Name: _________________________________________ Instructions: The exam is composed of ten problems. Make sure you have all pages in your exam. Including this cover page‚ you should have ten pages. Each problem has its own set of instructions. You may use abbreviations for labels to save time. Unclear responses will receive 0 points. Partial credit will be awarded. If you need additional space for your answer‚ use the back of the page. Problem 1 5 Points Mint Corporation
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Active &Passive Portfolio – Call/Put Options and Futures This report will document the active traded portfolio held from Friday (July 18th‚ 2014) until Monday (August 11th‚ 2014). In this portfolio‚ the two portfolio managers traded call options and put option for the stocks on the S&P 500‚ as well as futures contracts in many different asset classes (commodities‚ currencies‚ indexes and so on). Trades were made at the end of each week and Monday (August 11‚ 2014)‚ resulting in four trading days
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income resulting from a hedging arrangement would be a result of hedge ineffectiveness such as this. Question A–4 A futures contract is an agreement between a seller and a buyer that calls for the seller to deliver a certain commodity (such as wheat‚ silver‚ or Treasury bond) at a specific future date‚ at a predetermined price. Such contracts are actively traded on regulated futures exchanges. If the “commodity” is
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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 futures contracts are standardized and all trades are cleared by LCH. Clearnet. More than 65 leading businesses‚ including
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Futures benefit to the farmers A Study of the price differences between the lean season and the arrival season of a commodity A Summer Project Report Submitted By Harish Ramesh Summer Trainee‚ NCDEX Ltd. 1 CERTIFICATE This is to certify that the project report titled “Study of the price differences between the lean season and the arrival season of a commodity and the seasonality of the commodity to understand the impact of futures trading on the commodity” done by Harish Ramesh for “National
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internal controls and risk management systems impacted the bank and ultimately led to its collapse. When Barings collapsed it had a capital of approximately $600 million. Contrast this with notional futures position of Japanese equity and interest rates of $27 billion‚ Nikkei 225 equity contracts of $20 billion and put and call options with nominal values of over $6 billion that the bank held. Given the level of capital it is incomprehensible that the bank could have created this level of exposure
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Question 2 RHS of the Forward pricing formula: S0 e rT 1100e5%6 /12 1127.85 (a) If F0T 1120 we would buy low and sell high (i.e. Long Forward; Short-sell stock and lend out the short-selling proceed). Arbitrage Strategy T=0 Short-sell Stock 1100 Lend -1100 T = 6 months -ST 5%×6/12 1100e = 1127.85 Long Forward 0 ST – 1120 Total 0 7.85 1 (b) If F0T 1130 we would buy low and sell high (i.e. Short Forward; Long stock and borrow
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read and give rewards to me ABSTRACT Gold is a brilliant yellow precious metal that is resistant to air and corrosion. Gold comes
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Question One “Options and futures are zero-sum games.” What do you think is meant by this statement? The statement means that the gain (loss) to the party with the short position is equal to the loss (gain) to the party with the long position. In total‚ the gain to all parties is zero. Question Two The Chicago Board of Trade offers a futures contract on long-term Treasury bonds. Characterize the investors likely to use this contract. Most investors will use the contract because they want to
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index future contract will decrease and the price of the stocks goes up. In general‚ the systematic risk of the portfolio that cannot be reduced by diversification has been hedged. A hedge is an investment position intended to offset potential losses/gains that may be incurred by a companion investment. In simple language‚ a hedge is used to reduce any substantial losses/gains suffered by an individual or an organization. According to Bruce Greenwald‚ investors who primarily trade in futures may
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