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February 21, 2017
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Financial Markets, Securities and Derivatives
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Financial Markets, Securities and Derivatives
DescriptionStudents must complete BOTH tasks, but submit each one separately. ?Task 1 (60%) (1000 words)?
(a) Use Bloomberg to estimate the prices and the Greeks of the following stock index options
?Note that these are FTSE-100 Index Options and the value of the index today is assumed to be 6,100. The options should be priced within the Black & Scholes framework using the following inputs: rate of interest 1.50%p.a., dividend yield 0.00%, and volatility 4.00% p.a. ?State clearly each necessary step requested to compute the price and the Greeks of the options above.
(b) Write a short report with a critical summary of the results. ?Task 2 (40%) (600 words)
?Consider the Single Index Model (SIM). ?
(a) State and comment on all the main assumptions underlying the SIM.
?(b) Use Bloomberg to collect data on 4 stocks. Assume that you invest an equal amount of your wealth on each stock and build up a portfolio. Estimate:
(i) The beta of your portfolio; comment your empirical results ?
(ii) The market risk and non-market risk; comment on your results. ?
State all your assumptions and computations. ?
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Get The Answer Financial Markets, Securities and Derivatives
‘
‘
February 21, 2017
‘
<'">
0
Financial Markets, Securities and Derivatives
DescriptionStudents must complete BOTH tasks, but submit each one separately. ?Task 1 (60%) (1000 words)?
(a) Use Bloomberg to estimate the prices and the Greeks of the following stock index options
?Note that these are FTSE-100 Index Options and the value of the index today is assumed to be 6,100. The options should be priced within the Black & Scholes framework using the following inputs: rate of interest 1.50%p.a., dividend yield 0.00%, and volatility 4.00% p.a. ?State clearly each necessary step requested to compute the price and the Greeks of the options above.
(b) Write a short report with a critical summary of the results. ?Task 2 (40%) (600 words)
?Consider the Single Index Model (SIM). ?
(a) State and comment on all the main assumptions underlying the SIM.
?(b) Use Bloomberg to collect data on 4 stocks. Assume that you invest an equal amount of your wealth on each stock and build up a portfolio. Estimate:
(i) The beta of your portfolio; comment your empirical results ?
(ii) The market risk and non-market risk; comment on your results. ?
State all your assumptions and computations. ?