Subjects under University of New South Wales
Document Details

Econ3017 Assignment 1

User Description:
ECON3107 Assignment 1 covering week 1-4. Received 100% (HD) and includes matrix output.

Thinkswap Satisfaction Guarantee

Each document purchased on Thinkswap is covered by our Satisfaction Guarantee policy. If you are not satisfied with the quality of any document, or you believe the document was incorrectly described or categorised, Thinkswap will provide a full refund of exchange credits so you can check out another document. For more information please click here.

This student studied:
Claim a Thinkswap Bounty

Do you know if the Subject listed above has changed recently? Click report to earn free Exchange Credits!

Document Information:
16 Pages Essays / Projects 1-2 Years old
Share

2 Ex Credits


Document Screenshots:
Econ3017 Assignment 1
Topics this document covers:
Finance Money Economy Financial markets Mathematical finance Options Arbitrage Financial ratios Futures contract Bond Matrix Option style
This is an Essay / Project

Essays / Projects are typically greater than 5 pages in length and are assessments that have been previously submitted by a student for academic grading.

What are Exchange Credits:

Exchange Credits represent the worth of each document on Thinkswap. In exchange for uploading documents you will receive credits. These can then be used to checkout other documents on Thinkswap.

Topics this document covers:
Finance Money Economy Financial markets Mathematical finance Options Arbitrage Financial ratios Futures contract Bond Matrix Option style
Sample Text:
1 The arbitrage-free price of atomic securities can be determined by using the following formula: p ) . QHV Let Q {states x securities} be the payment matrix of the three securities in the three states: Q = = p ' 21 50 45 Good Weather 21 30 5 Fair Weather Bond 21 Stock 5 C 0 Bad Weather Let p s {1 x securities} be a vector of security prices for the three securities: p ' = Bond (19.5 Stock 23 8) C Therefore, the vector of atomic prices, p a , can be calculated by multiplying the inverse of the payment matrix, Q, with the vector of security prices, p s , as follows (refer to Appendix for MATLAB output): p ) HV p ) 21 50 45 = 19.5 23 8 21 30 5 21 5 0 0.0013 −0.0119 0.0582 = 19.5 23 8 −0.0056 0.0500 −0.0444 0.0278 −0.0500 0.0222 p ) = (0.1202 0.5179 0.2905) Therefore, the arbitrage-free price of a bond is 0.1202 PA, a stock is 0.5179 P...
Similar Documents to Econ3017 Assignment 1

Assignment 1 - Artbitrage Pricing

This student studied:
University of New South Wales - ECON3107 - Economics of Finance

This is an assignment about finding the arbitrage free price of atomic securities and fundamental hedging strategies.

2 Ex Credits

View Details

FINC2012 notes

This student studied:
University of Sydney - FINC2012 - Corporate Finance II

These notes cover everything you need to know within all the weeks of the corporate finance course of FINC2012.

5 Ex Credits

View Details

FINS2624 Mid-Semester Notes

This student studied:
University of New South Wales - FINS2624 - Portfolio Management

Notes from FINS2624 needed for the mid-semester exam (HD). Includes both lecture and tutorial notes.

1 Ex Credit

View Details

ECON3107 Assignment

This student studied:
University of New South Wales - ECON3107 - Economics of Finance

Assignment answers for the first 5 topics. Includes the answers to every questions, every work out and the final assignment format.This is the final copy of the assignment that was submitted. Achieved a grade of over 82%

2 Ex Credits

View Details