published_or_final_version / Business Administration / Master / Master of Business Administration

jointly presented by Lau Chi Yuen, Joseph, Wong Chi Ho. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 92-96). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / Chapter CHAPTER I --- INTRODUCTION --- p.1 / Chapter CHAPTER II --- THE MOTIVATION OF DERTVATIVES TRANSACTIONS --- p.3 / Chapter CHAPTER III --- MAJOR TYPE OF DERIVATIVES TRADING IN EXCHANGE MARKET AND OTC MARKET IN HONG KONG --- p.7 / Exchange Traded Derivatives --- p.7 / Index Option --- p.7 / Strategies of option trading --- p.9 / Ratio covered writing --- p.9 / Bull/Bear Spreads --- p.10 / Butterfly Spreads --- p.11 / Calendar Spreads --- p.12 / Straddle --- p.13 / Strips and Straps --- p.14 / Strangles --- p.14 / Index Future --- p.15 / Spreading Trading --- p.16 / Warrants and Covered Warrants --- p.16 / Other derivatives --- p.19 / OTC (Over-The-Counter) Derivatives --- p.20 / Equity or equity-linked derivatives --- p.20 / Advantages of equity-linked derivatives --- p.20 / Equity-Linked Debt Instruments --- p.21 / Equity Swaps --- p.23 / The Future of Equity Swap Market --- p.27 / Equity options --- p.27 / OTC Stock options --- p.28 / Collar --- p.28 / Spread Call or Put (Capped Call or Put) --- p.29 / Barrier options --- p.30 / Convertible Bonds --- p.31 / OTC Currency Derivatives --- p.31 / Currency Options --- p.32 / Currency Swaps --- p.33 / Currency forwards --- p.33 / Currency Asian Option --- p.33 / Interest Rate Derivatives --- p.34 / Interest rate swap --- p.34 / Interest rate swaptions --- p.35 / Interest rate forward swaps --- p.35 / "Interest rate cap, floor and collar" --- p.35 / Chapter CHAPTER IV --- GROWTH OF ASIAN AND HONG KONG DERIVATIVES MARKET --- p.37 / Bookrunners in Asia --- p.39 / Growth of OTC markets in Asia --- p.41 / Chapter CHAPTER V --- PRICING MODELS FOR THE DERIVATIVES --- p.46 / Black-Scholes differential equation --- p.46 / For HSI call option --- p.47 / For HSI put options --- p.47 / Binomial Trees Model --- p.50 / Valuation of Convertible Bond --- p.50 / Swap Pricing - Banker rs Perspective --- p.51 / Decreasing Profit Margin in Swap Deal --- p.53 / Chapter CHAPTER VI --- THE APPLICATION OF DERIVATIVES IN HONG KONG MARKET --- p.54 / Corporations --- p.54 / Lowering Funding Costs through Arbitrage Opportunity or Issuance of Customized Instruments --- p.55 / Diversifying Funding Sources --- p.55 / Funding Operations in Multiple Countries at Lowest Cost --- p.56 / Managing Foreign Exchange Exposures --- p.56 / Hedging the cost of Issuing Floating-Rate and Fixed-Rate Debt --- p.57 / Hedging the Cost of Anticipated Issuance of Fixed-Rate Debt --- p.58 / Managing Existing Debt of Asset Portfolio --- p.58 / Institutional Investors --- p.59 / Enhancing Yields Through Arbitrage Opportunities --- p.59 / Asset Allocation using Swap --- p.59 / Synthetic Equity --- p.59 / Synthetic FRN --- p.60 / The Benefits of Swap in Asset Management --- p.62 / Eliminate Currency Risk --- p.62 / Managing Risk Exposure with Customized instruments --- p.63 / Individual investors --- p.63 / "Financial Institutions," --- p.64 / Greater Progress in Asian Markets Risk Management Still Lies Ahead --- p.64 / Chapter CHAPTER VII --- RISK MANAGEMENT --- p.65 / Concerns of risk management --- p.65 / "What can be done by the clients," --- p.67 / What can be done by regulators --- p.69 / Chapter CHAPTER VIII --- RISK MANAGEMENT - BANKERS PERSPECTIVE --- p.71 / Reasons for Investment in risk management --- p.71 / Profit by taking more of the right risks --- p.71 / Internationalization of markets --- p.72 / Greater variety and complexity of financial instruments --- p.73 / Risk management in Action --- p.74 / A Common Framework in Risk Management --- p.74 / Identification --- p.74 / Measurement --- p.74 / Management --- p.76 / Measuring Volatility - Past Vs Future --- p.76 / Market Risk Management --- p.78 / Basic Information Views --- p.78 / Trader's View --- p.79 / Accountant's View --- p.79 / Management's View --- p.80 / Simulation to Describe Risks --- p.80 / Reality Check --- p.83 / Reporting in Action --- p.84 / "Risk Management at Large Investment Banks Today," --- p.85 / APPENDIX I SIMULATION OF DELTA HEDGING --- p.88 / BIBLIOGRAPHY --- p.92

The development and introduction of financial derivatives have great impact on modern finance. Option pricing theory has become a powerful tool to value and to understand these innovations. It is also an indispensable tool to calculate hedge ratios for risk measurement and management. On the one hand, the introduction of new financial derivatives has been blamed for making financial market more volatile and risky as evidenced in the financial markets of the USA and Japan, especially during the expiration of index futures and index options, On the other hand, the applicability of new pricing models to hedging strategies is essential in monitoring and managing option positions. This study tries to give some answers on first: whether the expiration of financial derivatives increases the volatility of the Hong Kong stock market; second: whether we can better hedge by straightly applying more elaborated option valuation models replacing the standard Black-Scholes model, which market participants commonly employed for hedging option positions. Part I of this article addresses the first question while Part II studies the second question. / Yung Hei Ming. / Source: Dissertation Abstracts International, Volume: 62-09, Section: A, page: 3138. / Supervisor: Zhang Hua. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

by Ng Hon Sun, Stephen & Poon Ming Him. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 50-52). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.v / LIST OF FIGURES --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- CHARACTERISTICS OF WARRANTS AND THE NATURE OF HK WARRANT MARKET --- p.5 / Chapter II (i) --- Warrants Versus Call Options --- p.5 / Chapter II (ii) --- Historical Development of Warrants in Hong Kong --- p.6 / Chapter II (iii) --- Equity Warrants --- p.7 / Chapter II (iv) --- Derivative Warrants --- p.8 / Chapter II (v) --- The Risks of Derivative Warrants --- p.10 / High Inherent Risks --- p.10 / Complex Exercise Conditions and Conversion Adjustments --- p.10 / Chapter II (vi) --- Regulatory Environment of Derivative Warrants --- p.12 / Chapter III. --- LITERATURE REVIEW --- p.14 / Chapter IV. --- DATA AND METHODOLOGY EMPLOYED --- p.19 / Chapter IV (i) --- Date Employed --- p.19 / Chapter IV (ii) --- Methodology Employed --- p.24 / Chapter V. --- EMPIRICAL RESULTS AND INTERPRETATION --- p.28 / Chapter V (i) --- Market Trend Before and After Listing --- p.37 / Chapter V (ii) --- Trading Volume --- p.38 / Chapter V (iv) --- Volatility --- p.39 / Chapter VI. --- CONCLUSIONS --- p.44 / APPENDIXES --- p.46 / APPENDIX A STOCKS SELECTED FOR STUDY --- p.46 / APPENDIX B CONSTITUENT STOCKS OF HANG SENG INDEX --- p.47 / APPENDIX C HANG SENG INDEX 1993-1994 --- p.48 / APPENDIX D HANG SENG INDEX RETURN AND SELECTED STOCK UNADJUSTED MEAN RETURN --- p.49 / REFERENCES --- p.50 / LIST OF TABLES / TABLE 1 DERIVATIVE STOCK WARRANTS LISTING IN 1993 -1 994 --- p.21 / TABLE 2 COMPARISON OF PRE- AND POST- LISTING RETURNS --- p.28 / TABLE 3 EXCESS MARKET RATE OF RETURN AND CUMULATIVE EXCESS MARKET RATE OF RETURN --- p.32 / TABLE 4 MARKET MODEL RATE OF RETURN AND CUMULATIVE MARKET MODEL RATE OF RETURN --- p.33 / TABLE 5 β'S CALCULATED ON THE UNDERLYING STOCK --- p.33 / TABLE 6 MARKET TREND BEFORE AND AFTER LISTING OF DERIVATIVE WARRANTS --- p.37 / TABLE 7 EFFECTS OF DERIVATIVE WARRANT LISTING ON RISK CHARACTERISTICS OF UNDERLYING STOCKS --- p.41 / LIST OF FIGURES / FIGURE 1 SUMMARY OF THE REGULATIONS ON DERIVATIVE WARRANTS --- p.13 / FIGURE 2 WARRANT LISTINGS DISTRIBUTION MAP --- p.23 / FIGURE 3 CUMULATIVE RETURN % (ADJUSTED AND UNADJUSTED) --- p.31 / FIGURE 4 IMPACT OF LISTING ON VARIANCE --- p.40

Mak Nga-sze. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 45-46). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Purpose --- p.2 / Chapter 1.2 --- Flow of the study --- p.3 / Chapter 2 --- Review of Equity Linked Securities --- p.5 / Chapter 2.1 --- Backgrond of Equity Linked Securities in Hong Kong --- p.5 / Chapter 2.2 --- Differences of trading between listed and non-listed ELIs --- p.7 / Chapter 2.3 --- Non-listed ELIs --- p.9 / Chapter 2.3.1 --- Definition --- p.9 / Chapter 2.3.2 --- Variables specification --- p.11 / Chapter 2.3.3 --- Payoff possibilities --- p.13 / Chapter 3 --- Data --- p.17 / Chapter 3.1 --- Data sources --- p.17 / Chapter 3.2 --- Data treatment --- p.18 / Chapter 4 --- Methodology --- p.21 / Chapter 4.1 --- Volatility --- p.23 / Chapter 4.2 --- Implied volatility by CRR binomial Tree --- p.24 / Chapter 4.3 --- Historical volatility --- p.26 / Chapter 5 --- Estimation of Empirical Data --- p.28 / Chapter 5.1 --- Statistical results of the issuer's profit margin --- p.29 / Chapter 5.2 --- Empirical analysis of the profit margin trends --- p.31 / Chapter 5.2.1 --- Factor 1: Volatility --- p.34 / Chapter 5.2.2 --- Factor 2: Trading volume --- p.34 / Chapter 6 --- Conclusion --- p.37 / Chapter 6.1 --- Conclusion --- p.37 / Chapter 6.2 --- Extensions --- p.38 / Appendix --- p.40 / Chapter .1 --- "Tables of non-listed ELIs in Hong Kong, updated to January 31,2005" --- p.40 / Chapter .2 --- "Stock options in HKEx, lastest to June 2004" --- p.43 / Chapter .3 --- Histograms of the issuer's profit margins --- p.44 / References --- p.45

Lau, Kai Shing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 74-78). / INTRODUCTION --- p.2 / COVERED WARRANTS AND STOCK OPTIONS: A BRIEF BACKGROUND --- p.6 / Chapter a) --- covered warrants --- p.6 / Chapter b) --- Stock Options --- p.10 / Chapter c) --- covered warrants and stock options： a comparison --- p.14 / Chapter d) --- pricing difference between covered warrants and stock options --- p.18 / LITERATURE REVIEW --- p.20 / Chapter a) --- Introduction --- p.20 / Chapter b) --- theory on issuing of stock options --- p.21 / Chapter c) --- the introduction of stock options --- p.26 / Chapter i) --- Stock Options in United States --- p.26 / Chapter ii) --- Stock Options in United Kingdom --- p.28 / Chapter iii) --- Stock Options in Canada --- p.28 / Chapter iv) --- Options in Asia --- p.29 / Chapter d) --- Return Volatility and Trading Volume --- p.31 / Chapter i) --- Introduction --- p.31 / Chapter ii) --- Mixture of Distribution Hypothesis --- p.32 / Chapter iii) --- Classical Model of the Mixture of Distributions Hypothesis --- p.35 / Chapter iv) --- Recent Empirical Model of the Mixture of Distribution Hypothesis --- p.37 / DATA --- p.40 / METHODOLOGY --- p.43 / Chapter a) --- introduction --- p.43 / Chapter b) --- informational efficiency in the cash market --- p.45 / Chapter i) --- Model for Information Arrival and Price Adjustment --- p.46 / Chapter ii) --- Results --- p.48 / Chapter iii) --- An Overall Effect on the Cash market --- p.55 / Chapter c) --- information Cost and Trading Cost in Covered Warrants Market --- p.57 / Chapter i) --- Introduction --- p.57 / Chapter ii) --- Spread function for Covered Warrants --- p.62 / Chapter iii) --- Results --- p.63 / Chapter iv) --- Adjustments for Moneyness --- p.67 / CONCLUSION --- p.70 / REFERENCES --- p.74

by Ng Wing-Sze Cecilia. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 92-93). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / CHAPTER / Chapter 1. --- COMPANY PROFILE --- p.1 / The Walt Disney Parks --- p.1 / Hong Kong Disneyland --- p.1 / Location --- p.1 / Park Developer & Operator --- p.2 / Financing --- p.2 / Infrastructure --- p.3 / Schedule of Operation --- p.4 / Chapter 2. --- HONG KONG DISNEYLAND BUSINESS MODEL --- p.6 / Revenue Model --- p.7 / Customer Base --- p.7 / Pricing Strategy --- p.8 / Financial Performance Variable --- p.9 / Risk Management Program --- p.10 / The Walt Disney Company Risk Management --- p.10 / HKDL Risk Management --- p.13 / Risk Management on Book Record --- p.13 / Chapter 3. --- PRECIPITATION RISK EXPOSURE --- p.15 / Introduction to Precipitation --- p.15 / Distinguish between Weather and Climate --- p.16 / Rainfall Risk Exposure --- p.16 / Precipitation in Hong Kong --- p.17 / Overview --- p.17 / Rainstorm Warning System --- p.18 / Practices on Rainy Days --- p.20 / Theme Park Industry --- p.20 / The Ocean Park --- p.21 / Rainfall Risk Mitigation --- p.21 / Chapter 4. --- WEATHER DERIVATIVES --- p.24 / Evolution --- p.24 / The Birth of Weather Derivatives --- p.24 / Weather Risk Management Association --- p.24 / Year 1999 --- p.25 / Year 2000 --- p.25 / Year 2001 --- p.26 / Year 2002 --- p.26 / Precipitation Derivatives --- p.27 / Market & Market Players --- p.28 / Types of Product --- p.30 / Index Derivatives --- p.30 / Event-Basis Derivatives --- p.32 / Chapter 5. --- Hedging Against Rainfall Risk with Weather Derivatives --- p.33 / Formation of Hedging Strategy --- p.34 / Hedging Objectives --- p.34 / Hedging Target --- p.35 / Dimension of Precipitation Impacts --- p.35 / Normal Revenue without Rainfall Risk --- p.40 / Revenue Forecasting for Year 1 --- p.41 / Specifications on the Contracts --- p.46 / Chapter 6. --- General Recommendations to HKDL for hedging with all kinds of Rainfall Derivatives --- p.49 / Choice of Market and Counter Parties --- p.49 / Index Model Design --- p.50 / Dimensions of Variables & Time Scale --- p.50 / Accumulated Rainfall Index --- p.51 / Methodologies of Rainfall Measurements --- p.54 / Location of Rainfall Measuring Stations --- p.54 / Measuring Instrument --- p.56 / Historical Data Consistency --- p.58 / Data Availability and Reliability --- p.59 / Choice of Strike Level --- p.59 / Tick Size and Maximum Payments --- p.62 / Pricing Approach --- p.63 / Chapter 7. --- Example of Rainfall Derivatives --- p.66 / Black/Red Rainstorm Signal Call --- p.66 / Specifications --- p.66 / Revenue model under Different Scenario --- p.68 / Chapter 8. --- Portfolio Management --- p.70 / Risk Management Information System --- p.70 / Issues on Book Keeping --- p.71 / Chapter 9. --- CONCULSION --- p.72