Bibliography: Books: David Cobham (1992)‚ Markets & Dealers Frank Fabozzi (1986)‚ Advances in Futures and options research‚ DC Gardner (1996)‚ Introduction to derivatives‚ workbook 4‚ level 1 Paul Wilmott (1998)‚ Derivatives‚ The Theory and Practice of Financial Engineering Articles: Financial WMD? (derivatives and risk) The Economist (US) Jan. 24‚ 2004 Are
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Global Trading FINC 6015 Arbitrage Source: Frino Segara (2008) Chapter 3 – Course Text Joakim Westerholm Hui Zheng MARKET COMMENTARY MACRO: Any economic indicators that show the US economy is improving are now perceived as negative news for stock markets as this means the FED can wind back on flooding the market with liquidity created by buying back government bonds. POLITICAL: Syria Australian Reserve bank appears at ease with the weaker dollar and will continue to ease rates:
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do this two methods are presented: a) calculating the hypothetical sequel performances and obtaining a total value of investment using an appropriate rate for discounting to present time b) using a simple Black-Scholes options pricing model to calculate the price of the rights call. The data which we will use to compute our calculations was provided by David Davis and the Paul Kagan Associates which are presented in exhibits 6 to 9. Calculating the NPV of all the profitable sequels of a studio.
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more basic underlying variable. These are also known as contingent claims. Derivatives securities have been very successful in innovation in capital markets. The emergence of the market for derivative products most notably forwards‚ futures and options can be traced back to the willingness of risk-averse economic agents to guard themselves against uncertainties arising out of fluctuations in asset prices. By their very nature‚ financial markets are market by a very high degree of volatility. Though
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1 A call option price will increase‚ all else equal‚ when: a. the price of the underlying asset decreases b. the interest rates in the market decreases c. the time to maturity decreases d. the exercise price increases e. the volatility of the return of the underlying asset increases Answer E 2 The type(s) of risk that is (are) generally hedged with derivative contracts include all of the following except: a. commodity price risk b. foreign exchange risk c. interest rate risk d. property
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Chapter 5 of the textbook by discussing the feasibility for Ben Holt‚ the chief financial officer‚ to move forward to hedging Blades’ yen payables position‚ the advantages and disadvantages associated with purchasing derivatives instruments such as call options and future contracts‚ the use of the market consensus of the future yen spot rate provided to determine the optimal hedge for the firm and the danger and/or value of using derivatives as a risk management tool (Madura‚ 2009). B) Section
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Two different options to mimic | 1) X=87.5 call option‚ expiring at Nov 16‚ 2012. 2) X=90 call option‚ expiring at Nov 16‚ 2012. | 2. Calculate the annualized standard deviation: σ=0.1357502 Completed calculation table (See Appendix) 3. Replicating Portfolios X=87.5 call option Completed calculation table (See Appendix) X=90 call option Completed calculation table (See Appendix) a. A discussion of how well the synthetic option price tracked the actual option price for each
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Samsung Motors‚ which is actually owned by Pan-Pacific at certain exercise price on or before the maturity date. If the stock price of Samsung Motors decreases‚ Pan-Pacific will exercise the put option and earn a gain. Or if the stock price of Samsung Motors increases‚ Pan-Pacific will exercise the call option and earn a gain‚ too. In this way‚ Pan-Pacific‚ which is the shareholder of Samsung Motors‚ has been guaranteed by Samsung Electronics a certain rate of return. So there is no risk for Pan-Pacific
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8 5. References ---------------- 9 INTRODUCTION: Derivatives have been traded for centuries‚ with early examples including tulip bulb options in Holland and rice futures in Japan during the 17th century. But futures markets were relatively small until the 1970s when developments in pricing methodology spurred spectacular growth. The derivatives market has grown 100-fold over the past 30
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Dividends Ch 22: Net Advantage of Leasing (NAL) Break-even Lease Range of Lease Payments Ch. 23 M&A with cash M&A with stock swap Ch. 24 Read a futures quote Read an option quote Create a simple hedge Ch. 25 Types of options and payoffs Intrinsic and time value Factors influencing option value Convertible bonds Warrants Chapter 15 Probably one of the easier chapters. Make sure you read it over because there is a lot of detail there that might show up
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