1. Global Equity Markets: The case of Royal Dutch Shell Describe the structure of Royal Dutch/Shell Group. Does it differ from the equity listings of other companies that you know? The Royal Dutch and Shell Companies are essentially the same company. They share the same brand name of shell for their operations‚ share cash flows in an unusual 60/40 split‚ and they are based in different countries. The 60/40 split of inflows and outflows is especially strange because it makes an overperforming
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derivatives Equity Speculator Arbitrager 6. Choose and rate from 1 to 3 among the following attributes for each market. (Fill for only those market in which you trade) Returns Market volatility Portfolio diversification Hedging Arbitrage Commodity Currency derivatives Equity 7. Why do you think Indian retails investors have less preference towards currency derivatives market? Strongly agree Not enough self knowledge Less popular among peers Lack of govt. initiatives Agree
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As a general rule‚ mergers and acquisitions (M&A) are value destructive for shareholders. Demergers or spin-offs are value accretive. In simple English‚ that means‚ avoid the shares of an acquiring company. But there may be money making opportunities in the companies being demerged or spun off. There is a difference between a merger and an acquisition. Mergers are rare‚ as they happen between two companies that are equal in size and reach. Both companies lose their individual identities‚ and a
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A Computational Methodology for Modelling the Dynamics of Statistical Arbitrage Andrew Neil Burgess Decision Technology Centre Department of Decision Sciences A thesis submitted to the University of London for the degree of Doctor of Philosophy UNIVERSITY OF LONDON LONDON BUSINESS SCHOOL 1 October 1999 To my parents‚ Arnold and Carol. © A. N. Burgess‚ 1999 2 3 Acknowledgements Thanks to my supervisor‚ Paul Refenes‚ for bringing me to LBS‚ keeping me in bread and
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learned from the demise of Long Term capital Management. Provide a brief summary of what happened and what were the strategies used by the fund. The most well know strategy which hedge fund managers or practitioners undertake was “market neutral arbitrage”‚ thus‚ from this particular trading strategy‚ of course what they are doing is not like what the name suggested “hedging”‚ instead‚ hedge fund participants are trying to speculate from every financial markets. More specific‚ the trading strategy
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Advanced Security Analysis and Portfolio Management (EF4320) Spring 2014‚ by Dr. Dayong Huang Office: AC2 5110; Tel: 34429230; email: dayhuang@um.cityu.edu.hk; Email is preferred. Office hours: Tuesday 10:00-11:30 or Wednesday 10:00-11:30 or by appointment Teaching Assistant: Fred Chan‚ Yiufchan7@cityu.edu.hk‚ P7706 AC1. Please email Fred for general inquiries and hand in group homework assignments and trading records to Fred by due date. Aims and Objectives: This course is aimed to provide
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Financial Risk Management Financial Risk Management Assignment 1 Tutor: Thanh Nguyen Tutorial Time: 12pm (ED1 401) Vaishnav Dhimaan (15902398) Vipul Joshi (15905149) Financial Risk Management‚ FIN3FRM Semester 2‚ 2012 Assignment 1 Q.1 An investor enters into a short forward contract to sell 100‚000 British pounds for U.S. dollars at an exchange rate of 1.9000 U.S. dollars per pound. How much
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MFIN6003 Derivative Securities Dr. Huiyan Qiu TVM and No-Arbitrage Principle: practice questions and problems Work on the following problems to check your knowledge on the time value of money and no-arbitrage principle. 1. An interest rate is quoted as 5% per annum with semiannual compounding. What is the equivalent rate with (a) annual compounding‚ (b) monthly compounding‚ and (c) continuous compounding? 2. An investor receives $1‚100 in one year in return for an investment of $1‚000 now
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Lecture 2: Pricing by Arbitrage Readings: Ingersoll – Chapter 2 Dybvig & Ross – “Arbitrage‚” New Palgrave entry Ross – “A Simple Approach to the Valuation of Risky Streams‚” Journal of Business‚ 1978 Here we will take a first look at a financial market using a simple state space model. We first develop some structure then examine the implications of the absence of arbitrage. Often in finance problems‚ uncertainty is characterized by the use of a set of random variables with a particular
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(Interest rate parity is a no-arbitrage condition representing an equilibrium state under which investors will be indifferent to interest rates available on bank deposits in two countries.[1] The fact that this condition does not always hold allows for potential opportunities to earn riskless profits from covered interest arbitrage. Two assumptions central to interest rate parity are capital mobility and perfect substitutability of domestic and foreign assets. Given foreign exchange market equilibrium
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