UNIVERSITY OF TORONTO AT SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 1 (Supplemental Questions)
_
1.
Explain the similarities and differences between f
A parsimonious arbitrage-free implied volatility parameterization with
application to the valuation of volatility derivatives
Jim Gatheral
Global Derivatives & Risk Management 2004
Madrid
May 26, 2004
Equities & Derivatives Research
28 September 2005
Volatility Investing Handbook
Topic Paper
Equity Derivatives Technical Study
Variance swaps and beyond
The development of new derivatives instruments
Valuation of Volatility Derivatives
Jim Gatheral Global Derivatives & Risk Management 2005 Paris May 24, 2005
The opinions expressed in this presentation are those of the author alone, and do not nece
RSM4312 Individual Assignment
13.24
The risk-neutral probability that stock price moves up is:
Pu = (e0.05*2/12 0.9) / (1.08 0.9) = 0.6021
Therefore, the probability that stock price moves down is:
Pd
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Spring 2012
Term Test-2 (Solutions)
A. Mazaheri
Instructions: This is a closed book examination.
UNIVERSITY OF TORONTO AT SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 5
_
1. Use the Back-Scholes formula to prove the followings:
a) Consider a Europea
UNIVERSITY OF TORONTO AT SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 5
_
1. Use the Back-Scholes formula to prove the followings:
a) Consider a Europea
UNIVERSITY OF TORONTO AT SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 4
_
1.
a) In the risk-neutral method, we price options by discounting their risk-n
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem SET 3
1.The following are European call and put prices for a stock on November 9 (today):
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem SET 3
1.The following are European call and put prices for a stock on November 9 (today):
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 2 (Supplemental Questions)
_
Interest Rate & Interest Rate Futures: (Required for Tes
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 2 (Supplemental Questions)
_
Interest Rate & Interest Rate Futures: (Required for Tes
UNIVERSITY OF TORONTO AT SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 1 (Supplemental Questions)
_
1.
Explain the similarities and differences between f
M A Y 2 0 0 51
JUST WHAT YOU NEED TO KNOW ABOUT VARIANCE SWAPS
Sebastien Bossu
Eva Strasser
Regis Guichard
DERIVATIVES
Equity Derivatives Investor
Marketing
Quantitative Research
& Development
EQUITY