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a trigger fra is a fra that comes into existence if and only if the forward rate is above h at the start of the fra
1 for a piece of material the steady state flow of material across its thickness is 180 x 10-3 kgm2-hr if the
suppose we decide that all the trouble in the bgm model is caused by the non-tradability of the rates and therefore
every three months an inverse floater pays max 2l - k 0tau - l tau where l is the three-month libor rate for the
suppose a stock follows a process in the risk-neutral world which involves time-dependent parameters for the pricing of
suppose we wish to price an asian option by monte carlo using a jump-diffusion model with log-normal jumps if the
suppose a stock st follows a jump-diffusion process such that jumps can only occur in the time period from 0 to t1 an
show that if spot and volatility are uncorrelated then the risk-neutral density of spot can be written as an integral
a gilt and a corporate bond have the same principal and the same coupons and coupon dates how will their prices
each of the following products pays a function of the spot price s of a non-dividend-paying stock one year from now if
let p be a digital put struck at k1nbspand c be a digital call struck at k2 a digital put pays 1 if spot is below the
if interest rates increase how will the forward price of an asset change how will the value of a forward contract
suppose no-arbitrage bounds for an option price show that the price lies between l1 and l2 in a world without
show that if interest rates are zero and call option prices are a differentiable function of strike then the derivative
for each of the following pairs of prices of risky 1-year zero-coupon bond s with principal 1 and 1-year riskless
assume the interest rate is zero let s be the price of a non-dividend paying stock a derivative d pays fst at time t
assets a and b are worth 100 today asset a will be worth 110 tomorrow with probability 09 and 90 otherwise asset b will
a stock is worth 100 today there are no interest rates it will be worth one of 90 100 and 110 tomorrow if the call
a stock is worth 100 today there are no interest rates it will be worth one of 85 95 105 and 115 tomorrow give optimal
prove that the price of an american option implied by a tree will always be as much as the price of a european option
prove that the price of a barrier option implied by a tree will always be less than the price of a vanilla option with
a portfolio consisting of a short position in a call option and a long position in a stock is delta-neutral suppose the
suppose were are in a black-sholes world and have a put option on a non-dividend paying stock what effect would a
let an asset follow a brownian motionds mudt sigmadwwith micro and a constant the constant interest rate is r what
suppose two smiles have the same implied volatility at 100 one smile is downwards sloping and the other one is upwards