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
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- 011A client signs a one-year accumulator: buy 1,000 shares a day at Rs 900 on a Rs 1,000 stock, the deal ends if it closes above 1,050, and the client buys 2,000 a day below 900. Work three price paths.Structured productsPrivate banking
- 057A client places USD 1 million for one month in a dual currency deposit paying 7% instead of 4.5%, spot 84.00, and the bank may repay in rupees at 84.50. Decompose it, price the extra yield, and show the client's position at 83.00 and 86.00.Structured productsPrivate banking
- 095A three-year autocallable on the index pays principal plus 9% per year elapsed if the index is at or above its start on a yearly observation. If never called, principal comes back unless the index ends below 60% of its start, when the loss is one for one. Work three paths and say what the investor is short.Structured productsExotics trading
Company names and figures are illustrative.