FI 4200
Final Exam Questions
2 In the futures industry all positions are marked to the market based on the daily
settlement price. What is marking to the market? What does this mean?
What is the process? What occurs? Why is this done?
Give a specific exam
Futures Fair Valuation
Valuation of a 6 month futures contract on gold.
We will assume there are no other costs other then interest income or
charges
FV = S e rt
S = 1000
r = 10%
t = 6 mos = .5
FV = 1000 e (.1)(.5)
= 1000 e .05
= 1051.2711
The assumption
Please answer all questions. Each part of question 1 is worth 2 points, question 2 is worth 2 points, and
question 3 is worth 4 points (for a total of 10 points).
1. Core concepts question
(a) What is the definition of an efficient market?
A market where
1- 12. If taxable income is $300,000, then they would pay taxes as follows (note that the
5 percent surtax on taxable income between $100,000 and $335,000 is added to
the 34% marginal tax paid, resulting in the 39% bracket):
Tax Liability:
$50,000 X 0.15
Introduction
Types of Hedges
Imperfect Hedging
Stock Index Futures
Chapter 3: Hedging Strategies Using Futures
Introduction
Types of Hedges
Imperfect Hedging
Stock Index Futures
Objective of chapter
Objective of this chapter is to learn how to
use futures
Introduction
Futures and Forwards
Options
Chapter 1: Introduction
Types of Traders
Arbitrage
Introduction
Futures and Forwards
Options
Types of Traders
Objective of class
What is the objective of this class?
To learn about derivatives . . .
Specifically:
Kathryn Canova
FI 4200
Introduction to Derivatives Markets
Spring 2017
HW #1
Due 9:30 AM on 1/26/17
Spring 2015: Sec 1: Exam 1: 1, 2, 4, 10, 13, 21
(1) = 2
-12 contracts; 5,000 bushels/contract
-Future price: $10.50/bushel
-Loss of $6,000
-September sold
FI 4200
Quiz VI
Dec 1. 2016
Name:
1. To value derivatives using the BSF , you must create a distribution curve for the underlying asset in
question. How is the mean of the distribution curve determined?
The asset will appreciate at the risk free rate. The
Single Stock Futures
You are a hedge fund manager. One of the stocks you trade is XYZ. On your computer screen
you see the following
XYZ
=65/sh
The 3 month future is trading at 65.35.
You think there is an opportunity to create an arbitrage position. You