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MATBUS 470 Winter 2015
MATBUS 470 Fall 2015 assignment 1.
Due: October 16th before 11:30 am in M3-2001
You are giving the following information:
The current price of copper is $230 per
University of Waterloo
Term and Year of Offering: Fall 2013
MATBUS 470 Derivatives: LEC: 10:00-11:20 TTh E2 1303
Instructor: R. Keith Freeland, M3 2016, [email protected], extension 33356
Office
MATBUS 470
Assignment 1 Solutions
1) A portfolio manager has maintained an actively managed portfolio with a beta of 0.2.
During the last year the risk-free rate was 5% and equities performed very bad
MATBUS 470
Assignment 2
Due: November 13th at the beginning of class
1) A stock price is currently $40. It is known that at the end of one month it will be either $42 or
$38. The risk-free interest ra
MATBUS 470 Fall 2013
Assignment 3
Due: Noon November 25th in M3 2001.
1. Consider a stock where the price remains constant until the price jumps and when
the price jumps it always jumps up by 2%. The
MATBUS 470 Winter 2015
MATBUS 470 Fall 2015 assignment 1.
Due: October 16th before 11:30 am in M3-2001
. You are giving the following information:
0 The current price of copper is $230 per 100 lbs.
0
MATBUS 470 Fall 2015
Assignment 3
Due: Beginning of nal lecture
1. A nancial institution has the following portfolio of over-the-counter options on sterling:
Type Position Delta of option Gamma of opt
Chapter 10 Mechanics of Options Markets
Option types:
A call is an option to buy
A put is an option to sell
A European option can only be exercised at the end of its life
An American call can be exerc
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MATBUS 470 Fall 2016
MATBUS 470 Fall 2016 assignment 1.
Due: October 28th before class
You are giving the following information:
The current price of copper is $230 per 100 lbs.
The r
MATBUS 470 Fall 2016
Assignment 2.
Due: December 2nd at the beginning of class
1. Suppose that a stock price has an expected return of 13% p.a. and a volatility of 25% p.a.
The stock price today is $5
DerivaGem - Version 2.01
For Excel 2000 and more recent versions of Excel
Applications created from the Applications Builder Software that
accompanies John Hull's texts:
"Options, Futures and Other De
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MATBUS 470 Winter 2017
assignment 2.
Due: March 20th at the beginning of class
Suppose that a stock price has an expected return of 13% p.a. and a volatility of 25% p.a.
The stock price to
DerivaGem - Version 2.01
For Excel 2000 and more recent versions of Excel
This is the Options Calculator Software that has been designed to
accompany John Hull's texts:
"Options, Futures and Other Der
MATBUS 470 Fall 2015
MATBUS 470 Fall 2015 assignment 2.
Due: November 11th at the beginning of class
. Suppose that a stock price has an expected return of 13% pa. and a volatility of 25% pa.
The stoc
fall- 2017 matbus 470 midterm1
#35 l of 8
UNIVERSITY OF
' ' m Examination
WallAM/Quest Login Usc1itl:
m Midterm 1
Fall 2017
Times: Thursday 2017-1019 at 11:30 to 12:50 M ATBUS 470
Duration: 1 hour 2
MATBUS 470 Winter 2014
Assignment 2
Due: Noon March 13th in M3 2001.
1. A stock price is currently $30. During each two-month period for the next four months it
is expected to increase by 8% or reduce
MATBUS 470
Assignment 3
Due: April 3rd at the beginning of class
1) Derive a formula for the delta of a European call option under the Black-Scholes-Merton pricing
formula. That is, take the partial d
MATBUS 470 Assignment 2 Solutions
1) A stock price is currently 550. It is known that at the end of six months it will be either 560 or
$42. The risk-free rate of interest with continuous compounding
MATBUS 470
Assignment 1
Due: February 6th at the beginning of class
1) A portfolio manager has maintained an actively managed portfolio with a beta of 0.2.
During the last year the risk-free rate was
MATBUS 470
Assignment 2
Due: March 11th at the beginning of class
1) A stock price is currently $50. It is known that at the end of six months it will be either $60 or
$42. The risk-free rate of inter
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MATBUS 470 Winter 2017
assignment 1.
Due: February 27rd at the beginning of class
You are giving the following information:
The current price of copper is $230 per 100 lbs.
The risk-f
The midterm has 6 questions.
Q 1. forward contracts (focus on 5.1-5.10)
Q 2. Properties of Stock Options (Ch. 10) requires no arbitrage arguments
Q 3. Continuous time stock model (13.3, 13.7 and 14.1)