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 1–3 of 3 · filtered from 100Clear filters
  1. 026Anamudi Technologies grants one lakh employee options at the money, with a four-year expected term, 35% volatility and a 7% rate. What is the grant worth, how much does dilution change it, and why not use the ten-year contract life?Option pricing and arbitrage checksHardModel validationCorporate treasury
  2. 043Dayara Pharma trades at Rs 540 on a pending approval: Rs 660 if approved, Rs 420 if not, equally likely, with ordinary 25% volatility either way over a month. Price the one-month 600 call as a mixture of the two outcomes, compare it with a single-volatility price, and say what shape the event gives implied volatility across strikes.Option pricing and arbitrage checksHardVolatility tradingEquity derivatives
  3. 079Build a two-step binomial tree for a stock at 500 with up 1.1, down 0.9 and 2% a step, and price a 520 put as European and as American. Where is early exercise optimal?Option pricing and arbitrage checksHardModel validation

Company names and figures are illustrative.