100.00% 1,000,000.00
5.00%
50,000.00
10.00% 100,000.00
15.00% 150,000.00
30.00% 300,000.00
85% 850,000.00
number of months
3 o/n
6 6 months
12 1 year
24 2 years
A
B
C
Recovery Rate
LGD
9.64%
8
Template - Black-Scholes Option Value
Input Data
Stock Price now (P)
Exercise Price of Option (EX)
Number of periods to Exercise in years (t)
Compounded Risk-Free Interest Rate (rf)
Standard Deviation
Case Brazil
1) Are Brazil WTO actions serving the country's long-term economic and business interests?
Brazil's decision to join the World Trade Organization serve the country's long-term economic
int
Asset Pricing, Assignment 1
Question 1
1)
2)
3)
4)
5)
6)
A. The stock trading at the highest dollar price per share
C. less than the arithmetic average return
A. is better than the performance of port
Binomial tree
25
a)
3
b)
3
c1)
6
c2)
4
d)
4
e)
5
The current USD/RUB exchange rate is S=60. The risk free interest rates are S
6% (for RUB) and 0% (for USD) (continuous compounding). Vol=20%.
60
Build
Firm Value
All in mln of $
Tax rate
LT Debt
Probability of bankruptcy
Cost of bankruptcy
40%
3000
32.50%
25%
Before Levering
Equity Value
Total Debt
Cash & Cash equiv.
Net Debt
EV
# of shares
Share Pr
2000.00
450.00
Price
400.00
350.00
300.00
1500.00
250.00
200.00
1000.00
500.00
Earning
s
150.00
100.00
50.00
0.00
1870.00 1890.00 1910.00 1930.00 1950.00 1970.00 1990.00 2010.00
0.00
R e a l S & P C o
HW4
Alexey Botov
Problem 1
1) Find the likelihood function for this sample (the joint probability density function).
L(, x1,xn)=
2) lnL=ln(
3) L(|xi)=*exp(-xi)
ln(L)(|xi)=ln()-xi
4)
Problem 2
1) First
HW4
Alexey Botov
Problem 1
1) Find the likelihood function for this sample (the joint probability density function).
xj ,
n
x j
j=1
exp ( x j )= n exp ( )
L(, x1,xn)=
n
f x ()=
j=1
n
j=1
n
n
j =1
j
Case 7: Spiegel
Student: Alexey Botov
Case Question
Company info: Der Spiegel is Germany's most influential political news
magazine. In the 1970's, its founder Rudolf Augstein gave a 50% ownership
sta
Asset Pricing
Problem 1
1)
2)
3)
4)
5)
6)
7)
8)
9)
E. None of the above.(14,75%)
C. 0.6. Note that the appraisal ratio is unchanged if portfolio is mixed with cash and the market
E. factor loadings
C.