| Homework | Due Date | Spreadsheet | Solution |
|---|---|---|---|
| PS #1 | n/a | Solution and spreadsheet |
| Date | Link | Comments |
|---|
| Date | Link | Description |
|---|---|---|
| 1/18/08 | Contcompdividends.xls | Spreadsheet illustrating long and short position with reinvestment of continous dividends |
| 1/29 | Article by Hu and Black about empty shorting. | from the USC Law Review |
| 1/08 | Paul Allen's options transactions | from November 2000. |
| 3/08 | final_review.pdf | Brief outline of the course. |
| 02/21/06 | vol_chapter.pdf | Draft of volatility chapter from 2nd edition |
| 02/03/06 | doubling_strategies01.pdf | If you follow a doubling strategy and play forever does a fair game have a positive expected value? |
| 01/11/06 | google.pdf | Will Google hit $600? |
| 03/09/05 | realopt.xls | Real options spreadsheet from class. |
| 01/31/05 | NYT article | about Brocade Communications restating option valuations. |
| 01/13/05 | WSJ article | about Baxter's currency hedging |
| 01/05/05 | CNN Money discussion of employee option exercise and an options calculator purporting to tell you whether to exercise an option. | |
| 01/06/05 | Prospectus | for Merrill Lynch Dow Jones Accelerated Return Notes |
| 02/19/04 | forward_dividends.pdf | Forward pricing when there are discrete, proportional dividends. |
| 01/08/07 | optall2.xls | Option pricing spreadsheet included with Derivatives Markets (documentation for the functions) |
| 01/17/05 | optbasic.xls | Option pricing spreadsheet that includes only Black-Scholes and binomial calculations. |
| 01/19/04 | NYT, 01/19/04 | European car makers choose their exposure to the dollar. |
| 02/25/04 | NYT, 02/25/04 | IBM compensation options now issued 10% out of the money. |
| 9/30/02 | WSJ,
09/26/02, WSJ, 09/27/02 | Two articles about the forward sale of shares and sale of puts by EDS |
| 10/03/02 | Ford and Palladium | Article from the Wall Street Journal, February 2002 |
| 10/31/02 | Single Stock Futures | Article from the Chicago Tribune, 10/27/02 |
| 11/11/02 | Household Int'l | Floyd Norris article from NYT on Household International's forward purchase of stock |
| 03/02/04 | debtreturn.pdf | How to compute the expected return on debt subject to default. |
| Link | Description |
|---|---|
| Arrayformulas.xls | Some observations about array functions vs. SumProd. |
| Vol_example.xls | Example of using array functions to compute volatility and correlation. |
| Getdata.mac | Datastream macro to obtain index and stock prices and dividends. The output is a csv file which you can read directly into Excel. You can edit the macro to put the output where you want it (it currently writes to your h: drive) and also to obtain different stock prices. This macro uses Datastream's ability to loop through a list. To run this macro you need to run the program DSWindows, which can be accessed here on the lab's one Datastream machine. |
| Microsoft implied vols | Example of implied volatility calculations for all Microsoft options, 5/23/01. |
| Bear_compoptions.pdf | Bear Stearns report on compensation options, July 2002 |
| OneChicago.com | Site for single-stock futures |
