ACCG329 Final Exam (1 Viewer)

[Mathmatics85]

Since there is no discussion forum for 329 on blackboard, I might just start a thread here.

How is everyone going with this unit? I don't think its too bad, although some contents are quite complex and requires some serious concentration.

Tonight in the revision lecture Egon said there will be some "suprises" in the final exam, and I'm curious already as to what kind of a question its going to be. I just hope that its not like the second part of forward contract question in 2008 mid-sem exam where nobody has a clear answer to. also that arbitrage question involving asset X,Y and Z...oh my god seriously that question is designed so nobody can even start on it.

 

[kevindinho]

wtf? did he say there will be surprises??? i asked my tutor he said that if i can do the study guide Qs and understand it you can get 70% im just abit stuck on the arbitrage stuff for properties of stocks and options, just going to write out the possible ways to exploit the prices on my cheat sheet and also the continuous time processes (itos lemma) so i asked egon whats with the derivatives for itos process he said "you use a computer but u dont need to know 99% of why or how it was made up, its just a tool" hmm thanks egon!!

 

[Mathmatics85]

Does anyone have ANY idea to the question 5 (b) of 2008 mid-sem? the wording is so ambiguous!!!!!!!!!!!!!

 

[kevindinho]

dude the the final exam covers material from week 5-13 why are you doing mid sem stuff?

 

[Mathmatics85]

the question I was asking is about valuing a forward contract. it goes under week 5 I thought it's worth taking a look

 

[kevindinho]

wow i see what you mean, did you get 54.10$ for a) though?

 

[Mathmatics85]

I do not understand any of the tutorial solutions to the later part of the course. like wiener's, black scholes, greeks...I'm going through them now and its just hopeless. is it only me or does everyone feel it that way?

and no, I got 56.xxx as an answer.

 

[kevindinho]

55-e^-rx0.5-e^-rx1-e^-rx1.5-e^rx2 = 51.33
51.55e^0.07x9/12 = 54.10

so discounting the dividends and then forwarding the price to time 9/12 did i do something wrong?

weiner/itos process is quite difficult and greeks is annoying as well but BS should be quite straight forward.

 

[Mathmatics85]

Man

That question where it combined binomial and zero coupon bond was disastrous. Never thought Egon would come up with something like that. Still have no fkn idea..

 

[VLTURBO]

How did everyone find the exam today?

I though it was hard to not as hard as i thought it would be

I was also surprise that there was no delta, gamma, vega etc hedging or definitions - im sure he said it was in the exam so i hope i didnt accidently skip over it - did everyone else notice this wasn't in it?

Mathmatics85 - i think that that question was just a normal binomical tree but to default the company would have had to made two subsequent losses to not be able to meet the payment of $2.2mil. So it was just the prob of down state by prob of down state. Following on from that you just priced the equity as an option i.e. (A - L, 0) and did the normal binomial tree where we discount the amounts to the different nodes at the risk free rate. (I THINK)

However the question after that about the market value of equity being $2mil and to calculate whether there were any risk free profit opportunities availiable - i had no idea about

 

[Mathmatics85]

yeah

for question (a) I got the prob as 11.xx%. I got it by 0.33xx times 0.33xx...just like u said..

and (b) I just said A-L=OE and put some stupid numbers there, I know i got that wrong for sure.

and (c), issuing 1m shares at $2...didn't know how I had to use it with (a) and (b). I just said Long put,stock and short the call. pretty sure that's wrong too.

I had so many stuff ups....really hoping I'm not the only one.


And lastly, there was a question where it asked how you can have portfolio insurance without trading ANY derivatives, whats the answer to this? buy high sell low?(of stocks.) I was gonna write replicating a call/put but that involves trading of everything so I didnt put it as answer..

 

[VLTURBO]

For that one i used the formula [N(d1) - 1]e^-qt or something like that which gives an amount in % that needs to be sold in the stocks and then invested at the risk free rate to offer the portfolio insurance. I think it was similar to Q17.17 or .18 --> btw i think that i am wrong for this one as i dont think it gave the % loss to provide insurance against.

Did you notice how there was no delta, gamma, vega etc hedging or definitions?

 

[Mathmatics85]

yeah, no greeks was sweet, cuz I didn't know how to do them

and also, we had that 2008 mid-sem question again appeared on our final. that is...Q1 (b). I assumed it was ex-dividend when the question didn't mention anything about it...god..........

 

[VLTURBO]

I didnt include the dividend for that one

Did u get the value of the futures around 0.69xx?

 

[Mathmatics85]

I didnt include the dividend for that one

Did u get the value of the futures around 0.69xx?

yeah I think so. what I did was, when the new stock price was $ something( I can't remember the number now), I did $x e(R x 1/12), then used the formula f=-(So-Ke-(rt)) to bring back that K component. something like that anyways.

I didn't include the dividend though

 

[VLTURBO]

Sweet,

Im pretty sure i did enough to pass - now get to look forward to accg352 or accg353!

You doing any of those next sem? Im not sure which ill choose yet.

 

[Mathmatics85]

Sweet,

Im pretty sure i did enough to pass - now get to look forward to accg352 or accg353!

You doing any of those next sem? Im not sure which ill choose yet.

yeah, I think I did enough too. Doesn't worry me really.

I was enrolled in 352 but switched over to 353. I heard from a friend final exam for 352 was really hard. on top of that, I'm interested in the broad view of the finance industry, whereas 352 you only talk about managing portfolios. so...

I'll be doing accg353, econ360 and fin328(new unit). what abt you?

 

[VLTURBO]

Prob 353 too, seems easier and i dont really have the interest to go into more detail in portfolio management.

My other subjects will be econ334, busl350, fin310, and accg224

 

[frauelize]

How do u guys think about the exam? I thought it was hard.. pretty tricky but I did my best so fingers crossed hopefully get good marks

 

[VLTURBO]

Mathmatics85 - how did you go in the mid-sem for 329?