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a bank is offering an interest rate call with an expiration of 45 days the call pays off based on 180-day liborthe
a firm is interested in purchasing an interest rate cap from a bank it has received an offer price from the bank but
a company wants to enter into a commitment to initiate a swap in 90 daysthe swap would consist of four payments 90 days
suppose your firm had issued a 12 percent annual coupon 15-year bond callable at par at the 8th year it is now two
a firm has previously issued fixed rate noncallable debt because interest rates are perceived to be temporarily high
assume the 30-day libor is 5 percent and the 120-day libor is also 5 percent this implies a continuously compounded
assume the 30-day libor is 5 percent and the 120-day libor is 6 percent this implies a continuously compounded 90-day
use the black model to determine a fair price for an interest rate put that expires in 74 days the forward rate is 979
consider a call option with an exercise rate of x on an interest rate which we shall denote as simply l the underlying
explain the advantages and disadvantages of implementing portfolio insurance using stock and puts in comparison to
explain the difference between path-dependent options and path-independent options and give examples of each give an
contrast lookback options and barrier options and explain the difference between in- and out-optionsexplain how weather
in modern financial derivatives markets there are many exotic optionsbriefly explain compound options multi-asset
on july 5 a market index is at 49254 you hold a portfolio that duplicates the index and is worth 20500 times the index
use the information in problem 9 to set up a dynamic hedge using stock index futures assume a multiplier of 500 the
determine the price of an average price asian call option use an exercise price of 95count the current price in
determine the prices of the following barrier optionsa a down-and-out call with the barrier at 90 and the exercise
a portfolio manager is interested in purchasing an instrument with a call option-like payoff but does not want to have
consider a stock priced at 100 with a volatility of 25 percent the continuously compounded riskfree rate is 5 percent
a stock is priced at 12537 the continuously compounded risk-free rate is 44 percent and the volatility is 21 percent
consider a 10-year fixed-rate mortgage of 500000 that has an interest rate of 12 percent for simplification assume that
an investment manager expects a stock to be quite volatile and is considering the purchase of either a straddle or a
suppose frm inc issued a zero-coupon equity index-linked note with a five-year maturitythe par value is 1000 and the
suppose you are asked to assist in the design of an equity-linked security the instrument is a five-year zero coupon
a convertible bond is a bond that permits the holder to turn in the bond and convert it into a certain number of shares