Finance Modelling

Finance Modelling
QUESTION 1

The data file contains monthly data from 1/4/2009 to 31/3/2014 for2O companies and th
S&PASX200.

The data file also contains the portfolio allocation percentages for each
company in your portfolio.

You are to construct a

report for your manager summarising the following information.

The report is to be presented in PDF format. The report should be easy for
the

managerto understand and to find information. Presentation is important and marks
have een allocated to it.

Required:

Using the

data, calculate the following for your3 companies and the index:

E. Write a brief overview of your 3 companies. (about 400 words each)
Discrete and Continuous monthly returns forthe companies and the index.
c. The expected (arithmetic and geometric) monthly returns for

both types of

returns

d. Simple and compounded annualised expected returns for both types of returns
e. The monthly and annualised

variance and standard deviation for both types of

returns

f. Construct individual graphsto showthe share prices and the monthly
returns.

g. The beta for each stock using at least 3 different methods

Calculate the variance-covariance matrix for yourthree (3)

companies using the

Data analysis Add-in method and the excess returns method

I.

Constructthe portfolio as per the data table.

For the

portfolio, calculate the following:

LCalculate the continuous monthly portfolio returns,

Expected (arithmetic) monthly portfolio

returns,

l. Using the variance-cov ariance matrix you produced in question h, calculate the
standard deviation forthe portfolio.

m. Beta

forthe portfolio

Question 2:

Use the table at the end ofthis assignment and your student ID numberto find outthe
missing data for

the options below.

PartA

iEYoul are to model the following options using the binomial pricing model in

xce
European call,
European put,
American call and
American put

You are NOT to use the template from the textbook; you must construct your
own

model. The same method we used in the learning guide.

Use the following data:

European Call European Put American CallAmerican Put

Stock

Price $12.35 $12.35 $12.35 $12.35

Exercise Price See data table

Time to expiry 60 days 60 days 60 days 60 days

Volatility See data

table

Risk free rate See data table

Dividend See data table

Note the dividend is paid at the end ofthe 41 st day

For each option, you

are to construct a daily binomial model. Thusthe value for

At is daily being 1/365 days.

ii. Calculate the price ofthe European Call and Putforthe above using the

Black-Scholes model and comment on your results ( compare the answer with part i.

For this part theinfor mation should be presented in report form. Note do not print

out all the columns for the models. Only showthe first 6 columnsfor each tree you construct.

Question 3

You have been asked by your manager to submitthe excel file for both Ouestion1 and
2, where your calculations have been performed. Your manager is going to look over

it. Your task isto make the excel file easyto navigate and thus make it easy forthe

managerto find items. This is will involve making a summary sheet and links to part of
the Excel file. Note explanations should be included. Presentation is very important.
PLACE THIS ORDER OR A SIMILAR ORDER WITH US TODAY AND GET AN AMAZING DISCOUNT 🙂