Q1. Forward and futures contracts have identical definitions. However they do not operate identically. List at least 3 differences between a forward contract and a fu
Forward contracts are private contracts between two parties while Futures are trade
Q1. The 6-month, 1-yr, 1.5-yr, and 2-yr interest rates are 1.75%, 2.00%, 2.25% and 2.50% with continuous compounding.
a. Calculate the present value of $100 in 1.5 years (=18 months).
b. Calculate the equivalent 6-month, 1-yr, 1.5-yr, and 2-yr
Q1. Put-call parity
a. Does put-call parity mean the put and the call option (of the same stock, with same expiration, with same strike price) have the same value/price?
b. If not, for put and call to have the same prices, what must be the r
Q1. Derivagem is useful for pricing options but it cannot be used all the time. Explain why one cannot use Derivagem
Dervagem cannot be use to solve Q12,5 in page 293 because the question deos not provide the stock price volat
y one cannot use
1. What is the difference between Euro FX futures and Eurodollar futures?
Eurodollar futures are cash settled futures contracts with the final price based on 3-month
LIBOR at expiration. The futures contracts are derivatives on the interest paid on deposi