24/05/2017
Derivative Products and Markets:
FINA2204
Lecture 11:
Sources:
Fundamentals of Futures and Options Markets: Chapter 7: Swaps
An Introduction to Derivatives and Risk management: Chapter 12
Prepared and delivered by Dr. Mahmoud Agha, CFA
Definiti
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 7 Questions
Problem 2.9
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 ce
TUTORIAL 6
Question 19.8
Business combination valuation entries, pre-acquisition
entries subsequent to acquisition
Robert Ltd acquired all the issued shares (cum div.) of Matt Ltd on 1 July 2015. At this date the
financial position of Matt Ltd was as foll
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What is quantitative easing?
3 December 2015
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1 of 6
Student: _
Date: _
Instructor: Yihui Lan
Course: FINA2205 Finance 2017
Assignment: Tutorial 6: Portfolio Theory
and Asset Pricing II
1. You are considering how to invest part of your retir
THE JOURNAL OF FINANCE VOL. LVI, NO. 4 AUGUST 2001
Investor Psychology and Asset Pricing
DAVID HIRSHLEIFER*
ABSTRACT
The basic paradigm of asset pricing is in vibrant f lux. The purely rational approach is being subsumed by a broader approach based upon t
Guide to Recommended Readings for Week 8: Economic & Industry Analysis
I expect some of you may regard with dismay and trepidation the number of
recommended readings and their length. If so, dont fret. The recommended readings are
not essential except whe
QE
QUANTITATIVE EASING (QE) INJECTING MONEY INTO THE ECONOMY
Your money what the Bank does
Quantitative
Easing (QE)
injecting money
into the economy
If interest rates are very low
and the Banks Monetary Policy
Committee expects inflation to
fall below th
The Formula Sheet
Call Payoff = Max(0, ST - K)
Call Profit = Max(0, ST - K) c
Put Payoff = Max(0, K - ST)
Put Profit = Max(0, K - ST) p
Total value = the intrinsic value + the time value
C c, P p
c S0
p Ke-rT
PK
C > 0, c 0
and C S0
c Max(S0 Ke-rT, 0)
p Ma
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 4 Questions
Problem 12.9
A stock price is currently AUD 50. It is known that at the end of two months it will be either AUD 53 or
AUD 48. The risk-free interest rate is 10% per
Derivative Products and Markets:
FINA2204
Lecture 4: Pricing Options I:
The Binomial Model Tree
Fundamentals of Futures and Options Markets: Chapter 12: Introduction to Binomial Tree
Prepared and delivered by Dr. Mahmoud Agha, CFA
Chapters 12. Introductio
Derivative Products and Markets:
FINA2204
Lecture 2: The basics: Mechanics
Properties of Options and their Markets
Fundamentals of Futures and Options Markets: Chapters 9 & 10
Prepared and delivered by Dr. Mahmoud Agha, CFA
and
Chapter 9: Mechanics of opt
Derivative Products and Markets:
FINA2204
Lecture 3: Option Trading strategies
Fundamentals of Futures and Options Markets: Chapter 11
Prepared and delivered by Dr. Mahmoud Agha, CFA
Chapter 11: Trading Strategies
Involving Options
Objectives:
This chap
Derivative Products and Markets:
FINA2204
Lecture 1: Introduction
Fundamentals of Futures and Options Markets: Chapter 1
Prepared and delivered by Dr. Mahmoud Agha, CFA
Chapter 1: Introduction
The nature of derivatives
A derivative is an instrument whose
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 3 Questions
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 spre
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 4 Questions
Problem 12.9
A stock price is currently AUD 50. It is known that at the end of two months it will be either AUD 53 or
AUD 48. The risk-free interest rate is 10% per
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 5 Questions
Problem 13.10
What is the price of a European call option on a non-dividend-paying stock when the stock price is
$52, the strike price is $50, the risk-free interes
Accounting and Finance, UWA Business School
SEMESTER 1, 2017 FINAL EXAMINATIONS
FINA2204
Derivative Products and Markets
FAMILY NAME: _ GIVEN NAMES: _
STUDENT ID:
SIGNATURE: _
This Paper Contains: 7 pages (including title page)
Time allowed: 2:00 hours
IN
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 9 Questions
Problem 5.8
Is the futures price of a stock index greater than or less than the expected future value of the index?
Explain your answer.
The futures price of a stoc
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 11 Questions
Problem 7.9
Companies X and Y have been offered the following rates per annum on a $5 million 10-year
investment:
Fixed rate
8.0%
8.8%
Company x:
Company y:
Floati
13/05/2017
Derivative Products and Markets:
FINA2204
Lecture 9: Determination of Forward and Futures prices.
Sources:
Fundamentals of Futures and Options Markets: Chapter 5:
Determination of Forward and Futures prices.
Prepared and delivered by Dr. Mahmou
16/04/2017
Derivative Products and Markets:
FINA2204
Lecture 7: Mechanics of Futures Markets
Sources:
Fundamentals of Futures and Options Markets: Chapter 2: Mechanics of
Futures Markets
Prepared and delivered by Dr. Mahmoud Agha, CFA
Opening and closing
5/05/2017
Derivative Products and Markets:
FINA2204
Lecture 7: Hedging using Futures
Sources:
Fundamentals of Futures and Options Markets: Chapter 3: Hedging
Strategies using futures
Prepared and delivered by Dr. Mahmoud Agha, CFA
Basic principles
Hedgers
14/03/2017
Derivative Products and Markets:
FINA2204
Lecture 3: Option Trading strategies
Fundamentals of Futures and Options Markets: Chapter 11
Prepared and delivered by Dr. Mahmoud Agha, CFA
Chapter 11: Trading Strategies
Involving Options
Objectives:
9/03/2017
Derivative Products and Markets:
FINA2204
Lecture 2: The basics: Mechanics and
Properties of Options and their Markets
Fundamentals of Futures and Options Markets: Chapters 9 & 10
Prepared and delivered by Dr. Mahmoud Agha, CFA
Chapter 9: Mechan
25/03/2017
Derivative Products and Markets:
FINA2204
Lecture 4: Pricing Options I:
The Binomial Model Tree
Fundamentals of Futures and Options Markets: Chapter 12: Introduction to Binomial
Tree
Prepared and delivered by Dr. Mahmoud Agha, CFA
Chapters 12.
5/04/2017
Derivative Products and Markets:
FINA2204
Lecture 6: The Greek letters
Sources:
Fundamentals of Futures and Options Markets: Chapter 17: The
Greek Letters
An Introduction to Derivatives and Risk management:
Prepared and delivered by Dr. Mahmoud
21/05/2017
Derivative Products and Markets:
FINA2204
Lecture 10:
Sources:
Fundamentals of Futures and Options Markets: Chapter 6:
Interest Rate Futures
Prepared and delivered by Dr. Mahmoud Agha, CFA
Day count convention in Australia
In Australia, Govern
29/03/2017
Derivative Products and Markets:
FINA2204
Lecture 5: Pricing Options II: The Black-Scholes-Merton
Model
Sources:
Fundamentals of Futures and Options Markets: Chapter 13: Valuing Stock
Options: The Black-Scholes-Merton Model
An Introduction to D
20/02/2017
Derivative Products and Markets:
FINA2204
Lecture 1: Introduction
Fundamentals of Futures and Options Markets: Chapter 1
Prepared and delivered by Dr. Mahmoud Agha, CFA
Chapter 1: Introduction
The nature of derivatives
A derivative is an instr
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 6 Questions
Problem 17.25
Consider a one-year European call option on a stock when the stock price is $30, the strike price is
$30, the risk-free rate is 5% and the volatility
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 8 Questions
Problem 3.10
Explain why a short hedgers position improves when the basis strengthens unexpectedly and
worsens when the basis weakens unexpectedly.
The basis is the
Business School
FINA2204: Derivative Products and Markets
Solution to tutorial 10 Questions
Problem 6.9
It is 5 May 2010. The quoted yield of a government bond with a 6% coupon that matures on 27 July
2014 is 4.32%. What is the cash (dirty) price?
Use the