Quant case studies, worked step by step
- Cases
- 100
- Traced to a firm
- 43
- Topics
- 11
- Hard
- 30
Topic
All topicsSignal research and data tasks10Options and volatility trading10Market-making games14Portfolio construction10Strategy evaluation and backtests9Execution and market microstructure8Fixed income and credit8Regression and model review8Risk measurement and limits9Statistical arbitrage and event trades8Position sizing and bankroll6
Showing 1–5 of 5 · filtered from 100Clear filters
- 023An options book shows delta 2,000 shares, gamma 300 shares per rupee, vega Rs 2 lakh per vol point and theta minus Rs 1.5 lakh a day. The stock rises Rs 4 and implied volatility rises 1 point; reported P&L is Rs 1 lakh. Attribute the P&L and size the unexplained residual.Options market makingRisk quant
- 038You are short 1,000 calls struck at 500 on a stock at 500.2, thirty minutes before expiry, hedged with 500 shares. What is your exposure after uncertain exercise, and would you close the position?Options market makingRisk quant
- 049An importer expects USD/INR to rise from 83.0 to about 84.5 in three months but not beyond 86. Compare a forward, a call struck at 84 and an 84/86 call spread on cost and payoff, and choose a structure.Goldman SachsLondon · 2025
- 056A stock's one-month at-the-money implied volatility is 32% and its three-month is 24%, with results due in two weeks. Back out the move the options imply for the results day, and decide whether the event is priced rich.Options market makingQuant trading
- 083A customer buys 500 one-month at-the-money index calls from Mayurika at Rs 12 (delta 0.5, gamma 0.013 per rupee, vega Rs 1.1 per vol point, per unit of index). Mayurika hedges the delta; then the index jumps Rs 10 and implied volatility rises 2 points. What is the P&L, and what is the new hedge?Old Mission CapitalChicago · 2020
Company names and figures are illustrative.