Derivatives Markets
Week 6: Volatility and Other Options Pricing Models
Consider a futures. Its current price is $70.00 and its volatility is 16.44% per annum. Suppose the riskfree interest rate is 6.26% per annum (continuous compounding). Use the Black's model to calculate the value of a fivemonth European put on the futures with a strike price of $65.00.
Consider a futures. Its current price is $70.00 and its volatility is 16.44% per annum. Suppose the riskfree interest rate is 6.26% per annum (continuous compounding). Use the Black's model to calculate the value of a fivemonth European put on the futures with a strike price of $65.00.
Week 5: BlackScholesMerton and the Greeks
Using the program (BinomialTree.xls), calculate the value today of a European put option assuming the following set of inputs:
Using the program (BinomialTree.xls), calculate the value today of a European put option assuming the following set of inputs:
μ=.08,σ=.25,r=1%,δ=0%,S_0=$375,K=$300,T=.5," and " n=10
Week 4: Options Strategies and Pricing Basics
The current price of a nondividend paying stock is $30. Use a twostep tree to value a European put option on the stock with a strike price of $32 that expires in 6 months with the up node at each step equal to 1.1 times the price at the previous node, and the down node equal to 0.9 times the price at the previous node. Each step is 3 months; the risk free rate is 8% per annum on a continuous basis.
(a) What is the price of the put option?
The current price of a nondividend paying stock is $30. Use a twostep tree to value a European put option on the stock with a strike price of $32 that expires in 6 months with the up node at each step equal to 1.1 times the price at the previous node, and the down node equal to 0.9 times the price at the previous node. Each step is 3 months; the risk free rate is 8% per annum on a continuous basis.
(a) What is the price of the put option?
Week 3: Duration and Convexitybased Strategies for Risk Management
Assume that the Treasury yield curve is flat at 3% on an annual basis (i.e., an investment of $100 receives a $3 interest payment at the end of the year).
Assume that the Treasury yield curve is flat at 3% on an annual basis (i.e., an investment of $100 receives a $3 interest payment at the end of the year).
Utilize the duration and convexity calculator and answer the following (a)  (d).
(a) Calculate the modified duration and the convexity of a 1year zero coupon Treasury bond.
Week 2: Futures and Swaps
The exchange rate of one Swiss franc is $1.36. The price of a 6month U.S. zero coupon bond is $0.90, and the price of a 1year U.S. zero coupon bond is $0.88. Forward contracts are available on the Swiss franc. The forward price is $1.31 for a 6month forward and $1.35 for a 1year forward.
The exchange rate of one Swiss franc is $1.36. The price of a 6month U.S. zero coupon bond is $0.90, and the price of a 1year U.S. zero coupon bond is $0.88. Forward contracts are available on the Swiss franc. The forward price is $1.31 for a 6month forward and $1.35 for a 1year forward.
What should be the fixed rate for a 1year semiannual interest rate swap in Switzerland? Write your answer in unit of percentage points.
Week 1: Forward Contracts
A stock index currently stands at $350.00. The riskfree interest rate is 4.57% per annum (with continuous compounding) and the dividend yield on the index is 3.14% per annum.
A stock index currently stands at $350.00. The riskfree interest rate is 4.57% per annum (with continuous compounding) and the dividend yield on the index is 3.14% per annum.
What should the forward price for a 4.00month contract on the index be?
Week 0
Derivative securities, and the analytical methods that have been developed to understand and deploy them, are powerful tools for managing and pricing risk. As part of the MicroMasters® Program in Finance, students in this course will develop a sophisticated and durable understanding of derivative modeling, valuation and hedging methods, a basic familiarity with major markets, instruments and strategies, and insights into current market developments.
Derivative securities, and the analytical methods that have been developed to understand and deploy them, are powerful tools for managing and pricing risk. As part of the MicroMasters® Program in Finance, students in this course will develop a sophisticated and durable understanding of derivative modeling, valuation and hedging methods, a basic familiarity with major markets, instruments and strategies, and insights into current market developments.
The skills acquired are relevant to all financial market practitioners, but will be most useful for those planning a career in sales and trading, portfolio management, commercial banking, investment banking, insurance, hedge funds, financial advising, or in a public sector financial institution or central bank.
Want to know more ...  Can't wait to score?  Want to get admitted to MIT?  Subscribe to score!!!
Sign up now and get more than 50% off the rack discount!
We can't tell you how we are your best tutor and the answer key to your exams and studies; however, it does have value beyond scoring in your MITx work.
In fact, if you want to get the credentials and not waste your monies for MIT's admission into the SCM program, and have the best learning experience possible, then, you need to use theexamhelper to its full potential. And that applies to the materials as well as supplemental materials – wherever theexamhelper's Solution Key that has explanations and solutions.
In fact, if you want to get the credentials and not waste your monies for MIT's admission into the SCM program, and have the best learning experience possible, then, you need to use theexamhelper to its full potential. And that applies to the materials as well as supplemental materials – wherever theexamhelper's Solution Key that has explanations and solutions.
What Are the Benefits of Using theexamhelper's Solution Key?
There are 3 main benefits from following this process for completing and reviewing your work.

Enhanced Understanding of the Concepts Covered

Improved Selfteaching Skills

Advanced Progress Tracking

Get high scores for your exams

Become a Super Learner

Get admitted into MIT's Masters in Applied Science in Supply Chain Management in MIT
Our Students work at these places
Learners
Solutions
Hrs/Weekly
Special offer
For a limited time!
Why wait? Pay now or pay later, get the same solutions!
Exclusive
Deal
50% OFF
Sign up now to enjoy 50% off! While course last.