch
Spring 2009
Financial Derivatives (206/717)
Sections 401, 402, 403
The Wharton School, University of Pennsylvania
Second Midterm Exam
You have two hours to complete this exam. Please show your work and clearly state
any assumptions you
Prof. Stephan Dieckmann
Financial Derivatives (206/717)
Fall 2011
The Wharton School, University of Pennsylvania
Problem Set 4: Options
This problem set is due at the beginning of class on Thursday, November 10. All
problem sets can be solved in groups of
Philipp Illeditsch
Fall 2009
Financial Derivatives (206/717)
Sections 401, 402, 403
The Wharton School, University of Pennsylvania
Second Midterm Exam
You have one hour and 20 minutes to complete this exam. Please show your work
and clearly state any assu
Midterm Exam
Financial Derivatives
Summer 2012
You have 70 minutes for this two-question exam. Please make sure to show your work. You may use a nonprogrammable, non-graphing calculator, as well as a 1-page formula sheet.
65% 1) The following is a slightl
Prof. Stephan Dieckmann
Financial Derivatives (206/717)
Fall 2011
The Wharton School, University of Pennsylvania
Problem Set 2: Forward and Futures Contracts
This problem set is due at the beginning of class on Thursday, September 29. All
problem sets can
Suggested Solution
1. (a) The predicted loss can be approximated using the modied duration approximation
.5)(0
(for annual compounding): B = DB y = (7.4)(70515 .03) = 1.5835 billion dollars
1+y
1.
(for the current yield y in the denominator, the January 1
THIS IS THE SOLUTION TO LAST YEAR's
HW1 - to aid in your learning and in
attacking HW1 for this year!
Krishna Ramaswamy
FNCE 206/717
Solutions to HW1
(posted 1/12/04)
1 (i) TAGS: Opening, Purchase. Initial Margin (IM) is $10x 6,000 = $60,000.
(ii) Work on
Krishna Ramaswamy
FNCE 206/717
Spring 2014
HOMEWORK 1: FINAL
Updated 3 Feb 4:35pm now has 7 problems
Due 4:30pm in SHDH 2400 on 10 Feb 2014
THIS IS A SAMPLE FROM LAST YEAR!
This is the final version.
My TAs are instructed to help you work thru Problem 1 b
Problem Set 2
Winston Dou
Fall 2017
Due: 10/03/2017 in class
Question 1: Basic Concepts on Forward Curves (1/10)
(1) Define what a forward curve is. (1 sentence)
(2) Define what contango is. (1 sentence)
(3) Define what backwardation is. (1 sentence)
(4)
October 17, 2014, 1:37 PM ET
Structured Notes: The Risks of Insuring Against Risks
ByJason Zweig
Christophe Vorlet
Whenever the stock market turns turbulent, brokers and financial advisers trot out structured notes as an
alternative.
These short-term bond
Financial Analysts Journal
Volume 52 Number 2
2006. CFA Institute
FAJ
Facts and Fantasies about Commodity Futures
Gary Gorton and K. Geert Rouwenhorst
For this study of the simple properties of comnwditif futures as an asset class, an equally weighted
ind
Financial Derivatives
FNCE 206/717: FINANCIAL DERIVATIVES
Krishna Ramaswamy*
The Market Place, Described
The Canonical Products
Some Applications
The Course, Described
Q&A
Professor of Finance, 3259 SHDH, 215 898 6206, [email protected]
.
Financi
Philipp Illeditsch
Fall 2014
Financial Derivatives (206/717)
The Wharton School, University of Pennsylvania
Final Exam
You have two hours to complete this exam. Please show your work and clearly state
any assumptions you are making. You have to give at le
Philipp Illeditsch
Fall 2014
Financial Derivatives (206/717)
The Wharton School, University of Pennsylvania
Solutions to Final Exam
Exam statistics
Mean
St. Deviation
Median
Max
25th percentile
75th percentile
All
144.92
21.79
148
196
131
159
FNCE 206
145
Philipp Illeditsch
Fall 2014
Financial Derivatives (206/717)
The Wharton School, University of Pennsylvania
Solutions to Problem Set 1
I will post the grade for each student on Canvas. Please make sure you check your
grade and report any errors as soon as
Philipp Illeditsch
Fall 2014
Financial Derivatives (206/717)
The Wharton School, University of Pennsylvania
Solutions to Problem Set 3
I will post the grades of each problem set on Canvas. Please make sure you check
your grade and report any errors as soo
Financial Derivatives (FNCE 206)
Solutions to Problem Set 6
April 30, 2017
In the following three questions, the assumptions of Mertons model hold. Lets assume a
firm has assets of $100 with = 40%, the continuously-compounded expected return of assets is