SEEM 5840: Problem Set 7
Question 1 (From Textbook, Chapter 14, Question 14.20a)
A chooser option (also known as an as-you-like-it option) becomes a put or a call at
the discretion of the owner. For example, consider a chooser on the S&R index for
which b

SEEM 5840: Problem Set 7
Question 1 (From Textbook, Chapter 14, Question 14.20a)
A chooser option (also known as an as-you-like-it option) becomes a put or a call at
the discretion of the owner. For example, consider a chooser on the S&R index for
which b

SEEM 5840 Financial Analysis and Security Trading
Exam 2 (Part II)
16:05 17:30, Saturday, November 17, 2012
Read the following CAREFULLY.
There are 6 questions yielding a maximum score of 50 points.
There is one bonus question yielding a score of 10 point

WP/10/55
FX Swaps: Implications for Financial and Economic Stability
Bergljot B. Barkbu and Li Lian Ong
2010 International Monetary Fund
WP/10/55
IMF Working Paper Strategy, Policy and Review Department and Monetary and Capital Markets Department FX Swap

The University of Reading
THE BUSINESS SCHOOL
FOR FINANCIAL MARKETS
Hedging with Stochastic and Local Volatility
ISMA Centre Discussion Papers in Finance 2004-11
Preliminary Version: July 2004
This Version: December 2004
Carol Alexander
ISMA Centre, Unive

SEEM 5840: Tutorial 5
Question 1: (From Problem Set 4) Using the synthetic long stock strategy, explain the
difference in call and put prices.
Question 2: (From Problem set 4). Can a bull spread or bear spread have zero initial premium? A
butterfly spread

SEEM 5840: Tutorial 2
Question 1: (From Problem Set 2 Question 1)
Setting the Scene:
You are a high-flying investment banker and it is Monday 19th, June 2007.
Your client, Millennium Co. Ltd. (a medium sized UK company), has just completed
the sale of its

The Chinese University of Hong Kong
SEEM 5840 Financial Analysis and Security Trading
Fall 2012
Time: 2.30-5.15pm
Classroom: ERB404
Course Description:
Welcome to SEEM 5840! This course introduces the features of equity, fixed income and foreign exchange

SEEM 5480: Tutorial 4 Solutions
Question 1: (Martellini, Ex. 4.2) At date t = 0, we consider three bonds with the following features:
Annual Coupon (%)
Maturity (Years)
Price
Bond 1
10
2
P01 = 108.00
Bond 2
7.5
3
P01 = 100.85
Bond 3
8.5
3
P01 = 103.50
Der

SEEM 5840: Problem Set 8
Question 1:
Optimizing an Interest Rate Risk Hedging Program:
Your client needs to borrow $10m for five years, and is concerned to protect its position in
the event that the interest rates rise. It has arranged a $10m facility bor

SEEM 5840: Problem Set 8
(PS8 material is based on Lecture 9. This material will NOT be covered in the Final)
Question 1:
Optimizing an Interest Rate Risk Hedging Program:
Your client needs to borrow $10m for five years, and is concerned to protect its po

SEEM 5840: Problem Set 2
Question 1:
Setting the Scene:
You are a high-flying investment banker and it is Monday 19th, June 2007.
Your client, Millennium Co. Ltd. (a medium sized UK company), has just completed
the sale of its US subsidiary Millennium (No

SEEM 5840: Tutorial 6
Question 1: Please Choose from the following: T / F (True/False)
a.
T/F
You priced a call and a put option using historical volatility, along with the
risk-free rate, strike price, current price of the stock and time to maturity.
You

SEEM 5840: Tutorial 6
Question 1: A combination of a long call on Euro and a short call on the dollar is equivalent
to _. Assume same maturity and strike for both options.
(A) A riskless bond with face value equal to the strike price
(B) A long call on a

SEEM 5840: Tutorial 8
Question 1. Which of the following is false?
(A) As the frequency of averaging increases, the value of an average price option declines
(B) Given a frequency of averaging, as the time window for averaging increases, the
value of an a

Volatility and Hedging Errors
Jim Gatheral
September, 25 1999
Background
Derivative portfolio bookrunners often complain that
hedging at market-implied volatilities is sub-optimal relative to
hedging at their best guess of future volatility but
they ar

9.17. Consider an exchange-traded call option contract to buy 500 shares with a strike price of
$40 and maturity in 4 months. Explain how the terms of the option contract change when there
is: (a) a 10% stock dividend; (b) a 10% cash dividend; and (c) a 4

11.7. A call option with a strike price of $50 costs $2. A put option with a strike price of $45
costs $3. Explain how a strangle can be created from these two options. What is the pattern of
profits from the strangle?
A strangle is created by buying both

The Chinese University of Hong Kong
SEEM 5840 Financial Analysis and Security Trading
Fall 2013
Time: 2.30-5.15pm
Classroom: ERB LT
I.
COURSE DESCRIPTION
Welcome to SEEM 5840! This course introduces the features of equity, fixed income and foreign exchang

The Chinese University of Hong Kong
SEEM 5840 Financial Analysis and Security Trading
Spring 2012
Time: 2.30-5.15pm
Classroom: ERB407
Course Description:
Welcome to SEEM 5840! This course introduces the features of equity, fixed income and foreign exchang

SEEM 5840 Financial Analysis and Security Trading
Final Exam (Part I)
14:30 15.55; Saturday, April 21, 2012
Read the following CAREFULLY and following instructions for answering.
There are 7 questions yielding a maximum score of 50 points.
There is 1 bonu

SEEM 5840 Financial Analysis and Security Trading
Final Exam (Part II)
16:05 17.30; Saturday, April 21, 2012
Read the following CAREFULLY and following instructions for answering.
There are 7 questions yielding a maximum score of 50 points.
There is 1 bon

SEEM 5840: Problem Set 2
Question 1:
Setting the Scene:
You are a high-flying investment banker and it is Monday 19th, June 2007.
Your client, Millennium Co. Ltd. (a medium sized UK company), has just completed
the sale of its US subsidiary Millennium (No

SEEM 5840: Problem Set 5
Question 1: At what strike price would the premium for a call be the same as the premium
for a put?
Answer: From the Put-Call Parity:
+C P = +Se-t - Ke-rt,
where r=interest rate, =dividend yield
For C=P, Right-hand-side of equatio

SEEM 5480: Problem Set 1
Question 1: Convexity
a) Compute the convexity of a 3-year bond paying annual coupons of 4.5% and selling at par.
According to the formula for computing the convexity, it is 10.37 years^2
b) Compute the convexity of a 3-year 4.5%