1. Explain the meaning of and . Could these quantities be considered constant with time? You are encouraged to research the information about stochastic modelling of share prices, Itô’s calculus online or in books, research articles. State clearly ANY assumptions you have made.
(10 marks)
2.Select ONE company on the stock market from the FIVE companies listedbelow. You can use Yahoo Finance to download the historic data,https://au.finance.yahoo.com/?utm_source=Marketing&utm_medium=SEM&utm_term=SEM
_News&utm_content=non_branded_%2Byahoo%20%2B
finance&ncid=googlesem_semnews_cc33emalx9k
Companies:
•Australia and New Zealand Banking Group ANZ.AX
•National Australian Bank Limited (NAB.AX)
•Medibank Private Limited (MPL.AX)
•British Petrolium p.l.c. (BP)
•GlaxSmithKline plc (GSK)
Collect the closing share price data for this company for each trading day for 3 consecutive months, from 1 August 2018 to 31 October 2018 inclusive.
3.State the condition that share prices have to satisfy in order to be represented bya geometric Brownian motion? Does your data satisfy this condition? Checkusing appropriate statistical test and present your evidence in a suitable tabularformat.
(10 marks)
4.Compute and for your data assuming that they are both constant. You areencouraged to research the literature about and and find appropriateformulas to compute their values from the three months historic data.
(20 marks)
5.Find information publicly available for your company, e.g. report and newsreleases.
Using this information about the company, critically appraise the computed
values of and .
(10 marks)
6.Estimate the expected value of the share price on 16 November 2016 andcompare with published data.
(10 marks)
7.In the light of your findings, state the possible restrictions of your model.
Write a short report (up to 250 words) about your company using your research,
model and results.
(20 marks)
8.Presentation
(10 marks)
Presentation will be assessed for style and grammar, presentation of mathematics, graphs, tables and references. You should not exceed the 7 A4 sides page limit (including figures, tables, appendices and references). List and quote in the text the references used, including books, articles and web resources.
