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 forwards and futures contract on the same asset. You may
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
The opinions expressed in this presentation are those
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 and an
improvement in their liquidity means volatility
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 necessarily reflect the views of of Merrill Lynch, its subs
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. You are allowed one side of a one 4x6" crib card and th
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 European call option and a European put option with the same s
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 European call option and a European put option with the same s
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-neutral expected future payoffs with the
risk-free inter
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):
Strike Price
65
Last transaction Prices ($)
Calls
Dec
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem SET 3
1.The following are European call and put prices for a stock on November 9 (today):
Strike Price
65
Last transaction Prices ($)
Calls
Dec
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 2 (Supplemental Questions)
_
Interest Rate & Interest Rate Futures: (Required for Test-1)
Problem-1
A firm entered into a forward rate agree
UNIVERSITY OF TORONTO SCARBOROUGH
DEPARTMENT OF MANAGEMENT
MGTC71: Introduction to Derivatives Markets
Problem Set 2 (Supplemental Questions)
_
Interest Rate & Interest Rate Futures: (Required for Test-1)
Problem-1
A firm entered into a forward rate agree
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 forwards and futures contract on the same asset. You may
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
JPMorgan London
IN THE UNITED STATES THIS REPORT IS
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