Kellogg Finance Prof Frydman
Problem Set #5
1. The quarterly risk free interest rate is 2.5%. European put and call options are currently traded on
Crazylegs, Inc. stock, with maturity 3 months from today and with exercise prices of $195 and of $205.
The
A Theory of the Term Structure of Interest Rates
Author(s): John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross
Source: Econometrica, Vol. 53, No. 2 (Mar., 1985), pp. 385-407
Published by: The Econometric Society
Stable URL: http:/www.jstor.org/st
Journal of Financial Economics 5 (1977) 177-188. 0 North-Holland
AN EQUILIBRIUM
CHARACTERIZATION
STRUCTURE
Publishing Company
OF THE TERM
Oldrich VASICEK*
Wells Fargo Bank and University of California, Berkeley, CA, U.S.A.
Received August 1976, revised ve
Chapter 2
Local Volatility Models
2.1
Local volatility models and Dupires equation
The local volatility models are based on the following prescription of asset price dynamic
dSt
= t dt + (St , t; S0 )dWt ,
St
where (St , t; S0 ) is a deterministic functio
Chapter 1
Introduction to Volatility Smiles
1.1
The Black-Scholes Formula and Volatility Smiles
Consider the pricing of a call option with payoff
CT = (ST K)+ .
Let us work with forward prices. The forward price of the underlying asset is
FtT =
St
,
P (t,
Option Pricing
Chapter 12 - Local volatility models -
Stefan Ankirchner
University of Bonn
last update: 13th January 2014
Stefan Ankirchner
Option Pricing
1
Agenda
The volatility surface
Local volatility
Dupires formula
Practical note: how to calibrate th
101 Formulaic Alphas
Zura Kakushadze1
Quantigic Solutions LLC,2 1127 High Ridge Road, #135, Stamford, CT 06905
Free University of Tbilisi, Business School & School of Physics
240, David Agmashenebeli Alley, Tbilisi, 0159, Georgia
December 9, 2015
There ar
Massey-Ferguson - Epilogue
1981: out-of-court settlement with lenders
STD -> LTD, Preferred stock
Interest, principal waived for 5 years
Lenders get 76 mm new shares (81% of total!) + options
Canadian govt. gave $450mm preferred stock guarantee - MF
PS3 Solutions
Kellogg Finance Prof Frydman
Solutions to Problem Set #3
1a) We evaluate the investment opportunity using the discounted cash flows (DCF) approach.
Year 0
Purchase database access
Year 1
Year 2
Year 3
(150,000)
Increase in profits
100,000
75
Kellogg Finance Prof Frydman
Solutions to Problem Set #1
1a) The monthly interest rate is 0.065/12=0.00542 or 0.542%, so the value as of month 24 is
(1.00542)12 x 25,000 + (1.00542)24 x 25,000 = $55,137.
1b) To use the annuity formula to solve for the mon
Kellogg School of Management
Northwestern University
Syllabus for Finance 440 Turbo Finance
Prof. Carola Frydman
Email: [email protected]
Office: Jacobs 418
Phone: 847-467-4457
Office Hours: Monday 3-4PM
Course Description
Principles of F
Kellogg Finance Prof Frydman
Answers to Problem Set #5
_
1. This problem requires repeated use of the put-call parity relation, which says that at all times
t in the life of put and call options with the same strike price, K, and maturity T, the prices
of
FE 310 Principles of Finance
Winter 2014
Professor Frydman
MIDTERM EXAM SOLUTIONS
Problem 1. Explain whether you agree or disagree with the following statements. Do not just write
True or False. Correct answers without correct and relevant explanations wi
My Life
As A Quant:
Reflections on physics and finance
Emanuel Derman
My Life As A Quant
i
Ambition is a state of permanent dissatisfaction with the present.
My Life As A Quant
ii
Table of Contents
Prologue: The Two Cultures
Physics and finance. What quan