Derivative investment course work Topic: Discuss and investigate VaR and its characteristics when applied to options. You must produce example calculations on: European and American style options Long and short positions in these Portfolio of at least three different options (more is better) Introduction All financial institutions bear some sort of risk while dealing with different financial instruments‚ whether it be corporate treasurers‚ fund managers or financial institutions‚ they are
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and ECX have been owned by Climate Exchange PLC‚ a publicly traded company listed on the AIM division of the London Stock Exchange. ECX manages the product development and marketing for ECX Carbon Financial Instruments (ECX CFIs) futures and options contracts‚ listed and admitted to trading on the ICE Futures electronic platform. ECX/ICE Futures is the most liquid‚ pan-European platform for carbon emissions trading‚ attracting over 80% of the exchange-traded volume in the market. ECX emissions
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Problem go to solution Business‚ Finance - Year 2 What is the bond ’s conversion ratio? What is the bond ’s conversion value? What is the bond ’s straight-debt value? The following data apply to Saunders Corporation ’s convertible bonds: Maturity 10 Stock Price $30.00 Par Value $1‚000 Conversion Price $35.00 Annual Coupon 5% Straight-Debt Yield 8% 1) What is the bond ’s conversion ratio? A. 27.14 B. 28.57 C. 30.00 D. 31.50 E. 33.08 2) What is the bond ’s conversion value? A. $698.15 B. $734
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paper analyzing the risk exposure and risk management of a company or industry. Guidelines for this research project are given at the end of this syllabus. Course Subject and Objectives This course focuses on forward contracts‚ futures contracts‚ options and swaps. By the end of the term students will learn how these contracts work‚ how they are used for risk management‚ and how they are priced. This subject belongs to the field of quantitative finance and traditionally it is referred to as “financial
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Fin 4910/6990 Further Questions Problem 7.19 (a) Company A has been offered the rates shown in Table 7.3. It can borrow for three years at 6.45%. What floating rate can it swap this fixed rate into? (b) Company B has been offered the rates shown in Table 7.3. It can borrow for 5 years at LIBOR plus 75 basis points. What fixed rate can it swap this floating rate into? (a) Company A can pay LIBOR and receive 6.21% for three years. It can therefore exchange a loan at 6.45% into a loan at LIBOR plus
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instruments are the following: * Recommendation from Yahoo‚ TD Ameritrade and other websites. * Price pattern * High or moderate P/E ratio * Seasons (spring‚ summer‚ fall and winter) for the commodities * Class lessons on option for option strategies I used the seasons to buy 2000 of iPath S&P GSCI Crude Oil Total Return Index ETN and 10 April futures on gaz. I used the thought that as we were still in winter when the project began that people would use more
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Puts and Calls Itô Refresher Appendix* Introduction Markus Leippold University of Zurich Chris Bardgett University of Zurich Elise Gourier University of Zurich Financial Engineering – September‚ 2012 Introduction 1 / 97 Historical Degression Setting the Stage No-Arbitrage Bounds Relations between Puts and Calls Itô Refresher Appendix* Outline 1 Historical Degression Setting the Stage No-Arbitrage Bounds Relations between Puts and Calls Itô Refresher
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References: Batchvarov‚ Alexander and Nicolas Gakwaya (2006)‚ “Principles and Structures of Islamic Finance‚” Merrill Lynch‚ European Structured Finance –ABS (8 September)‚ London. Black‚ Fischer and Myron Scholes (1973)‚ “The Pricing of Options and Corporate Liabilities‚” Journal of Political Economy‚ Vol. 81‚ No. 3‚ 637-54. El-Qorchi‚ Mohammed (2005)‚ “Islamic Finance Gears Up‚” Finance and Development‚ International Monetary Fund (IMF)‚ Vol. 42‚ No. 4 (December)‚ 46-9. Iqbal‚ Zamir and
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Hedging Corporate Revenues with Weather Derivatives: A Case Study Master of Science in Banking and Finance - MBF Master’s Thesis Antoni Ferrer Garcia Franz Sturzenegger Universit´ de Lausanne e Ecole des Hautes Etudes Commerciales HEC - 2001 Abstract This paper searches for the implications in the use of a new generation of financial derivatives known as Weather Derivatives as a form of hedging future corporate revenues. According to the US Department of Commerce about 22 per cent of
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HEC Paris Financial Markets Spring 2012 Final Exam “Cheat Sheet” 0. Basic Statistics (a) Consider an n-outcome probability space with probabilities p1 ‚ p2 ‚ . . . ‚ pn . Consider two discrete random variables X and Y with outcomes (X1 ‚ X2 ‚ . . . ‚ Xn ) and (Y1 ‚ Y2 ‚ . . . ‚ Yn ). 2 The we have the following formulas for means (µX ‚ µY )‚ variance (σX )‚ standard deviation (σX )‚ covariance (σX‚Y )‚ and correlation (ρX‚Y ) µX = EX = E(X) = p1 X1 + p2 X2 + · · · + pn Xn µY = EY = E(Y ) =
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