澳洲Individual Assignment 指导 Derivatives and Risk Manag

Derivatives and Risk Management Individual Assignment

澳洲Derivatives and Risk Management assignment指导

You are given a summary of one of the international derivative markets, for the S&P500 Composite Share Index.

1) The summary includes the market index which is used as the underlying asset of the derivatives of interest.

2) The derivatives data include futures, call options, and put options.

3) The market price, trading volume, and open interest details are provided for each derivative.

3) The goal of this assignment is to analyse the derivatives market using the information provided and provide a summary report.

4) You are required to provide a report which covers the following content:
• Calculate the theoretical price of each derivative
• Compare the theoretical price with the market price.
• Using derivatives with different time to maturity suggest the market expectation of the index in the near future.
• What kind of investment strategy can you think of?

5) Next you are asked to establish a investment portfolio following your investment strategy assuming you have $10,000.

6) Calculate the return for your investment strategy for the following three cases and provide a summary of the results.
A. Market index changes to: 1150 on 18.03.2010 and 1200 on 17.06.2010
B. Market index changes to: 1100 on 18.03.2010 and 1000 on 17.06.2010
C. Market index changes to: 1200 on 18.03.2010 and 1150 on 17.06.2010

7) The report must be double spaced in Times New Roman 12 font with one inch margin, with a maximum of three pages.

8) Upload the report in turnitin on Blackboard by week http://www.ukassignment.org/daixieAssignment/aozhoudaixieassignment/10.

This assignment is designed to help you practice using the theoretical models and understand how to generate an investment portfolio using derivatives. Try to use all the models that we discussed in the lecture and try to find at least three investment strategies.
The assessment will be based on the traces of effort and originality within the final report.