Download JNTUH MBA 4th Sem 2019 April Financial Derivatives Question Paper

Download JNTUH (Jawaharlal Nehru Technological University Hyderabad) MBA Fourth Year (4th Semester) 2019 April Financial Derivatives Question Paper.

HallTicketNo QuestionPaperCode:CMB421
.
.
MBAIVSemesterEndExaminations(Regular)-April,2019
Regulation: .?R16
FINANCIALDERIVATIVES
Time:3Hours (MBA) MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explaintheclassi?cationsofderivativesthataretradinginIndianderivativemarket. [7M]
(b) Summarizetheimportanceofthehedgers,speculatorsandarbitrageursinderivativemarket.
[7M]
2. (a) Listoutthedi?erentfeaturesof?nancialderivativestostrengthentheIndian?nancialsystem.
[7M]
(b) Whatarethefunctionsofderivativemarketandlistouttheusesofderivatives. [7M]
UNIT?II
3. (a) Explainfuturecontractspeci?cationsindetail. [7M]
(b) Usingthefollowingdata,preparethemarginaccountoftheinvestor. Assumethatifamargin
callismadeatanytime,theinvestorwoulddeposittheamountcalledfor. [7M]
Position:Short
ContractSize:500units.
No.ofcontracts:8
InitialMargin:12%
Maintenancemargin:3/4thsofinitialmargin
Dateofcontract:June3
UnitPrice:Rs22
Closingprices
Table1
Date Jun4 Jun5 Jun6 Jun7 Jun10 Jun11 Jun12
Price(Rs) 22.30 23.10 22.90 23.00 23.15 22.85 22.95
4. (a) Di?erentiateforwardsandfuturescontractthatareusedin?nancialderivatives. [7M]
(b) Calculatethepriceof100forwardcontractusingthefollowinginformation.PriceofshareRs75.
Timetoexpiration9months. DividendexpectedRs2.20pershare. Timetodividend4months.
Continuouslycompoundedriskfreerateofinterestis12%. [7M]
Page1of2
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HallTicketNo QuestionPaperCode:CMB421
.
.
MBAIVSemesterEndExaminations(Regular)-April,2019
Regulation: .?R16
FINANCIALDERIVATIVES
Time:3Hours (MBA) MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explaintheclassi?cationsofderivativesthataretradinginIndianderivativemarket. [7M]
(b) Summarizetheimportanceofthehedgers,speculatorsandarbitrageursinderivativemarket.
[7M]
2. (a) Listoutthedi?erentfeaturesof?nancialderivativestostrengthentheIndian?nancialsystem.
[7M]
(b) Whatarethefunctionsofderivativemarketandlistouttheusesofderivatives. [7M]
UNIT?II
3. (a) Explainfuturecontractspeci?cationsindetail. [7M]
(b) Usingthefollowingdata,preparethemarginaccountoftheinvestor. Assumethatifamargin
callismadeatanytime,theinvestorwoulddeposittheamountcalledfor. [7M]
Position:Short
ContractSize:500units.
No.ofcontracts:8
InitialMargin:12%
Maintenancemargin:3/4thsofinitialmargin
Dateofcontract:June3
UnitPrice:Rs22
Closingprices
Table1
Date Jun4 Jun5 Jun6 Jun7 Jun10 Jun11 Jun12
Price(Rs) 22.30 23.10 22.90 23.00 23.15 22.85 22.95
4. (a) Di?erentiateforwardsandfuturescontractthatareusedin?nancialderivatives. [7M]
(b) Calculatethepriceof100forwardcontractusingthefollowinginformation.PriceofshareRs75.
Timetoexpiration9months. DividendexpectedRs2.20pershare. Timetodividend4months.
Continuouslycompoundedriskfreerateofinterestis12%. [7M]
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UNIT?III
5. (a) Writeabriefnoteonprincipleofoptionpricingmethods. [7M]
(b) Howcanabutter?y spreadbe createdbyusingthe followingthreeputoptions (withsame
expirationdates)? [7M]
Option1:ExercisepriceRs70Price=Rs6
Option2:ExercisepriceRs75Price=Rs9
Option3:ExercisepriceRs80Price=Rs14
Determinetherangeofstockpriceswithinwhichlosseswouldbemadebythebuyerofthe
options.
6. (a) Examinethebasicandadvancedoptionstrategiestoimprovethederivativemarketsystem.[7M]
(b) UsingtheBlackandScholesmodelandtheprincipleofput-callparity,obtainthevaluesofcall
andputoptionsfromthefollowingdata: [7M]
Priceoftheshare=Rs124
Exerciseprice=Rs130
Timetomaturity=4months
Risk-freerateofreturn=12%p.a.
Standarddeviationofthedistributionofthecontinuouslycompoundedrateofreturnonthe
stock=0.5. alsostatewhethereachoftheoptionsisin-the-moneyorout-of-themoney,and
decomposethevaluesofeachoneintointrinsicvalueandtimevalue.
UNIT?IV
7. (a) Explainthedi?erenttypesofrisksassociatedwithcommodityderivatives. [7M]
(b) DiscussthecommoditymarketsanditsparticipantscriteriainIndianderivativemarket. [7M]
8. (a) Whatarethebene?tsofcommodityfuturesfortheindustryandexchangemembers. [7M]
(b) Howtheinvestorsplayavitalroleincommodityderivativemarket?Explainindetail. [7M]
UNIT?V
9. (a) Explainindetailabouttherationalitybehindswappingmechanismininternationalmarket.
[7M]
(b) Explainvaluationofcurrencyswapsandexchangeratemechanisms. [7M]
10. (a) Discussthestepbystepproceduresinvolvedin?creditdefaultswapstradingsystem?. [7M]
(b) Acreditdefaultswaprequiresapremiumof60basispointsperyearpaidsemiannually. The
principalis$300millionandthecreditdefaultswapissettledincash. Adefaultoccursafter4
yearsand2months,andthecalculationagentestimatesthatthepriceofthereferencebondis
40%ofitsfacevalueshortlyafterthedefault.Listthecash?owsandtheirtimingfortheseller
ofthecreditdefaultswap. [7M]
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