Introduction The VIX is the ticker symbol for the volatility index that the Chicago Board Options Exchange (CBOE) created to measure the implied volatility of options on the S&P 500 index (SPX) over the next 30 calendar days. The formal name of the VIX is the CBOE Volatility Index. Originally‚ it was pioneered by Professor Robert Whaley in 1993. In the same year CBOE introduced Volatility Index that measured market’s expectation of 30 day volatility implied by eight at-the money S&P 100 (OEX) put and
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Returns 1 RETURNS Prices and returns Let Pt be the price of an asset at time t. Assuming no dividends the net return is Pt Pt − Pt−1 −1= Rt = Pt−1 Pt−1 The simple gross return is Pt = 1 + Rt Pt−1 Returns 2 Example: If Pt−1 = 2 and Pt = 2.1 then 2.1 Pt 1 + Rt = = = 1.05 and Rt = 0.05 Pt−1 2 Returns 3 The gross return over k periods (t − k to t) is 1 + Rt (k) := Pt−1 Pt−k+1 Pt Pt ··· = Pt−k Pt−1 Pt−2 Pt−k = (1 + Rt ) · · · (1 + Rt−k+1 ) Returns are • scale-free‚ meaning that they do not depend
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Overview The Risk - Return Relationship Another fundamental relationship in the study of finance is the relationship between expected return and the expected level of associated risk. The nature of the relationship is that as the level of expected risk increases‚ the level of expected return also increases. The opposite is true as well. Lower levels of expected risk are associated with lower expected returns. This RISK-RETURN RELATIONSHIP is characterized as being a direct relationship
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Greatest wealth today: PV Figure out PV of T-note‚ and then compare with its $910 cost Inputs: N = 270‚ I/Y = 5%/365=0.0137%‚ PMT=0‚ FV=$ 1000 Output: PV= $-963.69 $963.69 > $910‚ so buy the note to raises my wealth. Highest effective rate of return. Figure out the EAR% on T-note‚ and then compare with 5%‚ which is your opportunity cost of capital: Inputs: N = 270‚ PV=-$910‚ PMT=0‚ FV= $1000 Output: I/Y= 0.0349% EAR = EAR%=〖 (1+0.000349)〗^365 – 1 = 0.1358 =13.58% Cause 13.58% > 5%‚ so I
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Risk and Return Assignment Questions 1. Suppose a stock begins the year with a price of $25 per share and ends with a price of $35 per share. During the year it paid a $2 dividend per share. What are its dividend yield‚ its capital gain‚ and its total return for the year? 2. An investor receives the following dollar returns a stock investment of $25: $1.00 of dividends Share price rise of $2.00 Calculate the investor’s total return. 3. Below are the probabilities for the economy’s five
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invited to attend the conference programme. In addition to that‚ a number of students will be given the opportunity to join as well. Each conference will host approximately 200 attendees who will follow a mirrored programme. The event will last for two days and three nights‚ while the conference programme itself will last for half a day. During the conference several seminars‚ workshops and break out sessions will take place. This will allow the attendees to obtain new knowledge and give them the
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Same‚ Same But Different by Jenny Sue Kostecki-Shaw The book that I chose for this assignment is Same‚ Same But Different by Jenny Sue Kostecki-Shaw. At first‚ I thought it would be very difficult to find a book that was suitable for my presentation and it was not until I went to my school practicum that I found one. The theme for the week was rainbows‚ colours and diversity and to help children understand more about the different cultures around the world‚ my mentor teacher read Kostecki-Shaw’s
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Price Volatility Changes Fischer Black‚ Massachusetts Institute of Technology This article explains the analysis of Fischer Black on the volatility of underlying shares that flow in the cash market. Fischer Black also determines and explains how futures trading affect cash market volatility. Volatility may be described as a time series indicator which enables traders to quantify changes in market prices. Volatility can be characterized as historical or implied. Historical volatility measure
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Diminishing returns From Wikipedia‚ the free encyclopedia Jump to: navigation‚ search In economics‚ diminishing returns (also called diminishing marginal returns) refers to how the marginal production of a factor of production starts to progressively decrease as the factor is increased‚ in contrast to the increase that would otherwise be normally expected. According to this relationship‚ in a production system with fixed and variable inputs (say factory size and labor)‚ each additional unit of
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story‚ the gender roles seem to hold the shape. Usually we see the hero as a male that ventured out to the unknown and by some trial he matures and returns the respected head of the household. Women on the other hand‚ only leave their parent’s household when her father has found a husband that he feels suits the family the best. The woman is then expected to fill the needs and desires of her husband all the while maintaining the household chores. A pleasant breaking of this gender
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