Derivatives Foundation case studies, worked step by step

Cases
100
Traced to a firm
12
Topics
12
Hard
29
Topic
All topicsMargin, clearing and risk limits8Market making and trading scenarios8Option pricing and arbitrage checks8Option strategies and trade ideas10Hedging with futures8Forwards, futures and arbitrage8Volatility trading8Interest rate derivatives9Structured products and client solutions7Currency derivatives and corporate FX hedging9Credit derivatives and counterparty risk7Greeks and managing an options book10
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 51–52 of 52 · filtered from 100Clear filters
  1. 098A stock is at Rs 250. Price a six-month 260 call by Black-Scholes with 30% volatility and a 6% rate: compute d1, d2, the two probabilities and the call, then the put by parity.Option pricing and arbitrage checksCore
  2. 099In a group mock trading game, a contract settles at a company's September scooter sales in thousands. Your opening estimate is 80, range 70 to 90. Clues arrive: registrations running 8% above last year, then a three-day factory shutdown costing about 9,000 units. Set the market, update it after each clue, and manage a 50-lot limit.Market making and trading scenariosCoreDRWNew York · 2026Belvedere TradingChicago · 2022

Company names and figures are illustrative.