DEPARTMENT OF ECONOMICS DELHI SCHOOL OF ECONOMICS UNIVERSITY OF DELHI. Minutes of Meeting
|
|
|
- Julius Arnold
- 8 years ago
- Views:
Transcription
1 DEPARTMENT OF ECONOMICS DELHI SCHOOL OF ECONOMICS UNIVERSITY OF DELHI Minutes of Meeting Subject : B.A. (Hons.) Economics, Sixth Semester Optional Papers Course : 28 Financial Economics Date of Meeting : 11 th December, 2014 Venue : Department of Economics, Delhi School of Economics, December, 2014 University of Delhi, Delhi Chair : Dr. U.B. Sinha Attended : 1. Abhishek, St. Stephen s College 2. AnimeshNaskar, Hans Raj College 3. Dr. Geeta, Dyal Singh College 4. MeeraMalhan, Delhi College of Arts & Commerce 5. Nandini Dutta, Miranda House 6. Pragya Nayyar, SGTB Khalsa College 7. Dr. RachnaMathur, SBSC(M) Readings: David G. Luenberger, Investment Science, Indian edition, 2012 Basu, Sankarshan, Hull, John C., Options, Futures and Other Derivatives, Pearson Education, Inc, 8 th edition, Brealey, Richard A., Myers, Stewart, C., Allen, Franklin, Mohanty, Pitabas, Principles of corporate finance. Tata McGraw-Hill Education, 10 th edition, Copeland, Weston. Shastri&Katz, Financial theory and corporate policy. Pearson 4 Bodie, Kane & Marcus, Investments, Tata McGraw-Hill Company Limited, 10 th edition. th edition,
2 Topic wise readings with theirweightage (%) in semester examination 1. Investment Theory and Portfolio Analysis (40%) a) Deterministic cash flows Streams: Basic theory of interest; discounting and present value; internal rate of return; evaluation criteria; fixed-income securities; bond prices and yields; interest rate sensitivity and duration; immunisation; the term structure of interest rates; yield curves; spot rates and forward rates. David G luenberger : Chapter 2 The Basic Theory of Interest (excluding 2.6, Theorem on PDV &Theorem on IRR) Chapter 3 Fixed-Income Securities (excluding 3.7) Chapter 4 The Term Structure of Interest Rates (4.1 to 4.4 ) Readings for Teacher:Bodie, Kane & Marcus: chapter-14, 15 & 16. Suggested Problem Set:David G luenberger: Chapter-2: Exercises-1,2,3 & 5. Chapter-3: Exercises-1, 5, 6, 7, 9, 11, 12 &14 Chapter-4: Exercises-, 2, 3, & 7. Bodie, Kane & Marcus: Exercises of chapter 14, 15 & 16 b) Single period random cash flows :Random asset returns; portfolios of assets; portfolio mean and variance; feasible combinations of mean and variance; mean-variance portfolio analysis: the Markowitz model and the two-fund theorem; risk-free assets and the onefund theorem. David G luenberger: Chapter 6 Mean-Variance Portfolio Theory[excluding section-6.2, example- 6.5, 6.7, 6.10, 6.11, 6.12 & 6.13, nonnegativityconstraint(page ) and solution method page )] Readings for Teacher: Copeland, Weston, Shastri& Katz: chapter-5. Suggested Problem Set:David G luenberger: Chapter-6: Exercises-1, 3, 4 & 5. Copeland, Weston, Shastri& Katz: chapter-5: Exercises-5.5, 5.9, 5.11 & 5.13.
3 c) CAPM : The capital market line; the capital asset pricing model; the beta of an asset and of a portfolio; security market line; use of the CAPM model in investment analysis and as a pricing formula. David G luenberger : Chapter 7 The Capital Asset Pricing Model (excluding 7.6& 7.8) Readings for Teacher: Copeland, Weston, Shastri&Kartz: chapter-6. Suggested Problem Set:David G luenberger: Chapter-7: Exercises-1, 2, 3 & 6. Copeland, Weston, Shastri& Katz: chapter-6: Exercises-6.2, 6.8, 6.10, 6.11 & Options and Derivatives (40%) Introduction to derivatives and options; forward and futures contracts; options; other derivatives Basu& Hull Chapter-2: Mechanics of futures markets (2.1 to 2.4 &2.11) Forward and future prices Basu& Hull Chapter-5: Determination of forward& futures prices (5.1 to 5.5, 5.9, 5.11 & 5.12) Suggested Problem Set:Basu& Hull Chapter-5: Stock index futures & the use of futures for hedging Basu& Hull Chapter-3: Hedging strategies using futures Suggested Problem Set:Basu& Hull Chapter-3: & 3.26 Interest rate futures & duration-based hedging strategies Basu& Hull Chapter-6: Interest rate futures (6.1 to 6.4) [exclude page-158 & 159] Suggested Problem Set:Basu& Hull Chapter-6: 6.1, 6.2, 6.4, 6.7, 6.8, 6.9, 6.11, 6.12, 6.15, 6.16, 6.17, 6.18, 6.23, 6.24 & 6.25.
4 Option markets; call and put options; factors affecting option prices; put-call parity Basu& Hull Chapter-9: Mechanics of options markets (9.1 to 9.7); Chapter-10: Properties of stock options Suggested Problem Set:Basu& Hull Chapter-9: , 9.23 & Chapter-10: , 10.22, & Option trading strategies: spreads; straddles; strips and straps; strangles Basu& Hull Chapter-11: Trading strategies involving options (11.1, 11.2 & 11.3) Suggested Problem Set:Basu& Hull Chapter-11: , , 11.13, 11.16, 11.20, & The principle of arbitrage; discrete processes and the binomial tree model; risk neutral valuation 1 Basu& Hull Chapter-12: Binomial trees. 3. Corporate Finance (20%) Patterns of corporate financing: common stock; debt; preferences; convertibles Brealey, Myers et al. Chapter-14: An Overview of Corporate Financing [14.1, 14.2(Common Stock & Preferred Stock) & 14.3] Corporate debt and dividend policy Brealey, Myers et al. Chapter-16: Payout Policy (16.1 to 16.3 & 16.5) Capital structure and the cost of capital; the Modigliani-Miller theorem Brealey, Myers et al. Chapter-17: Does Debt Policy Matter? [Exclude 17.4] Suggested Problem Set:Only solved examples of Chapters-14, 16 & 17. Questions Pattern in end semester examination: The full marks of the paper will be 75 and there will be three sections that contain total 8 questions. Each question will carry 15 marks. At least one question has to be attempted from each section. Scientific calculator can be allowed during the examination and students will also be provided with the tables of Interest Factors. 1 This topic has least weightage in the evaluation.
5
London School of Economics FM423 - FT - 2008-9. Course Syllabus
London School of Economics FM423 - FT - 2008-9 Department of Finance Vayanos - Yuan - Zachariadis Course Syllabus Course Description This is the core investments course in the MSc Finance Full-Time Programme.
Option Valuation. Chapter 21
Option Valuation Chapter 21 Intrinsic and Time Value intrinsic value of in-the-money options = the payoff that could be obtained from the immediate exercise of the option for a call option: stock price
Corporate Finance I. Degree Type Year Semester. 2501572 Business Administration and Management OB 3 1. 2501573 Economics OT 3 1
Corporate Finance I 2015/2016 Code: 102329 ECTS Credits: 6 Degree Type Year Semester 2501572 Business Administration and Management OB 3 1 2501573 Economics OT 3 1 2501573 Economics OT 4 0 Contact Name:
Trading Strategies Involving Options. Chapter 11
Trading Strategies Involving Options Chapter 11 1 Strategies to be Considered A risk-free bond and an option to create a principal-protected note A stock and an option Two or more options of the same type
ACCOUNTING AND FINANCE DIVISION (www.accountingandfinance.stir.ac.uk)
ACCOUNTING AND FINANCE DIVISION (www.accountingandfinance.stir.ac.uk) MSc in Finance MSc in Investment Analysis MSc in Banking and Finance MSc in Computing for Financial Markets MSc in International Accounting
OPTIONS IN CORPORATE FINANCE FINA 763 Spring 2005
OPTIONS IN CORPORATE FINANCE FINA 763 Spring 2005 Dr. William T. Moore Phone: 777-4905 (office) Office: BA 473 782-6434 (home) Office Hours: Open e-mail: aardvark@moore.sc.edu Objective This course is
MASTER FINANZAS DE EMPRESA
MASTER FINANZAS DE EMPRESA Subject Corporate Finance Code 607627 Mode Credits 4 Compulsory Attending 4 Nonattending Course First Year Semester 1 Language English LECTURERS 0 Department Professor Alejandro
TPPE17 Corporate Finance 1(5) SOLUTIONS RE-EXAMS 2014 II + III
TPPE17 Corporate Finance 1(5) SOLUTIONS RE-EXAMS 2014 II III Instructions 1. Only one problem should be treated on each sheet of paper and only one side of the sheet should be used. 2. The solutions folder
Options/1. Prof. Ian Giddy
Options/1 New York University Stern School of Business Options Prof. Ian Giddy New York University Options Puts and Calls Put-Call Parity Combinations and Trading Strategies Valuation Hedging Options2
Financial Mathematics Exam
2014 Exam 2 Syllabus Financial Mathematics Exam The purpose of the syllabus for this examination is to develop knowledge of the fundamental concepts of financial mathematics and how those concepts are
2015 Exam 2 Syllabus Financial Mathematics Exam
2015 Exam 2 Syllabus Financial Mathematics Exam The syllabus for this exam is defined in the form of learning objectives that set forth, usually in broad terms, what the candidate should be able to do
A Basic Introduction to the Methodology Used to Determine a Discount Rate
A Basic Introduction to the Methodology Used to Determine a Discount Rate By Dubravka Tosic, Ph.D. The term discount rate is one of the most fundamental, widely used terms in finance and economics. Whether
Introduction to Options. Derivatives
Introduction to Options Econ 422: Investment, Capital & Finance University of Washington Summer 2010 August 18, 2010 Derivatives A derivative is a security whose payoff or value depends on (is derived
Course Title : Financial Management. Teaching Hours : 42 hours (3 hours per week)
Course Title : Financial Management Course Code : BUS201 / BUS2201 No of Credits/Term : 3 Mode of Tuition : Sectional Approach Teaching Hours : 42 hours (3 hours per week) Category in major Programme :
9 Basics of options, including trading strategies
ECG590I Asset Pricing. Lecture 9: Basics of options, including trading strategies 1 9 Basics of options, including trading strategies Option: The option of buying (call) or selling (put) an asset. European
Lecture 12. Options Strategies
Lecture 12. Options Strategies Introduction to Options Strategies Options, Futures, Derivatives 10/15/07 back to start 1 Solutions Problem 6:23: Assume that a bank can borrow or lend money at the same
FIN 3710. Final (Practice) Exam 05/23/06
FIN 3710 Investment Analysis Spring 2006 Zicklin School of Business Baruch College Professor Rui Yao FIN 3710 Final (Practice) Exam 05/23/06 NAME: (Please print your name here) PLEDGE: (Sign your name
Option Values. Determinants of Call Option Values. CHAPTER 16 Option Valuation. Figure 16.1 Call Option Value Before Expiration
CHAPTER 16 Option Valuation 16.1 OPTION VALUATION: INTRODUCTION Option Values Intrinsic value - profit that could be made if the option was immediately exercised Call: stock price - exercise price Put:
Stock. Call. Put. Bond. Option Fundamentals
Option Fundamentals Payoff Diagrams hese are the basic building blocks of financial engineering. hey represent the payoffs or terminal values of various investment choices. We shall assume that the maturity
Derivatives: Principles and Practice
Derivatives: Principles and Practice Rangarajan K. Sundaram Stern School of Business New York University New York, NY 10012 Sanjiv R. Das Leavey School of Business Santa Clara University Santa Clara, CA
Chapter 21 Valuing Options
Chapter 21 Valuing Options Multiple Choice Questions 1. Relative to the underlying stock, a call option always has: A) A higher beta and a higher standard deviation of return B) A lower beta and a higher
Lecturer: Nikita K. Pirogov Class teachers: Nikita K. Pirogov, Maria S. Solntzeva. The following methods and forms of study are used in the course:
CORPORATE FINANCE 1 Corporate Finance Lecturer: Nikita K. Pirogov Class teachers: Nikita K. Pirogov, Maria S. Solntzeva Course description The course develops theoretical framework for understanding and
STAT2400 STAT2400 STAT2400 STAT2400 STAT2400 STAT2400 STAT2400 STAT2400&3400 STAT2400&3400 STAT2400&3400 STAT2400&3400 STAT3400 STAT3400
Exam P Learning Objectives All 23 learning objectives are covered. General Probability STAT2400 STAT2400 STAT2400 STAT2400 STAT2400 STAT2400 STAT2400 1. Set functions including set notation and basic elements
M.I.T. Spring 1999 Sloan School of Management 15.415. First Half Summary
M.I.T. Spring 1999 Sloan School of Management 15.415 First Half Summary Present Values Basic Idea: We should discount future cash flows. The appropriate discount rate is the opportunity cost of capital.
Exam P - Total 23/23 - 1 -
Exam P Learning Objectives Schools will meet 80% of the learning objectives on this examination if they can show they meet 18.4 of 23 learning objectives outlined in this table. Schools may NOT count a
SOLUTIONS EXAM 2013-10-25 WRITE AS CLEARLY AND DISTINCTLY AS POSSIBLE!
SOLUTIONS EXAM 2013-10-25 Instructions 1. Only one problem should be treated on each sheet of paper and only one side of the sheet should be used. 2. The solutions folder must be handed in before you leave
University of Chicago. Course Outline (provisional) FINANCE PP 320. Spring 2015 Mondays 3 to 5:30 PM Location:??, 1155 E 60th Street
University of Chicago Course Outline (provisional) FINANCE PP 320 Spring 2015 Mondays 3 to 5:30 PM Location:??, 1155 E 60th Street Raaj Sah sah@uchicago.edu Room 177, 1155 E 60th Street Mobile: +1 773
How To Model Money In An Excel 3D Program
EXCEL MODELING AND ESTIMATION IN CORPORATE FINANCE Third Edition CRAIG W. HOLDEN Max Barney Faculty Fellow and Associate Professor Kelley School of Business Indiana University PEARSON Pearson Education
Final Exam MØA 155 Financial Economics Fall 2009 Permitted Material: Calculator
University of Stavanger (UiS) Stavanger Masters Program Final Exam MØA 155 Financial Economics Fall 2009 Permitted Material: Calculator The number in brackets is the weight for each problem. The weights
Module Description. Master Programme. International Business and Finance (M.A.)
Fakultät für Wirtschaft Module Description Master Programme International Business and Finance (M.A.) (Version: 2014-10-01) Introduction: The official requirements for the degree program 'International
Factors Affecting Option Prices
Factors Affecting Option Prices 1. The current stock price S 0. 2. The option strike price K. 3. The time to expiration T. 4. The volatility of the stock price σ. 5. The risk-free interest rate r. 6. The
Financial Modelling. Objective. Course description. Spring 2014. Secretary Suzanne Shapiro, Office A208, ext. 8844 E-mail: sshapiro@london.
Financial Modelling Spring 2014 Lecturer Victor DeMiguel Professor of Management Science Office A217, ext. 8831 E-mail: avmiguel@london.edu Secretary Suzanne Shapiro, Office A208, ext. 8844 E-mail: sshapiro@london.edu
Syllabus CORPORATE FINANCE. Lecturer: Nikita K. Pirogov Class teachers: Nikita K. Pirogov, Maria S. Kokoreva. Course description:
Syllabus CORPORATE FINANCE Lecturer: Nikita K. Pirogov Class teachers: Nikita K. Pirogov, Maria S. Kokoreva Course description: The course develops theoretical framework for understanding and analysing
Two-State Option Pricing
Rendleman and Bartter [1] present a simple two-state model of option pricing. The states of the world evolve like the branches of a tree. Given the current state, there are two possible states next period.
Part V: Option Pricing Basics
erivatives & Risk Management First Week: Part A: Option Fundamentals payoffs market microstructure Next 2 Weeks: Part B: Option Pricing fundamentals: intrinsic vs. time value, put-call parity introduction
NIKE Case Study Solutions
NIKE Case Study Solutions Professor Corwin This case study includes several problems related to the valuation of Nike. We will work through these problems throughout the course to demonstrate some of the
On Black-Scholes Equation, Black- Scholes Formula and Binary Option Price
On Black-Scholes Equation, Black- Scholes Formula and Binary Option Price Abstract: Chi Gao 12/15/2013 I. Black-Scholes Equation is derived using two methods: (1) risk-neutral measure; (2) - hedge. II.
Week 12. Options on Stock Indices and Currencies: Hull, Ch. 15. Employee Stock Options: Hull, Ch. 14.
Week 12 Options on Stock Indices and Currencies: Hull, Ch. 15. Employee Stock Options: Hull, Ch. 14. 1 Options on Stock Indices and Currencies Objective: To explain the basic asset pricing techniques used
Practice Exam (Solutions)
Practice Exam (Solutions) June 6, 2008 Course: Finance for AEO Length: 2 hours Lecturer: Paul Sengmüller Students are expected to conduct themselves properly during examinations and to obey any instructions
Futures Price d,f $ 0.65 = (1.05) (1.04)
24 e. Currency Futures In a currency futures contract, you enter into a contract to buy a foreign currency at a price fixed today. To see how spot and futures currency prices are related, note that holding
Bonds, Preferred Stock, and Common Stock
Bonds, Preferred Stock, and Common Stock I. Bonds 1. An investor has a required rate of return of 4% on a 1-year discount bond with a $100 face value. What is the most the investor would pay for 2. An
Financial Econometrics
Financial Econometrics Economics Module Understand the hypothesis associated to the LRM. Identify and analyse time series and panel data. Assess the effect of time series and panel data on the LRM hypotheses.
A Simulation-Based lntroduction Using Excel
Quantitative Finance A Simulation-Based lntroduction Using Excel Matt Davison University of Western Ontario London, Canada CRC Press Taylor & Francis Croup Boca Raton London New York CRC Press is an imprint
ATENEO DE MANILA UNIVERSITY
ATENEO DE MANILA UNIVERSITY JOHN GOKONGWEI SCHOOL OF MANAGEMENT DEPARTMENT OF FINANCE AND ACCOUNTING Katipunan Avenue, Loyola Heights Quezon City, Philippines 1108 P.O. Box 154, Manila, Philippines PHONE
Jorge Cruz Lopez - Bus 316: Derivative Securities. Week 9. Binomial Trees : Hull, Ch. 12.
Week 9 Binomial Trees : Hull, Ch. 12. 1 Binomial Trees Objective: To explain how the binomial model can be used to price options. 2 Binomial Trees 1. Introduction. 2. One Step Binomial Model. 3. Risk Neutral
FIN-40008 FINANCIAL INSTRUMENTS SPRING 2008
FIN-40008 FINANCIAL INSTRUMENTS SPRING 2008 Options These notes consider the way put and call options and the underlying can be combined to create hedges, spreads and combinations. We will consider the
Options Markets: Introduction
Options Markets: Introduction Chapter 20 Option Contracts call option = contract that gives the holder the right to purchase an asset at a specified price, on or before a certain date put option = contract
ANALYSIS AND MANAGEMENT
ANALYSIS AND MANAGEMENT T H 1RD CANADIAN EDITION W. SEAN CLEARY Queen's University CHARLES P. JONES North Carolina State University JOHN WILEY & SONS CANADA, LTD. CONTENTS PART ONE Background CHAPTER 1
2. How is a fund manager motivated to behave with this type of renumeration package?
MØA 155 PROBLEM SET: Options Exercise 1. Arbitrage [2] In the discussions of some of the models in this course, we relied on the following type of argument: If two investment strategies have the same payoff
CHAPTER 21: OPTION VALUATION
CHAPTER 21: OPTION VALUATION PROBLEM SETS 1. The value of a put option also increases with the volatility of the stock. We see this from the put-call parity theorem as follows: P = C S + PV(X) + PV(Dividends)
Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients
Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This
10 Binomial Trees. 10.1 One-step model. 1. Model structure. ECG590I Asset Pricing. Lecture 10: Binomial Trees 1
ECG590I Asset Pricing. Lecture 10: Binomial Trees 1 10 Binomial Trees 10.1 One-step model 1. Model structure ECG590I Asset Pricing. Lecture 10: Binomial Trees 2 There is only one time interval (t 0, t
Economics 323: Finance Theory and Applications Wellesley College Fall 2008
Economics 323: Finance Theory and Applications Wellesley College Fall 2008 Eric Hilt Department of Economics PNE 411 Email: ehilt@wellesley.edu Office hours: Mondays, 1:00-2:00 PM; Wednesdays, 2:00-4:00
Institutional Finance 08: Dynamic Arbitrage to Replicate Non-linear Payoffs. Binomial Option Pricing: Basics (Chapter 10 of McDonald)
Copyright 2003 Pearson Education, Inc. Slide 08-1 Institutional Finance 08: Dynamic Arbitrage to Replicate Non-linear Payoffs Binomial Option Pricing: Basics (Chapter 10 of McDonald) Originally prepared
Option Values. Option Valuation. Call Option Value before Expiration. Determinants of Call Option Values
Option Values Option Valuation Intrinsic value profit that could be made if the option was immediately exercised Call: stock price exercise price : S T X i i k i X S Put: exercise price stock price : X
Lecture 12: The Black-Scholes Model Steven Skiena. http://www.cs.sunysb.edu/ skiena
Lecture 12: The Black-Scholes Model Steven Skiena Department of Computer Science State University of New York Stony Brook, NY 11794 4400 http://www.cs.sunysb.edu/ skiena The Black-Scholes-Merton Model
Fundamentals of Finance
University of Oulu - Department of Finance Fall 2015 What is it about in finance? Finance is basically nothing else but estimating expected future payoffs, and discounting them with an appropriate discount
CHAPTER 21: OPTION VALUATION
CHAPTER 21: OPTION VALUATION 1. Put values also must increase as the volatility of the underlying stock increases. We see this from the parity relation as follows: P = C + PV(X) S 0 + PV(Dividends). Given
NUS Business School. FIN2004 Finance. Semester II 2013/2014
NUS Business School FIN2004 Finance Semester II 2013/2014 COURSE DESCRIPTION This course provides students with the foundations to understand the key concepts and tools used in Finance. It offers a broad
Risk Budgeting: Concept, Interpretation and Applications
Risk Budgeting: Concept, Interpretation and Applications Northfield Research Conference 005 Eddie Qian, PhD, CFA Senior Portfolio Manager 60 Franklin Street Boston, MA 00 (67) 439-637 7538 8//005 The Concept
CHAPTER 11 INTRODUCTION TO SECURITY VALUATION TRUE/FALSE QUESTIONS
1 CHAPTER 11 INTRODUCTION TO SECURITY VALUATION TRUE/FALSE QUESTIONS (f) 1 The three step valuation process consists of 1) analysis of alternative economies and markets, 2) analysis of alternative industries
t = 1 2 3 1. Calculate the implied interest rates and graph the term structure of interest rates. t = 1 2 3 X t = 100 100 100 t = 1 2 3
MØA 155 PROBLEM SET: Summarizing Exercise 1. Present Value [3] You are given the following prices P t today for receiving risk free payments t periods from now. t = 1 2 3 P t = 0.95 0.9 0.85 1. Calculate
Overview. Option Basics. Options and Derivatives. Professor Lasse H. Pedersen. Option basics and option strategies
Options and Derivatives Professor Lasse H. Pedersen Prof. Lasse H. Pedersen 1 Overview Option basics and option strategies No-arbitrage bounds on option prices Binomial option pricing Black-Scholes-Merton
Tax-adjusted discount rates with investor taxes and risky debt
Tax-adjusted discount rates with investor taxes and risky debt Ian A Cooper and Kjell G Nyborg October 2005, first version October 2004 Abstract This paper derives tax-adjusted discount rate formulas with
Mid-Term Spring 2003
Mid-Term Spring 2003 1. (1 point) You want to purchase XYZ stock at $60 from your broker using as little of your own money as possible. If initial margin is 50% and you have $3000 to invest, how many shares
Chapter 1: Financial Markets and Financial Derivatives
Chapter 1: Financial Markets and Financial Derivatives 1.1 Financial Markets Financial markets are markets for financial instruments, in which buyers and sellers find each other and create or exchange
Financial management. L. Fung. Undergraduate study in Economics, Management, Finance and the Social Sciences AC3059
Financial management L. Fung AC3059 2015 Undergraduate study in Economics, Management, Finance and the Social Sciences This is an extract from a subject guide for an undergraduate course offered as part
The Lee Kong Chian School of Business Academic Year 2015 /16 Term 1
The Lee Kong Chian School of Business Academic Year 2015 /16 Term 1 FNCE101 FINANCE Instructor : Dr Chiraphol New Chiyachantana Tittle : Assistant Professor of Finance (Education) Tel : 6828 0776 Email
Chapter 11 Options. Main Issues. Introduction to Options. Use of Options. Properties of Option Prices. Valuation Models of Options.
Chapter 11 Options Road Map Part A Introduction to finance. Part B Valuation of assets, given discount rates. Part C Determination of risk-adjusted discount rate. Part D Introduction to derivatives. Forwards
Lecture 7: Bounds on Options Prices Steven Skiena. http://www.cs.sunysb.edu/ skiena
Lecture 7: Bounds on Options Prices Steven Skiena Department of Computer Science State University of New York Stony Brook, NY 11794 4400 http://www.cs.sunysb.edu/ skiena Option Price Quotes Reading the
Models of Risk and Return
Models of Risk and Return Aswath Damodaran Aswath Damodaran 1 First Principles Invest in projects that yield a return greater than the minimum acceptable hurdle rate. The hurdle rate should be higher for
SAMPLE MID-TERM QUESTIONS
SAMPLE MID-TERM QUESTIONS William L. Silber HOW TO PREPARE FOR THE MID- TERM: 1. Study in a group 2. Review the concept questions in the Before and After book 3. When you review the questions listed below,
CHAPTER 22: FUTURES MARKETS
CHAPTER 22: FUTURES MARKETS PROBLEM SETS 1. There is little hedging or speculative demand for cement futures, since cement prices are fairly stable and predictable. The trading activity necessary to support
Options Pricing. This is sometimes referred to as the intrinsic value of the option.
Options Pricing We will use the example of a call option in discussing the pricing issue. Later, we will turn our attention to the Put-Call Parity Relationship. I. Preliminary Material Recall the payoff
Advanced Fixed Income Analytics Lecture 1
Advanced Fixed Income Analytics Lecture 1 Backus & Zin/April 1, 1999 Vasicek: The Fixed Income Benchmark 1. Prospectus 2. Models and their uses 3. Spot rates and their properties 4. Fundamental theorem
Cash Flow. Summary. Cash Flow. Louise Söderberg, 2010-10-15
Cash Flow Louise Söderberg, 2010-10-15 Summary The statement of cash flow reports the cash generated and used during the time interval specified in its headings. A cash flow analysis is a method of checking
Financial Options: Pricing and Hedging
Financial Options: Pricing and Hedging Diagrams Debt Equity Value of Firm s Assets T Value of Firm s Assets T Valuation of distressed debt and equity-linked securities requires an understanding of financial
NPTEL http://nptel.iitm.ac.in
NPTEL Syllabus Security and - Video course COURSE OUTLINE This course provides a broad overview of investment management, focusing on the application of finance theory to the issue faced by portfolio managers
Chapter 3 Fixed Income Securities
Chapter 3 Fixed Income Securities Road Map Part A Introduction to finance. Part B Valuation of assets, given discount rates. Fixed-income securities. Stocks. Real assets (capital budgeting). Part C Determination
Far-western University Faculty of Management
Far-western University Faculty of Management Course: Fundamentals of Financial Management Full marks: 100 Course No. Mgt FIN 2001 Pass marks: 45 Nature of the course: Theory Total periods: 120 Year: Second
CFS. Syllabus. Certified Finance Specialist. International benchmark in Finance profession
CFS Certified Finance Specialist Syllabus International benchmark in Finance profession Certified Finance Specialist Summary: This award will provide candidates the opportunity to gain advanced level knowledge
American and European. Put Option
American and European Put Option Analytical Finance I Kinda Sumlaji 1 Table of Contents: 1. Introduction... 3 2. Option Style... 4 3. Put Option 4 3.1 Definition 4 3.2 Payoff at Maturity... 4 3.3 Example
Caput Derivatives: October 30, 2003
Caput Derivatives: October 30, 2003 Exam + Answers Total time: 2 hours and 30 minutes. Note 1: You are allowed to use books, course notes, and a calculator. Question 1. [20 points] Consider an investor
Equity Value and Per Share Value: A Test
Equity Value and Per Share Value: A Test Assume that you have done an equity valuation of Microsoft. The total value for equity is estimated to be $ 400 billion and there are 5 billion shares outstanding.
Course Finance Number/Section EMBA 807 March 7, 8, 21, 22; April 11, Semester/Year Spring 2014
Course Finance Number/Section EMBA 807 March 7, 8, 21, 22; April 11, Semester/Year Spring 2014 Schedule 12; May 2, 3 Reena Aggarwal, Robert E. McDonough Professor of Business Administration and Instructor
Notes for Lecture 2 (February 7)
CONTINUOUS COMPOUNDING Invest $1 for one year at interest rate r. Annual compounding: you get $(1+r). Semi-annual compounding: you get $(1 + (r/2)) 2. Continuous compounding: you get $e r. Invest $1 for
Research on Option Trading Strategies
Research on Option Trading Strategies An Interactive Qualifying Project Report: Submitted to the Faculty of the WORCESTER POLYTECHNIC INSTITUTE In partial fulfillment of the requirements for the Degree
Finance 436 Futures and Options Review Notes for Final Exam. Chapter 9
Finance 436 Futures and Options Review Notes for Final Exam Chapter 9 1. Options: call options vs. put options, American options vs. European options 2. Characteristics: option premium, option type, underlying
Course Content 2008 2009 Core Courses
FACULTY OF ECONOMICS MASTER OF SCIENCE IN FINANCE MAJOR IN FINANCIAL ANALYSIS Course 2008 2009 Core Courses Asset Pricing Derivatives Econometrics Financial Accounting COURSE DESCRIPTION 2008-2009 Faculty
Session X: Lecturer: Dr. Jose Olmo. Module: Economics of Financial Markets. MSc. Financial Economics. Department of Economics, City University, London
Session X: Options: Hedging, Insurance and Trading Strategies Lecturer: Dr. Jose Olmo Module: Economics of Financial Markets MSc. Financial Economics Department of Economics, City University, London Option
Value of Equity and Per Share Value when there are options and warrants outstanding. Aswath Damodaran
Value of Equity and Per Share Value when there are options and warrants outstanding Aswath Damodaran 1 Equity Value and Per Share Value: A Test Assume that you have done an equity valuation of Microsoft.
EC372 Bond and Derivatives Markets Topic #5: Options Markets I: fundamentals
EC372 Bond and Derivatives Markets Topic #5: Options Markets I: fundamentals R. E. Bailey Department of Economics University of Essex Outline Contents 1 Call options and put options 1 2 Payoffs on options
Retirement Finance, Lifecycle Investing and Asset Management 15.467 Spring 2015 R.C. Merton
Retirement Finance, Lifecycle Investing and Asset Management 15.467 Spring 2015 R.C. Merton Class times and location Lectures : Monday/Wednesday, 1:00-2:30pm, Room E62-276 Recitation: Friday, 11:00am-12:00pm,
KEY EQUATIONS APPENDIX CHAPTER 2 CHAPTER 3
KEY EQUATIONS B CHAPTER 2 1. The balance sheet identity or equation: Assets Liabilities Shareholders equity [2.1] 2. The income statement equation: Revenues Expenses Income [2.2] 3.The cash flow identity:
Deterministic Cash-Flows
IEOR E476: Financial Engineering: Discrete-Time Models c 21 by Martin Haugh Deterministic Cash-Flows 1 Basic Theory of Interest Cash-flow Notation: We use (c, c 1,..., c i,..., c n ) to denote a series