THE UNIVERSITY OF HONG KONG
Group Project #1
MFIN6003 Derivative Securities
Group 6
Tong Hei Wun, Edith (3035161932),
Shek Kai Yat, Seth (3035163095),
Wang Shijia, Jackie (3035160897),
Li King Wun, Thomas (3035163538),
4/14/2015
[email protected]
seth.k

Lecture 9: Asymptotic Analysis of the Black-Scholes Formula
and Implied Volatility
Asymptotic Analysis of the Black-Scholes Formula
Definition of asymptotic analysis: Asymptotic analysis is the analysis of a function
under the condition that one or more i

Lecture 5 A: Martingale Approach
Black-Scholes Economy
In the original Black-Scholes economy,
1. there are no market imperfections. That is, there are no taxes, no transactions
costs, and no short-sale constraints. Security trading is frictionless;
2. sec

Lecture 2: The Tree Approach II - Binomial Tree
From binomial branches to binomial tree
a more realistic model
at each node, the price of a security can either go up or down a short tick later
stringing the individual t together
stochastic process: a

Lecture 2: The Tree Approach II - Binomial Tree
From binomial branches to binomial tree
a more realistic model
at each node, the price of a security can either go up or down a short tick later
stringing the individual t together
stochastic process: a

M&A PROPOSAL FOR
CONOCOPHILLIPS
MFIN7010 GROUP PROJECT | CONOCOPHILLIPS
MFIN7010 GROUP PROJECT | CONOCOPHILLIPS
THE OIL INDUSTRY
Petroleum remains king in the world of energy consumption despite of windmills and solar panels,
electric cars and nuclear pow

GLOBAL TRENDS IN OIL & GAS
MARKETS TO 2025
Table of contents
Global oil market outlook 3
Global trends in refining 22
Global natural gas market outlook
30
Challenges for Russian oil and gas industry
42
Conclusion 59
1
Trends in Global Oil &
Gas Mark

GLAUCUS
RESEARCH GROUP
Things gained through unjust fraud are never secure.
- Sophocles
THIS RESEARCH REPORT EXPRESSES OUR OPINIONS. Use Glaucus Research Group California, LLCs research opinions at
your own risk. This is not investment advice nor should i

How We Came Up With The Option Formula
Black, Fischer
Journal of Portfolio Management; Winter 1989; 15, 2; ABI/INFORM Global
pg. 4
Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.
Reproduced with permi

Lecture 4: Stochastic Differential Equations and Ito's lemma
In continuous-time framework, we will focus on Brownian motion and its
relatives. Brownian motion is the building block of stochastic processes.
The difference between a function and a process.

Lecture 3: Normal Distribution; Lognormal Distribution;
Review of Probability
Discrete Process: a process,whose value changes on distinct, separated time
points.
1. The binomial tree model is a discrete-time model. The price of securities
changes at discr

Questions
Chapter 2, 3, 6
Chapter 2 Questions and Problems
5
Hobbit, Inc., purchased new cloaking machinery three years ago for $7 million. The
machinery can be sold to the Middle Earth, Inc. today for $4.9 million. Hobbits curr
ent balance sheet shows ne

1
BUS201/2201 Term 1 of 2016-17: PROJECT GUIDELINES
Requirements
1.
For your project assignment, you are required to analyze a listed company (excluding financial
institutions and banks) in Hong Kong. The lecturer will assign a listed company to each grou

Lecture 10: Deriving Greeks
Greeks are often used by practitioners for hedging or managing risks. Each Greek
letter measures a different dimension of risk in an option position. They measure
the relative change in option price for one unit of change in an

Lecture 8: Derive the Black-Scholes Formula from the BlackScholes Partial Differential Equation (PDE)
Partial Differential Equation (PDE)
Partial differential equation (PDE) is an equation with partial derivatives. It is used
to describe an unknown functi

Lecture 1: The Tree Approach I - Binomial Branch
Framework
Framework: a risky stock St, a riskless cash bond Dt, and a derivative Ft.
St
p
su
1-p
sd
s0
t= t
t=0
Dt
e
1
r t
The stock price starts at s0 ( S0 = s0). A short tick
later ( t ), the stock price

Lecture 7: Derive the Black-Scholes Partial Differential
Equation (PDE)
The Black-scholes formula for the price of vanilla call/put options is a function of
five arguments.
Let ct be the price of a option at time t;
Let St be the underlying stock price at

Lecture 5 B: Pricing Foreign Exchange and Equities with
Dividends
Reference: Ch4.1-4.2 in the book of Baxter and Rennie.
Definition of tradable: An asset is tradable if it can be traded either directly or
indirectly by trading a matching portfolio.
We can

Lecture 6: Derive the Black-Scholes Formula by the
Martingale Approach; Put-call Parity
Derive the Black-Scholes Formula by the Martingale Approach
Harrison-Pliska (1981) risk-neutral valuation formula
(
ct = Et Q e r (T t )cT
)
(1)
The price of a derivat

Financial Statement Analysis
Ticker: 1382 HK Equity
Periodicity: Annuals
Currency: HKD
Note: Years shown on the report are Fiscal Years
Company: Pacific Textiles Holdings Ltd
Filing: Most Recent
As Reported
For the period ending
Balance Sheet
Noncurrent A