Premium Essay

Advanced Financial Modeling

In:

Submitted By gallen
Words 384
Pages 2
Problem Set 1: Options

1. The strike price of a call option on GM common stock is $50. a) What is the payoff at expiration of this call if, on the expiration date, GM stock sells for $45? b) What is the payoff at expiration of this call if, on the expiration date, GM stock sells for $55? c) Draw the payoff diagram for this option.

2. Use the Black-Scholes model to price a call with the following characteristics: Stock price = $65 Strike price = $70 Time to expiration = 120 days Stock price variance = 0.35 Risk-free interest rate = 0.05

3. Suppose there is a call option on Go-East Airlines with a strike price of $22. Today’s date is May 3, 2015 and the call expires on May 18, 2015. The current risk free rate on a T-bill that matures the on the option’s expiration day is 1.8%, annualized. Go-East Airlines’ stock is currently trading $23 per share. The historical standard deviation for the stock is 22%. Assume that the option is European and that Go-East does not pay dividends. a) Use the Black-Scholes option pricing formula to determine the value of the call option. b) What is the value of a put option on Go-East Airlines that matches in maturity and strike price?

4. On August 7 2015, the Nokia Corporation’s stock traded at $15.36. At the time the stock price was quoted, the most actively traded option for this stock was a call option with September 2015 maturity and a strike price of $17.50. Assume that the option matures in exactly 30 days, and assume a US Treasury Bill with the same maturity has an annualized return of 1.20%. The variance of the stock price is 10% annually. You can assume that options for Nokia have European type exercise structure. a) Calculate the Black-Scholes price for the call option described above. b) Calculate the price of a put option that has the same strike price and maturity as

Similar Documents

Premium Essay

Keystone Brochure

...Keystone Business Support Company Ltd. ABOUT US Keystone is a professional services company with management and administrative staff headquartered in Dhaka, Bangladesh. The company provides comprehensive business solutions to private businesses, financial institutions, investors, bilateral and multilateral institutions. A special strength of Keystone lies in its ability to help prepare for and implement energy sector projects both with regards to conventional and nonconventional energy sources. Keystone is also particularly strong in the areas of financial modeling and conducting legal and technical due diligence. These strengths are applicable in a wide variety of fields and we are constantly branching out to new areas to expand our product offering. Keystone has a global network of expert consultants across major cities including Boston, Delhi, Dubai, Hong Kong, London, New York, San Francisco, Singapore, Sydney, and Washington DC. Keystone is continually expanding to other major cities as its business grows. OUR APPROACH Keystone’s Project Teams pair international experts with local talent to devise Global Best Practice Solutions tailored to the specific country context. This also allows us to offer a high international quality service locally. Our first and foremost goal is to craft concrete and actionable steps for our clients that deliver results. OUR STRENGTHS Expertise : Keystone draws its strength from its diverse team of international experts. The company...

Words: 1321 - Pages: 6

Premium Essay

Fisv

...Financial Analyst I | | 登记日期 | 2012/7/23 | | 地点 | Providence, RI | | 国家/0 | USA | | 工作详情 | POSITION TITLE: Financial Analyst I 
DEPARTMENT:  Analysis
REPORTS TO:  Manager of Financial Analysis
HOURS:  37.5
FLSA:  Exempt  
SALARY GRADE: 12Overview:The Financial Analyst I will gather business requirements, analyze data, and provide advanced reports to internal and external customers, represent the Financial Analysis team during cross functional projects and perform the job in accordance with Neighborhood's Mission, Vision and Values.Qualifications:Required:
 - B.S. in Business or business related field
 - 3-5 years of relevant professional experience
 - Advanced spreadsheet skills (Excel)
 - Strong knowledge of relational databases
 - Budget experience
 - Financial modeling skills
 - Business analysis experience
 - Strong analytical skills
 - Ability to recognize and recommend process improvements
 - Desire to take ownership of work 
 - Customer service skills
 - Demonstrated team mentalityPreferred:
 - MBA
 - Managed care experience
 - Knowledge of business intelligence software
 - Incurred But Not Reported (IBNR) preparation experience
 - Managed care contracting experience
 - Knowledge of statistics for calculating medical expense trends
 - Knowledge of time value of money concepts
 - SQL experience
 
Duties and Responsibilities: 
Responsibilities include, but are not limited to the following: 
  
 - Monthly financial close responsibilities
 - Financial...

Words: 260 - Pages: 2

Premium Essay

High Fi

...p.m. 10MBA21 – Quantitative Techniques for Management – 10MBA22 – Indian Business Environment – 10MBA23 – Financial Management – 10MBA24 – Business Law – III Sem. 2.00 p.m. - 5.00 p.m. – – – 10MBA31 – Strategic Management – 10MBA32 – Management Accounting & Control Systems – 10MBA33 – Operations Management IV Sem. 2.00 p.m. - 5.00 p.m. – – 10MBA41 – Change and Knowledge Management – 10MBA42 – Entrepreneurial Development – 10MBA43 – Supply Chain Management – 10MBAMM415 – Rural Marketing 10MBAFM425 – Project Appraisal Planning & Control 10MBAIS435 – Multimedia Applications Programming Using VB 10MBAHR445/10MBAIB465 – International Human Resource Management 10MBAPM455 – Project Management 10MBABF475 – Treasury & Risk Management 28/06/2012, Thursday – 10MBA25 – Human Resource Management – 29/06/2012, 10MBA15-Management Information Systems Friday – 10MBAMM311– Business Marketing 10MBAFM321– Advanced Financial Management 10MBAIS331– Object Oriented Programming Systems Using Java 10MBAHR341– Organizations Design & Organization Development 10MBAPM351– Materials Management 10MBAIB361– International Business Environment 10MBABF371– Principles & Practice of Banking & Insurance – 02/07/2012, Monday – 10MBA26 – Business Research Methods – 10MBAMM416 – Strategic Brand Management 10MBAFM426/10MBAIB466/10MBABF476 – International Financial Management...

Words: 1422 - Pages: 6

Premium Essay

Syllabus

...Required Textbook: 1. Financial Modeling by Simon Benninga, MIT Press, Third edition. Other Recommended Books: 1. Corporate Finance, Stephen A. Ross, Randolph W. Westerfield, and Jeffrey Jaffe (RWJ), Irwin/McGraw-Hill. (you should have this from the core class). 2. Damodaran on Valuation, Wiley. 3. Spreadsheet Modeling in Corporate Finance by Craig Holden, Prentice Hall. 4. Analysis for Financial Management, Robert C. Higgings, Irwin/McGraw-Hill. 5. MBA’s Guide to Microsoft Excel 2000, Stephen L. Nelson, Redmond Technology Press. Course Packet: The course packet contains the cases that will be assigned during the semester. Assignments and lecture notes will be distributed in class. Exams: There will be one take-home final exam. The final exam will be based on spreadsheets built using techniques for financial modeling developed throughout the course. The exam will require individual ability to perform advanced financial modeling using a spreadsheet. Class Participation: A vibrant class discussion will raise the level of enjoyment and learning for all of us. Therefore, it will help if you take the time to prepare and do the readings before the class. You should read the assigned chapters before coming to the lectures. In addition to discussing the material, you should also be familiar with the modeling techniques and spreadsheet tools used in each class. Grading Policy: 1. Late assignments are never accepted for credit unless there are extenuating circumstances...

Words: 460 - Pages: 2

Premium Essay

Assignment 1: Dds, Bi, Business Analytics, and Predictive Analytics

...Assignment 1: DDS, BI, Business Analytics, and Predictive Analytics LaShonda Spell Prof. S. Mirajkar CIS 356   Operating a successful business today involves utilizing the correct tools to make the best decisions for that business. The main tools that are used for making critical business decisions are DSS, DDS, BI, Business Analytics and Predictive Analytics systems. The concepts/ systems mentioned assist management in the major decision-making processes by providing crucial operational data in comprehensible formats for monitoring/ reviewing and analyzing. Making the best decisions regarding business operations determine the success or failure of the company and ensures that all business strategies are implemented and effective. In this essay, there is a brief overview of the similarities/ differences, methodologies/ technologies and evaluation of the capabilities of DDS, BI, Business Analytics and Predictive Analytics systems. Similarities and Differences among DDS, BI, Business Analytics, and Predictive Analytics regarding business scope/origins /histories/ methodologies/ technologies DDS (Data Distribution Service) are data communications based on the standards managed by the OMG (Object Management Group). The standards set by the OMG of DDS describe different latency levels of data communications for distributed applications (Twin Oaks Computing, Inc., 2011). DDS standard support data defining applications, dynamic publishing/ subscribing discovery and QoS policy...

Words: 1296 - Pages: 6

Premium Essay

Globalisation

...industry 3. How often is forecasting conducted? – daily, weekly, monthly, annually 4. Do the methods used reflect the decisions needed to be taken by management? 5. What are the resources available to make decisions? – Lead-time, staff, relevant data, budget, etc. 6. What are the types of errors that could occur and what will they cost the company? DECISION TO BE TAKEN FACTORS INFLUENCING FORECASTING: • Technology DESCRIPTION OF THE SOFTWARE Vanguard introduced its first product for decision support analysis in 1995. Today, over 2,000 companies in 60 countries use Vanguard’s products, including 33 of the Fortune 100. From the most accurate forecast benchmarks ever recorded to the first Web-based business modeling tools, Vanguard remains at the forefront of technical and business innovation. Virtually all business planning starts with a forecast. Whether you are...

Words: 695 - Pages: 3

Free Essay

Accounting

...Skype: mohsikhan1 Dynamic and enthusiastic professional with nearly 2 years of proven work experience in accounts, client relations and customer service within diversified industries. Career record of achieving set goals and consistent work performance on the basis of dedicated work approach. Ability to work under pressure, effectively meet deadlines and maintain strict confidentiality of documents. Dedicated team player who possesses excellent analytical, problem solving, communication and interpersonal skills. On visit visa with and available for immediate employment. * STRENGTHS * Well experienced Professional * General Ledger preparation * Receivables-Payables Handling * Trained in QuickBooks, Advanced Excel & Financial Modeling * Competencies in Accounting Functions * Excellent Numerical & Computing skills * Possess strong Team playing attitude * Excellent command over spoken & written English(IELTS 5.5) * QUALIFICATIONS * CMA (Certified Management Accountant-US) Processing... Institute of Business Leadership (IBL)-Islamabad (Pak) * PEARSON EXTENDED LEVEL 7 (Pearson Extended Level 7 Diploma in Strategic Management & Leadership (QCF- UK) in Sep 2015) Institute of Business Leadership (IBL)-Islamabad (Pak) * PEARSON PGD Level 7 (Pearson BTEC PGD Level 7 Diploma in Strategic Management & Leadership (QCF- UK) in April 2015) Institute of Business Leadership...

Words: 569 - Pages: 3

Premium Essay

Spreadsheet Modelling

...Word Count: 587 This is my own unaided work . SPREADSHEET mODELLING Word Count: 587 . SPREADSHEET mODELLING Spreadsheet modelling As a future financial analyst my work will be based on analysing data from company’s gathered data spreadsheets. Hence it is crucial for my own career success to understand the importance of spreadsheet modelling and its implementation. As according to (Susan Coles, Jennifer Rowley, 1996) “The decision maker’s judgement must be exercised in the interpretation of the data and the final decision making.” There is no better way of benefiting my future career than developing advanced skills in modelling Excel. As I have learned from few articles I read about this subject, there are many advantages of excelling my skills so as problems I should look out for. Firstly, studying advanced Excel modelling not only helps students to build technological knowledge but “also largely improve their practical analytical skills and abilities.”(Junying, 2010). By studying how to model spreadsheets students get a real chance to see how actual data is analysed by spreadsheet build in models and help them to further their own analytical knowledge and see how it works in real life. I think it is hugely beneficial for students in their further real...

Words: 715 - Pages: 3

Premium Essay

Art of Modeling

...Source: S. G. Powell and K. R. Baker, 2004. The Art of Modeling with Spreadsheets. New York: Wiley & Sons. Copyright © 2004 by John Wiley & Sons, Inc CHAPTER 1 INTRODUCTION MODELS AND MODELING Modeling is the process of creating a simplified representation of reality and working with this representation in order to understand or control some aspect of the world. While this book is devoted to mathematical models, modeling itself is a ubiquitous human activity. In fact, it seems to be one of just a few fundamental ways in which humans understand the world. As an example, a map is one of the most common models we encounter. Maps are models because they simplify reality by leaving out most geographic details in order to highlight the important features we need. A state road map, for example, shows major roads but not minor ones, gives rough locations of cities but not individual addresses, and so on. The map we choose must be appropriate for the need we have: a long trip home across several states requires a regional map, while a trip across town to find a new doctor’s office requires a detailed street map. In the same way, a good model must be appropriate for the specific uses intended for it. A complex model of the economy is probably not appropriate for pricing an individual product. Likewise, a back-of-the-envelope calculation may be inappropriate for acquiring a multibillion-dollar company. Models take many different forms: mental, visual, physical, mathematical...

Words: 4929 - Pages: 20

Free Essay

Subjects Nova

...Half Thursday Full Course 2nd Half 1st Half Friday Full Course 2nd Half 2229 | Investments | Prof. Pedro Santa Clara Class: TB - Room: A223 2188 | Microeconomic Analysis | Prof. Pedro Pita Barros / Guido Maretto Class: TA - Room: 209 2229 | Investments | Prof. Pedro Santa Clara Class: TB - Room: A223 2237 | Financial Econometrics | Prof. Paulo M. M. Rodrigues Class: TA - Room: A223 2414 | Financial Management | Prof. Melissa Prado Class: TA - Room: 219 2430 | Advanced Marketing | Prof. Jorge Velosa Class: TB - Room: 219 2430 | Advanced Marketing | Prof. Jorge Velosa Class: TA - Room: 219 2414 | Financial Management | Prof. Melissa Prado Class: TB - Room: 240 2253 | Corporate Finance | Prof. Cláudia Custódio Class: TB - Room: A102 2422 | Strategy I | Prof. Guido Maretto Class: TC - Room: 217 2186 Econ | Mastering Your Own Career | CMO Class: TA - Room: A223 2432 Mgm | Mastering Your Own Career | CMO Class: TA - Room: 217 09:30 - 11:00 2237 | Financial Econometrics | Prof. Paulo M. M. Rodrigues Class: TA - Room: A102 2431 | Marketing Management | Prof. Victor Centeno Class: TA - Room: 217 2430 | Advanced Marketing | Prof. Victor Centeno Class: TC - Room: 209 2422 | Strategy I | Prof. Guido Maretto Class: TA - Room: 219 2336 | Human Resources Management | Prof. Rita Campos e Cunha Class: TB - Room: 217 2431 | Marketing Management | Prof. Luísa Agante Class: TB - Room: 240 2336 | Human Resources Management | Prof. Filipa...

Words: 2263 - Pages: 10

Premium Essay

Risk Analysis

...wisely” (Steiger, Strong, & Wilson, 2009). In the world of finance, the most difficult objective to achieve for individuals, corporations, and small businesses is the balance between financial risk and reward. This paper will look at both historical tools and avenues modern technology has adopted to create a balance for financial investors in the market today and how these tools are implemented in today’s businesses. Identifying opportunities and recognizing the risk associated with them is crucial to financial growth and success. Entities are continuing to find ways of leveraging risk by using different modeling tools to understand the source of risk, measure risk and transfer risk (Schwartz, 1996). Due to the expansion and growth of companies into new markets, risk has become an increasing concern for many businesses. It is clear through the recent market crash that more robust risk management tools must evolve with the changing investment practices that are taking place in today’s society. “The world’s financial markets have exploded with new products and new techniques such as derivatives and securitizations giving rise to huge new markets” (Epetimehin, 2012). If implemented strategically and used correctly, risk management tools can aid businesses in their journey of financial success and help them develop finely tuned investment planning and business strategies (Anonymous, 1983). It is critical for businesses to understand the risk associated with each transaction...

Words: 2301 - Pages: 10

Premium Essay

Ptmba

...FIRST YEAR TRIMESTER – I (JULY – SEPTEMBER) AREA Finance Economics Human Resources & Behavioral Sciences Operations & Decision Science CODE 868 FIN 013 ECO SUBJECT Financial Accounting and Analysis Microeconomics: Firms, Markets & Behavior (Economics Analysis For Business Decisions) Individual Dynamics & Leadership Statistical Analysis for Business Decisions 870 HRM 871 OPS TRIMESTER – II (OCTOBER – DECEMBER) Finance Information Systems Marketing Human Resources & Behavioral Sciences 882 FIN 061 INS 105 MKT 881 HRM Management Accounting & Control Information Systems for Management Marketing Management Group & Organization Dynamics TRIMESTER – III (JANUARY – MARCH) Finance Economics Operations & Decision Science Human Resources & Behavioral Sciences 647 FIN 013 ECO 879 OPS 223 HRM Corporate Finance Macroeconomics Decision Analysis & Modeling Human Resources Management SECOND YEAR TRIMESTER – IV (July -September) AREA Business Policy Communication Marketing 210 SPL 122 MKT CODE SUBJECT Strategy Formulation Business Communication Marketing Management II Operation & Decision Science TRIMESTER – V (OctoberDecember) Business Policy Business Policy CSR Business Policy 889 OPS Managing Business Operations Legal Environment of Business Strategy Implementation Corporate Social Responsibility Research Methodology TRIMESTER – VI (January -March) Finance Business Policy Information systems Business Policy Business Policy Corporate Taxation Research Methodology...

Words: 432 - Pages: 2

Premium Essay

Student Handbook

...Berkeley Master of Engineering Program Student Handbook 2014-2015 edited 6/17/14 ld 1 Table of Contents MASTER OF ENGINEERING PROGRAM CONTACT INFORMATION ........................................................ 4   FUNG INSTITUTE FACULTY & STAFF .......................................................................................................................... 4   DEPARTMENT STAFF .................................................................................................................................................. 5   ADDITIONAL RESOURCES CONTACT INFORMATION ................................................................................ 6   MASTER OF ENGINEERING HONOR CODE ..................................................................................................... 7   ACADEMIC INTEGRITY................................................................................................................................................ 7   ACADEMIC AFFAIRS ............................................................................................................................................. 10   THE ACADEMIC PROGRAM ....................................................................................................................................... 10   ADVANCEMENT TO CANDIDACY .............................................................................................................................. 10   REGISTRATION...

Words: 9633 - Pages: 39

Premium Essay

Bdjobs Training

...Page |1 ABOUT US Bdjobs Training has been the biggest professional training house in the country. The tracks of its training programs include Marketing/Sales, IT , Commercial, Finance, Quality & Process, Industrial Engineering, RMG, Banking, HR, Development/NGO, Management Development and so forth. Since its inception, Bdjobs Training has been mentoring the professionals by providing latest industry focused education. BT, in this expedition, engages hundreds of industry experts to ensure quality education to the young entrepreneurs and professionals of the country. BT offers both short (1 or 2 days) and long courses in the form of workshop and certificate training. Also BT offers customized in-house training programs exclusively designed for a group of employees. Customized courses can be provided either at our training facilities or on-site at clients’ location. Our training programs are lively, interactive, and include role-playing and demonstrations of real-life workplace issues and solutions. bdjobstraining.com Page |2 bdjobstraining.com Page |3 TRAINING TRACKS Marketing/ Sales Track • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • 1111 Selling Techniques for Excellence 13 Lessons to turn every Company into Fantastic Brands Advance Selling Techniques Art of Pharmaceutical Sales Brand Management–Walking the Talk Branding for Bangladeshi Business Constructive & Modern Leadership Approach in Selling through Team...

Words: 2551 - Pages: 11

Premium Essay

Cereals

... | | |Washington University – Olin School of Business |St. Louis, MO | |Bachelor of Science in Business Administration; Finance Major |Class of 2013 | |Cumulative GPA: 3.5/4.0; Major GPA: 3.8/4.0 | |Graduated magna cum laude as a Presidential Scholar, Dean’s List all semesters | |Relevant Coursework: Financial Statement Analysis, Advanced Financial Management, M&A, Options, Futures & Derivatives, Introduction to Econometrics, | |International Finance, Investments | |Dalian University of Foreign Languages |Dalian, Liaoning Province, China |...

Words: 420 - Pages: 2