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 1–2 of 2 · filtered from 100Clear filters
  1. 007A beverage maker expects to buy 10,000 tonnes of sugar but could need 7,000 to 12,000 depending on the weather. Compare hedging 10,000 tonnes against 8,000 in a hot summer and a cool one.Hedging with futuresHardCorporate treasuryCommodities trading
  2. 091A Rs 300 crore portfolio has a beta of 0.9 to the broad index and 0.5 to the bank index in a two-factor regression. Hedge both factors with index futures, and show why hedging only with the broad index leaves a bank bet.Hedging with futuresHardHedge fundsEquity derivatives

Company names and figures are illustrative.