Finance 562 - Winter 2011 #2
Find the non-arbitrage futures price of a CME Euro FX futures contract if the , Euro FX spot rate is $1.350, the U.S. interest rate is 0.50 percent the Euro-FX interest rate is 0.50 percent, and the Euro-FX futures contract ha
Each Call Option represents 100 Shares of the underlying stock Google
April 340 Calls
April 380 Calls
April 360 Puts
April 300 Puts
1.
Position
100
-200
300
-500
Last
28.200
12.800
34.200
11.100
Delta
0.572
0.334
-0.545
-0.228
Gamma
0.006
0.006
0.006
0.00
Finance 562 Winter 2011 - Mid-Term Exam
Name:_
TEST QUESTIONS (Either circle the correct answer or fill in the blank)
(Each Question is worth 3 Points) SHOW ALL of YOUR WORK!
ALSO: SHOW PRECISION TO 4 DECIMAL PLACES
1.
Which of the following best describe
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Ethics in Financial Markets
Mortgage Finance Essentials
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Biography
Mortgage Essentials
What Happened
Ethical
Finance 562 Winter 2011/12-Mid-Term Exam - Name:_
TEST QUESTIONS (Either circle the correct answer or fill in the blank)
(Each Question is worth 2 Points) SHOW ALL of YOUR WORK!
SHOW ANSWERS to ALL Questions to 4 DECIMAL PLACES.
1. Which of the following
1) $35
1.
A call option with a $5 premium, a stock price of $30 and an exercise price of $35 allows the holder the right to buy the stock at:
Consider a stock currently priced at $1200. The premium on a $1200 call with 1 month to expiration is $21. The pr
Finance 562 - Fall 2011
#2
Find the non-arbitrage futures price of a CME Euro FX futures contract if the ,
Euro FX spot rate is $1.300, the U.S. interest rate is 0.40 percent
the Euro-FX interest rate is 0.750 percent, and the Euro-FX futures contract has
Finance 562 Option Exam Questions
Name: _ _
MULTIPLE CHOICE TEST QUESTIONS (circle the correct answer) (Each Answer to Each Multiple Choice Question is worth 3 Points).
SHOW ALL WORK
1.
A call option with a $5 premium, a stock price of $30 and an exercise
Given the following Portfolio: 13.1
Asset A Asset B Size $100,000 $100,000 Daily Volatility or SD 1% 1% $ Standard Deviation $1,000 $1,000 Correlation 0.3 0.3
A = B = Daily Standard Deviation in $'s for Asset A or Asset B = $100,000 x 0.01 = $1,000 2Portf
Finance 562 - Implied Forward Rate & Bond Duration Hedging Homework
0. Assume that the LIBOR curve is flat with the yield for all maturities from
overnight to one-year equal to 1.25%. Given this information, what would the
FRA rates be for the following m
Finance 562
Binomial Option Pricing Homework Assignment
In the following problems, n refers to the number of binomial periods. Assume all rates are continuously compounded, unless stated otherwise:
1. 1.Let S = $100; K = $105; r = 8%; T = 0.5; and Dividen
Class 8 - Homework
1. The spread between the yield on a 3-year corporate bond and the yield on a similar risk
free bond is 50 basis points. The expected recovery rate is 30%. Estimate the average
default intensity per year over the 3-year period.
Remember
Class 7 Homework
Complete Problems 13.1 and 13.4 on page 285 of Hull.
13.1 Consider the following Portfolio:
Size
Daily $ Standard Correlation Volatility or Deviation SD 1% 1% $1,000 $1,000 0.3 0.3
Asset $100,000 A Asset $100,000 B
What is the 5-day 99% V
FIN 562
Risk Management
J Mosevich
e-mail: jmosevic@depaul.edu
Office Phone: 312-362-5197
Room: 5545 DPC
Course Objective:
The risk management function has evolved beyond focusing solely on financial risk
management. This course embraces a more holistic a